Chapter 1
Five-year CDS premiums
Basis points
1 600
1 400
1 200
1 000
800
600
400
200
0
jul-08
jan-09
Greece
Chart: 1:1.
jul-09
Ireland
jan-10
jul-10
Portugal
jan-11
jul-11
Spain
Source: Reuters EcoWin
Interest rates on ten-year government bonds
Per cent
18
16
14
12
10
8
6
4
2
jul-08
jan-09
Greece
Chart: 1:2.
jul-09
Ireland
jan-10
jul-10
Portugal
jan-11
jul-11
Spain
Source: Reuters EcoWin
Yield curve for Greek government
bonds
Per cent
30
25
20
15
10
5
0
2 år
3 år
5 år
2010-12-30
Diagram 1:3.
7 år
10 år
15 år
2011-05-24
Källa Reuters Ecowin
Refinancing needs of countries and
banks for 2011
Percentage of GDP
Chart: 1:4
Sources: Dealogic, Reuters EcoWin and the Riksbank
Exposure of international banks
Index, second quarter 2008=100, euro
120
110
100
90
80
70
60
50
jun-07
Chart 1:5.
dec-07
jun-08
dec-08
Greece
Ireland
jun-09
Portugal
dec-09
jun-10
dec-10
Spain
Source: Bank for International Settlements
Government debt as a percentage of GDP (vertical axis)
and the difference between the nominal interest
rate and nominal GDP growth (horizontal axis)
Per cent
Chart 1:6.
Sources: IMF, Eurostat and the Riksbank
Signs of search for yield
Left scale per cent and right scale index
18
270
16
240
14
210
12
180
10
150
8
120
6
90
4
60
2
30
0
jan-09
jul-09
jan-10
jul-10
jan-11
0
jul-11
Credit spread high-yield bonds - United States, (left scale)
Commodities (right scale)
Equity index for emerging markets (right scale)
Chart 1:7.
Sources: Reuters Ecowin and The Economist
International stress index
Chart 1:8.
Sources: Reuters EcoWin, Bloomberg and the Riksbank
European banks’ bond issuance
EUR billion
400
350
300
250
200
150
100
50
0
Q1
Q2
Q3
Q4
Q1
2007
Covered bonds
Chart 1:9.
Q2
Q3
Q4
Q1
2008
Unsecured bonds
Q2
Q3
2009
Q4
Q1
Q2
Q3
Q4
Q1
2010
Q2
2011
Government guaranted bonds
Source: Dealogic
Comparison of 5-year CDS premiums
for banks
Basis points
Chart: 1:10.
Source: Bloomberg
Maturity profile of bonds issued by
European banks
EUR billion
120
100
80
60
40
20
0
5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12
2011
Covered bonds
Chart 1:11.
2012
Unsecured bonds
2013
Government guaranted bonds
Source: Dealogic
Central banks’ balance sheets
Percentage of GDP
30
25
20
15
10
5
0
07
08
ECB
Chart 1:12.
09
Bank of England
10
Federal Reserve
11
12
The Riksbank
Sources: National central banks
The risk premium on the interbank
market
Basis points
100
90
80
70
60
50
40
30
20
10
0
jan-08
jul-08
jan-09
United States
Chart 1:13.
jul-09
jan-10
United Kingdom
jul-10
Euro Area
jan-11
jul-11
Sweden
Sources: Reuters Ecowin and Bloomberg
Maturity structures for non-financial
companies’ syndicated loans
SEK billion
250
200
150
100
50
0
11
Chart 1:14.
12
13
14
15
16
17
18
19
20
21
22
23
24
25
Source: Dealogic
Maturity structures for non-financial
companies’ market funding
SEK billion
Chart 1:15.
Source: Dealogic
US corporate bond issuance
USD billions
1200
1000
800
600
400
200
0
96
97
98
99
00
01
02
03
Investment grade
Chart 1:16.
04
05
06
07
08
09
10
11
High-yield
Source: SIFMA
Difference between the short-term
interbank rate and the Riksbank’s repo rate
Basis points
70
60
50
40
30
20
10
0
2002
Chart R1:1.
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
Source: Reuters Ecowin
Grey area in detail
Basis points
70
60
50
40
30
20
10
0
jan-10
Chart R1:1.
apr-10
jul-10
okt-10
jan-11
apr-11
jul-11
Source: Reuters Ecowin
Monthly volatility in the difference between
the tomorrow next rate and the repo rate
Basis points
20
15
10
5
0
2002
2003
2004
2005
2006
IMM month
Chart R1.2.
2007
2008
2009
2010
2011
Non-IMM month
Sources: Reuters EcoWin and the Riksbank
Cost of converting long-term borrowing in
euros into Swedish kronor via a currency swap
Basis points
60
50
40
30
20
10
0
-10
2002
Chart R1:3.
2003
2004
2005
2006
2007
2008
2009
2010
2011
Source: Bloomberg
Chapter 2
Lending of the Swedish banking groups
by borrower category, March 2011
Per cent of total lending
Chart 2:1.
Sources: Bank reports and the Riksbank
Lending of the Swedish banking groups
by geographical area, March 2011
Per cent of total lending
Chart 2:2.
Sources: Bank reports and the Riksbank
Prices for single-family dwellings and
tenant-owned apartments
Index, January 2008 = 100
Chart 2:3.
Källor: SCB, Mäklarstatstik och Valueguard AB
Household borrowing
Monthly change on an annual rate and three-month moving average,
percentage
20
18
16
14
12
10
8
6
4
2
0
02
03
04
05
Change in borrowing
Chart 2:4.
06
07
08
09
10
11
Change in borrowing, three-month moving average
Source: The Riksbank
Households’ new loans broken down
by fixed interest period
Per cent
100%
80%
60%
40%
20%
0%
96
97
98
99
Variable rate
Chart 2:5.
00
01
02
03
04
Fixed rate < 5 years
05
06
07
08
09
10
11
Fixed rate > 5 years
Source: The Riksbank
Lending to households and threemonth mortgage rates
Annual percentage change and per cent
Chart 2:6.
Source: The Riksbank
Household debt and post-tax interest
expenditure
Per cent of disposable income
Chart 2:7.
Sources: The National Board of Housing, Building and Planning and Statistics Sweden
Households’ gross debts, assets and
saving as a share of disposable income
Per cent
Chart 2:8.
Sources: Statistics Sweden and the Riksbank
Corporate borrowing from credit
institutions and fixed gross investment
Annual percentage change
Chart 2:9.
Sources: Statistics Sweden and the Riksbank
Cororate credit gap
Per cent
15
10
5
0
-5
-10
-15
-20
99
Chart 2:10.
00
01
02
03
04
05
06
07
08
09
10
11
Sources: Statistics Sweden and the Riksbank
Interest coverage ratio in Nordic
listed companies
Ratio
8
7
6
5
4
3
2
1
0
-1
03
04
05
Sweden
Chart 2:11.
06
Denmark
07
Norway
08
09
10
Finland
Sources: Bloomberg and the Riksbank
The number of bankruptcies broken
down by industry
Twelve-month moving average
160
140
120
100
80
60
40
20
0
95
97
99
Manufacturing
Transport
Wholesale and retail trade
Chart 2:12.
01
03
05
Construction
Property management
Hotel and restaurants
07
09
11
IT-telecom
Services
Source: Statistics Sweden
Transaction volumes on the Swedish
commercial property market
SEK billion
160
140
120
100
80
60
40
20
0
99
00
01
02
03
04
Swedish investors
Chart 2:13.
05
06
07
08
09
10
Foreign investors
Source: Savills
Average yield levels for modern office
premises in city centres
Per cent
16
14
12
10
8
6
4
2
0
86
88
90
92
Stockholm
Chart 2:14.
94
96
Göteborg
98
00
Malmö
02
04
06
08
10
12
Five-year government bond
Sources: Newsec and the Riksbank
Real house prices
Index, March 2004 = 100
160
150
140
130
120
110
100
90
04
05
06
Sweden
Chart 2:15.
07
Denmark
08
Norway
09
10
11
Finland
Sources: Bank for International Settlement, Bank of Finland, Reuters EcoWin, Statistics Sweden and the Riksbank
Expected default frequency (EDF)
Per cent
3,0
2,5
2,0
1,5
1,0
0,5
0,0
05
06
07
Sweden
Chart 2:16.
08
Denmark
09
Norway
10
11
12
Finland
Source: Moody's KMV
GDP
Annual percentage change
15
10
5
0
-5
-10
-15
-20
-25
99
00
01
02
03
Estonia
Chart 2:17.
04
05
Latvia
06
07
08
09
10
11
12
Lithuania
Source: Reuters EcoWin
Real exchange rates
Index, 2000 = 100
140
130
120
110
100
90
80
01
02
03
04
Estonia
Chart:2:18.
05
06
07
Latvia
08
09
10
11
12
Lithuania
Source: Bank for International Settlements
Households' and companies' debts in
relation to GDP
Per cent
140
120
100
80
60
40
20
0
95
96
97
98
99
00
01
Estonia
Chart 2:19.
02
03
04
Latvia
05
06
07
08
09
10
11
Lithuania
Sources: The national central banks and Reuters EcoWin
Late payments
Per cent of lending
20
18
16
14
12
10
8
6
4
2
0
01
Chart 2:20.
02
03
04
05
Estonia (more than 60 days)
Lithuania (more than 60 days)
06
07
08
09
10
11
Latvia (more than 90 days)
12
Sources: Eesti Pank, Financial and Capital Market Commission och Lietuvos Bankas
Chapter 3
Bank assets in relation to GDP June
2010
Per cent
Chart 3:1.
Sources: ECB, The Swiss National Bank and the Riksbank
The total assets of the major Swedish
banks, December 2010
SEK billion
12 000
10 000
8 000
6 000
4 000
2 000
0
Handelsbanken
Nordea
Sweden
Chart 3:2.
SEB
Swedbank
Total
Abroad
Sources: Bank reports and the Riksbank
Breakdown of the major Swedish
banks’ profits before loan losses, 2010
Per cent
Chart 3:3.
Sources: Bank reports and the Riksbank
Earnings before loan losses and loan
losses in the major Swedish banks,
Mars 2011
Totalled over four quarters, SEK billion, fixed prices
120
100
80
60
40
20
0
Profit before loan losses
Chart 3:4.
dec-12
dec-10
dec-08
dec-06
dec-04
dec-02
dec-00
dec-98
dec-96
dec-94
dec-92
dec-90
-20
Loan losses
Sources: Bank reports and the Riksbank
The major swedish banks' income
Rolling four quarters, SEK billion
250
200
150
100
50
0
08:3
08:4
Other income
Chart 3:5.
09:1
09:2
09:3
Net result of financial items
09:4
10:1
10:2
10:3
Net commission income
10:4
11:1
Net interest income
Sources: Bank reports and the Riksbank
The major Swedish banks’ margins on
new mortgages in Sweden
Per cent
Chart 3:6.
Sources: Bank reports and the Riksbank
The major Swedish banks’ profitability
Four-quarter moving average, per cent
25
20
15
10
5
0
04:4
05:4
06:4
Return on equity
Chart 3:7.
07:4
08:4
09:4
10:4
11:4
Average return on equity
Sources: Bank reports and the Riksbank
Swedish major banks' lending to the
public in the Baltic countries
EUR billion and per cent
Chart 3:8.
Sources: Bank reports and the Riksbank
Market shares of lending in the Baltic
countries
Per cent
Chart 3:9.
Sources: Bank reports and the Riksbank
The Swedish banks' loan losses
Percentage of lending at the start of the respective quarters
Chart 3:10.
Sources: Bank reports and the Riksbank
The major Swedish banks’ loan losses
per quarter
SEK billion
Chart 3:11.
Sources: Bank reports and the Riksbank
Core Tier 1 capital ratios of Swedish and
foreign banks, according to Basel II,
December 2010
Per cent
Chart 3:12.
Sources: Bank reports and the Riksbank
Core Tier 1 capital ratios according to
Basel II
Per cent
16
14
12
10
8
6
4
2
0
Swedbank
Nordea
08:4
Chart 3:13.
09:4
SEB
10:4
Handelsbanken
11:1
Source: Bank reports and the Riksbank
Risk weighting on mortgages
according to Basel II
Per cent
60
50
40
30
20
10
Chart 3:14.
Slovakia
Latvia
Hungary
Spain
Lithuania
Estonia
Italy
Germany
Netherlands
Greece
Norway
Denmark
Finland
Belgium
Sweden
0
Sources: National central banks and the Riksbank
The major Swedish banks' funding,
March 2011
Per cent
Chart 3:15.
Sources: Bank reports and the Riksbank
Government-guaranteed borrowing and the
Riksbank’s lending to the major Swedish banks
Left axis: SEK billion, right axis: percentage of Sweden's GDP
Chart 3:16.
Sources: Bank reports, Statistics Sweden and the Riksbank
The market funding of the major Swedish banks
via Swedish parent and subsidiary companies per
SEK and foreign currencies
SEK billion
3 000
2 500
2 000
1 500
1 000
500
0
98
99
00
01
02
03
04
Foreign Currency
Chart 3:17.
05
06
07
08
09
10
11
12
SEK
Sources: Statistics Sweden and the Riksbank
The major Swedish banks’ lending funded by
foreign currency securities issued in Sweden
Percentage of the major Swedish banks’ market funding in foreign currency
via Swedish parent and subsidiary companies
Lending, Latvia
and Lithuania
4%
Lending, other
countries
26%
Swedish lending
43%
Lending, euro
area countries
24%
Swedish lending
in foreign
currency
3%
Chart 3:19.
Sources: Statistics Sweden and the Riksbank
Holders of Swedish covered bonds
SEK billion
1 600
1 200
800
400
0
Non-residents
Chart 3:19.
Banks
Insurance companies
Other
Sources: Statistics Sweden and the Riksbank
Funding in US dollars for banks in the euro area
and the Fed’s lending to other central banks
USD billions
Chart B3:1.
Sources: Bank for international settlements, Federal Reserve and the Riksbank
Percentage of funding through securities with
original time to maturity of less than one year in
the Swedish banking system
Per cent
Chart B3:2.
Source: The Riksbank
The major banks’ funding from deposits from the
public and securities issued, by currency, per
December 2010
Per cent
100%
80%
60%
40%
20%
0%
Deposits
Issued securities
SEK
Chart B3:3
EUR
USD
Other
Sources: Bank reports and the Riksbank
The major Swedish banks’ assets in
USD per December 2010
SEK billion
600
500
400
300
200
100
0
Nordea
Financial assets
Chart B3:4.
SEB
Handelsbanken
Lending/Loans to the public
Swedbank
Summa
Lending interbank/ Loans to credit institutions
Sources: Bank reports and the Riksbank
Contracyclical capital buffers in the
Nordic countries
Per cent
3,0
2,5
2,0
1,5
1,0
0,5
0,0
81
83
85
87
89
Sweden
Chart B3:5
91
93
95
Finland
97
99
Norway
01
03
05
07
09
11
Denmark
Sources: Reuters EcoWin and the Riksbank
Contracyclical capital buffers in the
Baltic countries
Per cent
3,0
2,5
2,0
1,5
1,0
0,5
0,0
94
95
96
97
98
99
00
Estonia
Chart B3:6
01
02
03
Latvia
04
05
06
07
08
09
10
11
Lithuania
Sources: Reuters EcoWin and the Riksbank
Contracyclical capital buffers for
Swedish banks
Per cent
3,0
2,5
2,0
1,5
1,0
0,5
0,0
00
01
02
03
Swedbank
Chart B3:7
04
05
SEB
06
07
Handelsbanken
08
09
10
11
Nordea
Sources: The Riksbank and banks’ annual reports
Contracyclical capital buffers without
ceiling in the Nordic countries
Percent
9
8
7
6
5
4
3
2
1
0
81
83
85
87
89
91
Sweden
Chart B3:8
93
95
Finland
97
99
Norway
01
03
05
07
09
11
Denmark
Sources: Reuters EcoWin and the Riksbank
Contracyclical capital buffers without
ceiling in the Baltic countries
Per cent
9
8
7
6
5
4
3
2
1
0
94
95
96
97
98
99
00
01
Estonia
Chart B3:9
02
03
Latvia
04
05
06
07
08
09
10
11
Lithuania
Sources: Reuters EcoWin and the Riksbank
Chapter 4
Earnings before loan losses and loan losses
in the major Swedish banks, March 2011
Totalled over four quarters, SEK billion, fixed prices
Chart 4:1.
Sources: Bank reports, SME Direkt and the Riksbank
Loan losses levels per bank and year
in the main scenario
Per cent
Chart 4:2.
Source: The Riksbank
Distribution of loan losses per region in
the period 2010–2013 in the main scenario
SEK billion
Chart 4:3.
Source: The Riksbank
Tier 1 capital ratio of the major Swedish bank with
the lowest ratio after another Swedish major bank
has defaulted on payments
Per cent
9
8
7
6
5
4
3
2
1
0
2000
Chart 4:4.
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Source: The Riksbank
GDP for Sweden in the stress test and
in the main scenario
SEK billions, fixed prices
4 000
3 500
3 000
2 500
2 000
1 500
1 000
500
0
1997
1999
2001
2003
Main scenario
Chart 4:5.
2005
2007
2009
2011
2013
Stress scenario
Sources: Statistics Sweden and the Riksbank
Expected default frequency (EDF) for the
Swedish non-financial companies in the
stress test and in the main scenario
Per cent
2,5
2,0
1,5
1,0
0,5
0,0
00
01
02
03
04
05
06
07
EDF, stress scenario
Chart 4:6.
08
09
10
11
12
13
14
EDF, main scenario
Sources: Moody's KMV and the Riksbank
The major Swedish banks’ core Tier 1 capital
ratios according to Basel II and Basel III,
initially and in the stress test
Per cent
16%
14%
12%
10%
8%
6%
4%
2%
0%
11
Kv1
11
12
13
Handelsbanken
Chart 4:7.
11
Kv1
11
12
Nordea
13
11
Kv1
11
12
SEB
13
11
Kv1
11
12
13
Swedbank
Source: The Riksbank
Factors that contribute to changes in the banks’
core Tier 1 capital ratios according to Basel III in
the stress test
Per cent
Chart 4:8.
Source: The Riksbank
The Riksbank’s structural liquidity measurement
for the major Swedish banks compared with the
average for a selection of European banks
Stable funding in relation to illiquid assets, per cent
Chart 4:9.
Source: Liquidatum and the Riksbank
Survival period for the major Swedish banks in the
stressed scenario, compared with the average for a
selection of European banks
Number of months
Chart 4:10.
Sources: Liquidatum and the Riksbank