Chapter 1
Sovereign debt
Percentage of GDP
180
180
160
160
140
140
120
120
100
100
80
80
60
60
40
40
20
20
0
2007
2008
Greece
Chart 1:1.
Ireland
2009
Portugal
0
2011
2010
Italy
Spain
UK
Sources: Reuters EcoWin and IMF
Public finance deficits
Percentage of GDP
5
5
0
0
-5
-5
-10
-10
-15
-15
-20
-20
-25
-25
-30
-30
-35
2007
2008
Greece
Chart 1:2.
Ireland
2009
Portugal
-35
2011
2010
Italy
Spain
UK
Source: Reuters Ecowin
Interest rates on ten-year government
bonds
Per cent
34
34
30
30
26
26
22
22
18
18
14
14
10
10
6
6
2
Aug-08
2
Feb-09
Aug-09
Greece
Chart: 1:3.
Feb-10
Ireland
Aug-10
Portugal
Feb-11
Italy
Aug-11
Spain
Source: Reuters EcoWin
Credit rating development
22
AAA
21
AA+
20
AA
19
AA18
A+
17
A
16
A15
BBB+
14
BBB
13
BBB12
BB+
11
BB
10
BB9
B+8
B 7
B- 6
CCC+
5
CCC
4
CCC3
CC2
C 1
D 0
Jan-04
22
AAA
21
AA+
20
AA
19
AA18
A+
17
A
16
A15
BBB+
14
BBB
13
BBB12
BB+
11
BB
10
BB9
B+
8
B7
B6
CCC+
5
CCC
4
CCC3
CC
2
C1
D0
Feb-05
Greece
Chart 1:4
Mar-06
Ireland
Apr-07
Jun-08
Portugal
Jul-09
Aug-10
Spanien
Sep-11
Italien
Source: Bloomberg
Refinancing needs of countries and
banks for 2012
Percentage of GDP
45
40
35
30
25
20
15
10
5
0
Greece
Spain
Italy
Portugal
Ireland
Redemption of bank bonds
Redemption of government bonds + net funding
Chart 1:5
Sources: Dealogic, IMF and the Riksbank
Exposure of international banks
Index, fourth quarter 2008=100, euro
120
120
110
110
100
100
90
90
80
80
70
70
60
60
50
50
40
Dec-08
Jun-09
Greece
Chart 1:6.
Dec-09
Ireland
Portugal
Jun-10
Italy
Dec-10
Spain
40
Jun-11
Germany
Sources: Bank for International Settlements and the Riksbank
for
states and banks
Basis points
450
2400
Greece
400
1600
Portugal
CDS premiums for countries
350
800
Ireland
Spain
300
Italy
250
200
Belgium
150
France
100
Germany
50
USA
Denmark
Sweden
0
0
United Kingdom
100
200
800
300
1000
1200
400
1400
CDS premiums for banks in each country
Chart 1:7.
Sources: Reuters Ecowin, Bloomberg and the Riksbank
Indication of investors’ risk propensity
Percentage change
30
20
10
0
-10
-20
-30
-40
Interest on highyield Interest on ten-year
corporate
government bonds
bonds (USA)
(USA)
Januari - maj 2011
Chart 1:8.
Raw materials index
(world)
Stock market index
(Europe)
Juni - november 2011
Sources: Reuters EcoWin and the Riksbank
International stress index
10
8
6
4
2
0
-2
-4
Jan-07
Chart 1:9.
Jan-08
Jan-09
Jan-10
Jan-11
TED spread
Corporate bond spread
Stock market volatility
Foreign exchange volatility
Sources: Reuters EcoWin, Bloomberg and the Riksbank
bonds
and covered bonds
EUR billion
200
200
180
180
160
160
140
140
120
120
100
100
80
80
60
60
40
40
20
20
0
0
Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12
Holdings of government bonds
Chart 1:10
Holdings of covered bonds
Source: Reuters EcoWin
ECB’s lending to European banks
EUR billion
900
800
700
600
500
400
300
200
100
0
Jan-07
Chart 1:11.
Jan-08
Jan-09
Jan-10
Jan-11
Source: ECB
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: Reuters EcoWin and national central banks
European banks’ bond issuance
EUR billion
450
400
350
300
250
200
150
100
50
0
Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4
2007
Covered bonds
Chart 1:13.
2008
2009
Unsecured bonds
2010
2011
Government guaranted bonds
Sources: Dealogic and the Riksbank
Comparison of 5-year CDS premiums
for banks
Basis points
800
2000
700
1500
600
1000
Portugal,
Ireland,
Greece
(1385)
500
400
300
200
United States
(307)
Europe inkl Spain
och Italy (304)
Nordic countries
(188)
100
0
Chart: 1:14.
Source: Bloomberg and the Riksbank
Five-year CDS premiums for banks
Basis points
500
450
400
350
300
250
200
150
100
50
0
Jul-08
Jan-09
Jul-09
USA
Chart 1:15
Jan-10
Europé
Jul-10
Sweden
Jan-11
Jul-11
Jan-12
UK
Sources: Bloomberg and the Riksbank
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 1 2 3 4 5 6 7 8 9 10 11 12
2011
2012
Covered bonds
Chart 1:16.
2013
Unsecured bonds
2014
Government guaranted bonds
Sources: Dealogic and the Riksbank
Funding costs over three months
STIBOR for covered bonds
Basis points
120
120
100
100
80
80
60
60
40
40
20
20
0
0
-20
-20
03
04
05
06
07
Two-year maturity
Chart 1:17.
08
09
10
11
12
Five-year maturity
Sources: Reuters EcoWin and the Riksbank
The risk premium on the interbank
market
Basis points
140
140
120
120
100
100
80
80
60
60
40
40
20
20
0
0
08
09
United States
Chart 1:18.
10
United Kingdom
11
Euro Area
12
Sweden
Sources: Reuters Ecowin, Bloomberg and the Riksbank
Indicative breakdown of the risk
premiumin the euro area
Basis points
200
150
100
50
0
jan-07
jan-08
jan-09
Credit risk
Chart 1:19
jan-10
jan-11
jan-12
Liquidity risk
Sources: Reuters EcoWin, Bloomberg and the Riksbank
Difference between the short-term
interbank rate and the Riksbank repo rate
Basis points
70
60
50
40
30
20
10
0
2002
Chart 1:20.
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
Source: Reuters Ecowin
Extra cost of borrowing in EUR and converting to
USD compared with borrowing directly in USD
Basis points
110
90
70
50
30
10
-10
Chart 1:21.
Sources: Bloomberg and the Riksbank
Credit spreads for high-yield
corporate bonds
Basis points
2500
2500
2000
2000
1500
1500
1000
1000
500
500
0
0
04
05
06
07
Europé
Chart 1:22.
08
09
10
11
12
United States
Sources: Reuters EcoWin and the Riksbank
Chapter 2
Lending activities of the Swedish banking groups
by borrower category, September 2011
Per cent of total lending
Companies,
excluding
property
companies
37%
Households
44%
Property
companies
19%
Chart 2:1.
Sources: Bank reports and the Riksbank
Lending activities of the Swedish banking groups
by geographical area, September 2011
Per cent of total lending
Other countries
The Baltic
7%
countries
4%
Other Nordic
countries
34%
Chart 2:2.
Sweden
55%
Sources: Bank reports and the Riksbank
Real house prices
Index, quarter 1 1995 = 100
300
300
250
250
200
200
150
150
100
100
50
50
0
0
80
Chart 2:3.
84
88
92
96
00
04
08
Sources: Statistics Sweden and the Riksbank
Household borrowing
Monthly change on an annual rate and annual change, percentage
20
20
18
18
16
16
14
14
12
12
10
10
8
8
6
6
4
4
2
2
0
0
02
03
04
05
06
07
08
09
10
11
12
Monthly percentage changes restated as an annual rate
Annual percentage change
Chart 2:4.
Source: The Riksbank
Credit gap
Per cent
30
30
20
20
10
10
0
0
-10
-10
-20
-20
-30
-30
-40
-40
81
86
91
Non financial corporates
Chart 2:5.
96
Households
01
06
Other
11
Total
Sources: The Riksbank
Difference between three month and three year
mortgage rates and the share of new lending at
variable rates
Percentage points and per cent
4.0
100
3.5
90
3.0
80
2.5
70
2.0
60
1.5
50
1.0
40
0.5
30
0.0
20
-0.5
10
-1.0
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
Chart 2:6.
Source: The Riksbank
Household debt and post-tax interest
expenditure
Per cent of disposable income
220
22
200
20
180
18
160
16
140
14
120
12
100
10
80
8
60
6
40
4
20
2
0
0
87
91
95
99
Debt ratio (left scale)
Chart 2:7.
03
07
11
15
Interest ratio (right scale)
Source: The Riksbank
Households’ debts, assets, housing
expenditures and savings
Per cent of disposable income
600
15
500
10
400
5
300
0
200
-5
100
-10
0
-15
70
74
78
82
86
90
94
98
02
06
10
14
Debt
Total wealth, excluding collective insurance
Financial wealth, excluding housing and collective insurance
Housing expenditure
Financial balance, excluding collective and real saving (right axis)
Chart 2:8.
Sources: Statistics Sweden and the Riksbank
Corporate borrowing from credit
institutions and fixed gross investment
Annual percentage change
20
20
15
15
10
10
5
5
0
0
-5
-5
-10
-10
-15
-15
-20
-20
98
99
00
01
02
03
04
05
06
Corporate borrowing from credit institutions
Forecast for gross investments, MPR October 2011
Forecast borrowing, FSR 2011:1
Chart 2:9.
07
08
09
10
11
12
13
14
Fixed gross investment
Forecast borrowing, FSR 2011:2
Forecast for gross investments, MPU April 2011
Sources: Statistics Sweden and the Riksbank
Default rate for Swedish companies
Per cent
3.0
3.0
2.5
2.5
2.0
2.0
1.5
1.5
1.0
1.0
0.5
0.5
0.0
0.0
85
90
Default rate
Chart 2:10.
95
00
Forecast FSR 2011:2
05
10
15
5-year moving average
Source: The Riksbank
Transaction volumes for commercial
properties
SEK billion
180
160
140
120
100
80
60
40
20
0
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Chart 2:11.
Swedish investors
Forecast Swedish investors Q3-Q4 2011
Foreign investors
Forecast foreign investors Q3-Q4 2011
Sources: Saville and the Riksbank
Average yield levels for modern office
premises in city centres
Per cent
16
16
14
14
12
12
10
10
8
8
6
6
4
4
2
2
0
0
86
88
90
92
Stockholm
Chart 2:12.
94
96
Göteborg
98
00
Malmö
02
04
06
08
10
12
Five-year government bond
Sources: Newsec and the Riksbank
Household borrowing
Annual percentage change
16
16
14
14
12
12
10
10
8
8
6
6
4
4
2
2
0
0
04
05
06
Sweden
Chart 2:13.
07
08
Denmark
09
Finalnd
10
11
12
Norway
Sources: Reuters EcoWin and the Riksbank
Corporate borrowing
Annual percentage change
25
25
20
20
15
15
10
10
5
5
0
0
-5
-5
-10
-10
04
05
06
Sweden
Chart 2:14.
07
08
Denmark
09
Finland
10
11
12
Norway
Sources: Reuters EcoWin, the ECB and the Riksbank
Real house prices
Index, quarter 1 2004 = 100
160
160
150
150
140
140
130
130
120
120
110
110
100
100
90
90
04
05
06
Sweden
Chart 2:15.
07
Denmark
08
09
Finland
10
11
Norway
Sources: Reuters EcoWin, Bank for International Settlements and the Riksbank
Corporate defaults
Twelve-month moving average, index, average 2007 = 100
350
350
300
300
250
250
200
200
150
150
100
100
50
50
0
0
00
01
02
03
04
Sweden
Chart 2:16.
05
06
Denmark
07
Finland
08
09
10
11
12
Norway
Sources: Reuters EcoWin and the Riksbank
Credit losses in the Danish banking
sector from household borrowing
Per cent of total lending
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.0
93
Chart 2:17.
95
97
99
01
03
05
07
09
Source: Danmarks Nationalbank
Real exchange rates
Index, January 2009 = 100
110
110
105
105
100
100
95
95
90
90
85
85
80
80
75
75
70
70
01
02
03
04
05
The Baltic countries
Chart 2:18.
06
07
08
09
Comparison group
10
11
12
Ireland
Source: Bank for International Settlements
Private sector debt
Per cent of GDP
140
140
120
120
100
100
80
80
60
60
40
40
20
20
0
0
95
96
97
98
99
00
01
02
Estonia
Chart 2:19.
03
04
05
Latvia
06
07
08
09
10
11
12
Lithuania
Sources: The national central banks, Latvijas Statistika and Reuters EcoWin
Late payments
Per cent of lending
25
25
20
20
15
15
10
10
5
5
0
0
01
02
03
04
05
Estonia (more than 60 days)
Chart 2:20.
06
07
08
Latvia (more than 90 days)
09
10
11
12
Lithuania (more than 60 days)
Sources: Eesti Pank, Financial and Capital Market Commission och Lietuvos Bankas
Sovereign debt
Percentage of GDP
200
180
160
140
120
100
80
60
40
20
0
11
Estonia
Chart 2:21.
Lithuania
12
Latvia
Spain
13
Portugal
Ireland
Italy
Greece
Source: European Commission
Budget deficit in relation to GDP
Per cent
15
15
10
10
5
5
0
0
3%
-5
-5
-10
-10
-15
-15
94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14
Estonia
Chart 2:22.
Latvia
Lithuania
Source: European Commission
Lending in foreign currency to households and non-financial companies
Per cent of total lending
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Latvia
Lithuania
December 2007
Chart 2:23.
Poland
Augusti 2011
Source: European Systemic Risk Board (ESRB)
Chapter 3
Bank assets in relation to GDP
December 2010
Per cent
Switzerland
United Kingdom
Netherlands
Sweden
Spain
Denmark
France
Germany
Austria
Ireland
Portugal
Average
Greece
Belgium
Italy
Luxembourg
Slovenia
Finland
Czech Republic
Latvia
Hungary
Poland
Bulgaria
Lithuania
Romania
Slovakia
Estonia
0
100
200
300
400
500
600
700
De svenska storbankernas utländska verksamhet
Chart 3:1.
Sources: ECB, the European Commission, the Swiss National Bank and the Riksbank
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
Earnings before loan losses and loan losses
in the major Swedish banks, March 2011
Totalled over four quarters, SEK billion, fixed prices, September 2011
120
120
100
100
80
80
60
60
40
40
20
20
0
0
-20
-20
Profit before loan losses
Chart 3:3.
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 3:4.
09:1
09:2
09:3
09:4
Net result of financial items
10:1
10:2
10:3
10:4
Net commission income
11:1
11:2
11:3
Net interest income
Sources: Bank reports and the Riksbank
The major Swedish banks’ return on
equity
Four-quarter moving average, per cent
25
20
15
10
5
0
01
02
03
04
05
Return on equity
Chart 3:5.
06
07
08
09
10
11
Average return on equity
Sources: Bank reports and the Riksbank
The major Swedish banks’ return on
total assets
Four-quarter moving average, per cent
0.9
0.9
0.8
0.8
0.7
0.7
0.6
0.6
0.5
0.5
0.4
0.4
0.3
0.3
0.2
0.2
0.1
0.1
0.0
0.0
01
02
03
04
05
Return on assets
Chart 3:6.
06
07
08
09
10
11
Average return on assets
Sources: Bank reports and the Riksbank
Breakdown of a mortgage loan with
three-month fixed rate
Per cent
8
Repo rate
7
Other funding costs up to the interbank rate
Funding costs in excess of the interbank rate
6
Margin
5
4
3
2
1
0
Jan-06
Chart 3:7.
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Jan-12
Sources: Bank reports and the Riksbank
Swedish major banks' lending to the
public in the Baltic countries
EUR billion and annual percentage change
45
30
40
25
35
20
30
15
25
10
20
5
15
0
10
-5
5
-10
0
-15
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
EUR billion (left axis)
Chart 3:8.
Annual percentage change (right axis)
Sources: Bank reports and the Riksbank
Market shares of lending in the Baltic
countries
Per cent
100%
17%
18%
80%
12%
18%
60%
47%
48%
9%
25%
23%
11%
12%
14%
40%
30%
14%
15%
20%
36%
42%
28%
45%
42%
23%
27%
2011 kv 3
2008 kv 3
25%
19%
0%
2011 kv 3
2008 kv 3
Estland
Lettland
Others
Chart 3:9.
2011 kv 3
Nordea
SEB
2008 kv 3
Litauen
Swedbank
Sources: Bank reports and the Riksbank
The major Swedish banks' loan losses
Percentage of lending at the start of the respective quarters
1.2
1.2
1.0
1.0
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
0.0
0.0
-0.2
-0.2
-0.4
-0.4
-0.6
-0.6
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
Specific provisions
Chart 3:10.
Reversals
Collective provisions
Write-offs
Loan-loss level
Sources: Bank reports and the Riksbank
The major Swedish banks’ loan losses
per quarter
SEK billion
16
14
12
10
8
6
4
2
0
-2
-4
08:3
08:4
09:1
Other countries
Chart 3:11.
09:2
09:3
09:4
10:1
The Baltic countries
10:2
10:3
10:4
11:1
Other Nordic countries
11:2
11:3
Sweden
Sources: Bank reports and the Riksbank
The major Swedish banks’ impaired
loans
Percentage of gross lending
4.0%
4.0%
3.5%
3.5%
3.0%
3.0%
2.5%
2.5%
2.0%
2.0%
1.5%
1.5%
1.0%
1.0%
0.5%
0.5%
0.0%
0.0%
01
02
03
04
05
Handelsbanken
Chart 3:12.
06
07
Nordea
08
SEB
09
10
11
12
Swedbank
Sources: Bank reports and the Riksbank
Core Tier 1 capital ratios of Swedish and
foreign banks as defined by Basel II
September 2011, per cent
0
2
4
6
8
10
12
14
16
18
UBS
Swedbank
Handelsbanken
SEB
Credit Suisse
Standard Ch.
Danske Bank
RBS
Barclays
Nordea
HSBC
Lloyds TSB
Intesa
Deutsche Bank
B. Popular Espana
BNP
Societe Gen.
Santander
Commerzbank
BBVA
Raiffeisen Int
Erste Bank
UniCredito
DnB NOR
Chart 3:13.
Sources: Bank reports and the Riksbank
Core Tier 1 capital ratios
Per cent
16
14
12
10
8
6
4
2
0
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
Handelsbanken
Basel II
Chart 3:14.
Basel III
Nordea
Transitional rules
SEB
Swedbank
Transitional rules excluding preference shares
Source: Bank reports and the Riksbank
Risk weights on mortgages defined by
Basel II
Per cent
60
50
40
30
20
10
0
Chart 3:15.
Sources: National central banks and the Riksbank
Core Tier 1 capital in relation to total
assets
Per cent
5.0%
5.0%
4.0%
4.0%
3.0%
3.0%
2.0%
2.0%
1.0%
1.0%
0.0%
0.0%
08:3
08:4
09:1
09:2
09:3
Handelsbanken
Chart 3:16.
09:4
10:1
Nordea
10:2
10:3
SEB
10:4
11:1
11:2
11:3
Swedbank
Source: Bank reports and the Riksbank
Countercyclical capital buffers for the
Swedish banks
Per cent
3.0
3.0
2.5
2.5
2.0
2.0
1.5
1.5
1.0
1.0
0.5
0.5
0.0
0.0
00
01
02
03
04
Handelsbanken
Chart 3:17.
05
06
Nordea
07
SEB
08
09
10
11
Swedbank
Sources: Bank reports, Reuters EcoWin and the Riksbank
The Riksbank's structural liquidity measure on
an aggregated for the major Swedish banks
Stable funding in relation to illiquid assets, per cent
90
80
70
60
50
40
30
20
10
0
2008
Chart 3:18.
2009
2010
Source: Liquidatum and the Riksbank
The major Swedish banks' funding,
September 2011
Per cent
1%
3%
14%
Government-guaranteed borrowing via the SNDO
5%
47%
5%
Interbank, net
Swedish covered bonds in SEK
Swedish covered bonds in foreign currencies
Foreign covered bonds
9%
Unsecured bonds
Certificates
Deposits
16%
Chart 3:19.
Sources: Bank reports and the Riksbank
The major Swedish banks’ market funding via
Swedish parent companies and subsidiaries
SEK billion
3,500
3,000
2,500
2,000
1,500
1,000
500
0
98
99
00
01
02
03
04
05
Foreign currency
Chart 3:20.
06
07
08
09
10
11
12
SEK
Sources: Statistics Sweden and the Riksbank
The major Swedish banks’ market
funding, December 2010
Per cent of total market funding
2
6
10
37
22
24
SEK
Chart 3:21.
EUR
USD
DKK
NOK
Other currencies
Sources: Bank reports and the Riksbank
The major Swedish banks’ short-term market funding
via Swedish parent companies and subsidiaries
SEK billion
900
800
700
600
500
400
300
200
100
0
98
99
00
01
02
03
04
05
Foreign currency
Chart 3:22.
06
07
08
09
10
11
12
SEK
Sources: Statistics Sweden and the Riksbank
Latvia
Lithuania
Romania
Hungary
Bulgaria
Poland
Austria
Slovenia
Denmark
Greece
Cyprus
France
Ireland
Spain
Germany
Luxembourg
Italy
Malya
Finaland
Netherlands
United Kingdom
Czech Republic
Portugal
Sweden
Slovakia
Belgium
Estonia
Lending in foreign currency to households
and non-financial companies
Percentage of total lending
100
90
80
70
60
50
40
30
20
10
0
Households
Chart B3:1
Non-financial companies
Source: European Systemic Risk Board (ESRB)
Distribution and change in U.S. money
market funds' exposure to banks
Per cent and percentage change
45
- 29 %
40
35
30
+ 37 %
25
20
15
10
+2%
+ 44 %
5
- 100
0
United States
Australia, Canada Nordic countries
and Japan
December 2010
Chart B3:2.
Fiscally weak
countries
Rest of Europe
September 2011
Source: Fitch Ratings
Average Liquidity Coverage Ratio (LCR)
according to the Basel regulations
Per cent
250
200
150
100
50
0
July 2011
Chart B3:3.
August 2011
September 2011
Sources: Finansinspektionen and the Riksbank
The major Swedish banks’ reported
liquid assets in US dollars
SEK billion
300
250
200
150
100
50
0
Handelsbanken
Nordea
March 2011
Chart B3:4.
June 2011
SEB
Swedbank
September 2011
Source: Bank reports
Percentage of issued securities with original
maturities of less than one year in the Swedish
banking system
September 2011, per cent
60
50
40
30
20
10
0
USD
Chart B3:5.
EUR
SEK
Source: The Riksbank
The major banks’ lending to the
public in US dollars
SEK billion
250
200
150
100
50
0
SEB
Chart B3:6
Handelsbanken
Nordea
Swedbank
Source: Bank reports
Development of the major Swedish
banks’ dollar assets
SEK billion
900
800
700
600
500
400
300
200
100
0
December 2010
Cash and balances with central banks
Loans to credit institutions
Loans to non-financial companies > 1 year
Chart B3:7.
Juni 2011
Other securities and reverse repos
Loans to non-financial companies < 1 year
Sources: Bank reports and the Riksbank
The Riksbank’s structural liquidity
measure
Per cent
100
90
80
70
60
50
40
30
20
10
0
Currency aggregated
Chart B3:8.
USD
Sources: Bank reports and the Riksbank
Chapter 4
Earnings before loan losses and loan
losses in the four major Swedish banks
Totalled over four quarters, SEK billion, fixed prices, September 2011
120
120
100
100
80
80
60
60
40
40
20
20
0
0
-20
-20
90
92
94
96
Profit before loan losses
Chart 4:1.
98
00
02
Loan losses
04
06
08
10
12
14
Main scenario loan losses FSR 2011:1
Sources: Bank reports and the Riksbank
Level of loan losses in the main
scenario
Per cent
0.20
0.15
0.10
0.05
0.00
-0.05
-0.10
-0.15
-0.20
Handelsbanken
Nordea
2011
Chart 4:2.
SEB
2012
Swedbank
2013
Total
2014
Source: The Riksbank
Distribution of loan losses per region in the
period 2012–2014 in the main scenario
SEK billion
10
9
8
7
6
5
4
3
2
1
0
Sweden
Chart 4:3.
Denmark
Finland
Norway
Estonia
Latvia
Lithuania
Other
countries
Source: The Riksbank
The major Swedish bank with the lowest Tier 1 capital
ratio after another major Swedish 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
Expected default frequency (EDF) for the Swedish nonfinancial companies in the stress test and in the main
scenario
Per cent
3.0
2.5
2.0
1.5
1.0
0.5
0.0
00
01
02
03
04
05
06
07
EDF, main scenario
Chart 4:5.
08
09
10
11
12
13
14
EDF, stress scenario
Sources: Moody's KMV and 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
2005
Main scenario
Chart 4:6.
2007
2009
2011
2013
Stress scenario
Sources: Statistics Sweden 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
Q3
12
13
14
Handelsbanken
Chart 4:7.
11
Q3
12
13
Nordea
14
11
Q3
12
13
SEB
14
11
Q3
12
13
14
Swedbank
Sources: Bank reports and the Riksbank
Factors that contribute to changes in the banks’
core Tier 1 capital ratios as defined by Basel III
in the stress test
Per cent
20%
6.9%
18%
-5,6%
16%
14%
12%
-2,1%
11,6%
10.8%
10%
8%
6%
4%
2%
0%
Core Tier 1
capital ratio Q 3
2011
Chart 4:8.
Earnings
Loan losses
Change in riskCore Tier 1
weighted assets capital ratio 2014
Source: The Riksbank
The Riksbank’s structural liquidity
measure for the major Swedish banks
Stable funding in relation to illiquid assets, per cent
100
90
80
70
60
50
40
30
20
10
0
SEB
Handelsbanken
December 2009
Chart 4:9.
Nordea
December 2010
Swedbank
September 2011
Source: Liquidatum and the Riksbank
Aggregated Net Stable Funding Ratio
(NSFR) for the major Swedish banks
Per cent
100
90
80
70
60
50
40
30
20
10
0
January 2011
Chart 4:10.
September 2011
Source: Finansinspektionen
Issues and maturity, long-term
securities
SEK billion
300
250
200
150
100
50
0
SEB
Handelsbanken
Nordea
Swedbank
Long-term securities issued until October 2011
Long-term securities maturing in 2011
Chart 4:11.
Sources: Bank reports, Bloomberg and the Riksbank
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
140
140
120
120
100
100
80
80
60
60
40
40
20
20
0
0
Chart 4:12.
Sources: Liquidatum and the Riksbank
The Riksbank’s short-term liquidity
measure for the major Swedish banks
Survival period, number of days
100
90
80
70
60
50
40
30
20
10
0
Handelsbanken
December 2009
Chart 4:13.
Nordea
December 2010
SEB
Swedbank
September 2011
Sources: Liquidatum and the Riksbank
Aggregated LCR for the major
Swedish banks
Survival period, number of days
45.000
40.000
35.000
30.000
25.000
20.000
15.000
10.000
5.000
0.000
January 2011
Chart 4:14.
September 2011
Sources: Finansinspektionen and the Riksbank
The Riksbank’s short-term liquidity measure for
the major Swedish banks and for banks in the
European sample
Survival period, number of days
140
Riksbankens
kortfristiga
The Riksbank's
shortmått
term measure
120
The Riksbank’s short-term measure assuming that no market
funding can be refinanced in the stressed three-month period
100
Mean value
80
60
40
20
0
Chart 4:15.
Sources: Liquidatum and the Riksbank
Systemic risk indicator, March 2006October 2011
Probability in per cent
0.05
Information on new issue by Swedish bank
Lehman Brothers files for bankruptcy
Support, or application for support,
from the EMU/IMF
0.04
0.03
0.02
0.01
0
Chart: B4:1.
Sources: Bloomberg, Moody’s KMV and the Riksbank
Chapter 5
Bank assets in relation to GDP
December 2010
Per cent
Switzerland
United Kingdom
Netherlands
Sweden
Spain
Denmark
France
Germany
Austria
Ireland
Portugal
Average
Greece
Belgium
Italy
Luxembourg
Slovenia
Finland
Czech Republic
Latvia
Hungary
Poland
Bulgaria
Lithuania
Romania
Slovakia
Estonia
0
100
200
300
400
500
600
700
De svenska storbankernas utländska verksamhet
Chart 5:1.
Sources: ECB, the European Commission, the Swiss National Bank and the Riksbank
Core Tier 1 capital ratios
Per cent
16
14
12
10
8
6
4
2
0
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
Handelsbanken
Basel II
Chart 5:2.
Basel III
Nordea
Transitional rules
SEB
Swedbank
Transitional rules excluding preference shares
Source: Bank reports and the Riksbank
The Riksbank’s short-term liquidity
measure for the major Swedish banks
Survival period, number of days
100
90
80
70
60
50
40
30
20
10
0
Handelsbanken
December 2009
Chart 5:3.
Nordea
December 2010
SEB
Swedbank
September 2011
Sources: Liquidatum and the Riksbank
Aggregated LCR for the major
Swedish banks
Survival period, number of days
45.000
40.000
35.000
30.000
25.000
20.000
15.000
10.000
5.000
0.000
January 2011
Chart 5:4.
September 2011
Sources: Finansinspektionen and the Riksbank
The Riksbank’s structural liquidity
measure for the major Swedish banks
Stable funding in relation to illiquid assets, per cent
100
90
80
70
60
50
40
30
20
10
0
SEB
Handelsbanken
December 2009
Chart 5:5.
Nordea
December 2010
Swedbank
September 2011
Source: Liquidatum and the Riksbank
Aggregated Net Stable Funding Ratio
(NSFR) for the major Swedish banks
Per cent
100
90
80
70
60
50
40
30
20
10
0
January 2011
Chart 5:6.
September 2011
Source: Finansinspektionen
Risk weights on mortgages defined by
Basel II
Per cent
60
50
40
30
20
10
0
Chart 5:7.
Sources: National central banks and the Riksbank
Average Liquidity Coverage Ratio (LCR)
according to the Basel regulations
Per cent
250
200
150
100
50
0
July 2011
Chart 5:8.
August 2011
September 2011
Sources: Finansinspektionen and the Riksbank
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
140
140
120
120
100
100
80
80
60
60
40
40
20
20
0
0
Chart 5:9.
Sources: Liquidatum and the Riksbank