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2014-06-04
Financial stability report 2014:1
European stress index Ranking (1=high stress, 0=low stress)
0,0
0,1
0,2
0,3
0,4
0,5
0,6
0,7
0,8
0,9
1,0
07 08 09 10 11 12 13 14
Money market Bond market Stock market
Financial intermediaries Foreign exchange market Stress index
Source: European Central Bank (ECB) Chart 1:1
Swedish stress index Ranking (1=high stress, 0=low stress)
Sources: Bloomberg and the Riksbank Chart 1:2
CET 1 capital ratios in accordance with Basel III Per cent
0
5
10
15
20
Handels-banken
Nordea SEB Swedbank
March 2012 March 2013 March 2014
Sources: Bank reports and the Riksbank Chart 1:3
100 100
137
99,5
7,0
3,0
16,5
4,1
0
2
4
6
8
10
12
14
16
18
0
20
40
60
80
100
120
140
160
180
LCR NSFR CET 1 Leverage ratio
Liquidity, left scale Capital, right scale
Minimum level Basel III Major Swedish banks
Sources: Bank reports, BIS and the Riksbank Chart 1:4
The four Basel III measures December 2013, per cent
Lending by the major Swedish banks in the Riksbank's main scenario SEK billion
0
2 000
4 000
6 000
8 000
10 000
14 15 16
Sweden, corporates Sweden, households Norway
Denmark Finland The Baltic countries
Other countries
Source: The Riksbank Chart 1:5
Profits before loan losses and loan losses in the major Swedish banks Rolling four quarters, SEK billion, fixed prices, March 2014
-20
0
20
40
60
80
100
120
91 93 95 97 99 01 03 05 07 09 11 13 15
Profit before loan losses Loan losses
Sources: Bank reports and the Riksbank Chart 1:6
The banks’ assets in relation to GDP December 2013, per cent
0 100 200 300 400 500
Estonia
Romania
Lithuania
Slovakia
Czech Republic
Bulgaria
Poland
Hungary
Latvia
Finland
Slovenia
Belgium
Italy
Ireland
Average
Luxembourg
Greece
Portugal
Germany
Austria
Cyprus
Denmark
France
Spain
United Kingdom
Sweden
Netherlands
Switzerland
Sources: ECB, the European Commission, the Swiss National Bank and the Riksbank Chart 1:7
The major Swedish banks’ wholesale funding via Swedish parent companies and subsidiaries SEK billions
0
500
1 000
1 500
2 000
2 500
3 000
3 500
4 000
02 03 04 05 06 07 08 09 10 11 12 13 14
SEK Foreign currency
Sources: Statistics Sweden and the Riksbank Chart 1:8
The major Swedish banks' funding March 2014, per cent
5
24
10
14
47
0,2
Interbank, net Covered bonds Senior bonds Certificates Deposits Other
Sources: Bank reports and the Riksbank Chart 1:9
The major Swedish banks' lending December 2013, per cent
Sources: Bank reports, Statistics Sweden and the Riksbank Chart 1:10
Owners of Covered Bonds December 2013, per cent
22
26
9
6
36
Swedish banksSwedish insurance companiesOther financial institutions, including Swedish fundsPublic sector including National Swedish Pension FundsForeign investors
Sources: Statistics Sweden and the Riksbank Chart 1:11
The major Swedish bank's liquidity coverage ratio (LCR) February 2014, per cent
0
50
100
150
200
250
300
USD EUR SEK All currencies
Sources: Finansinspektionen and the Riksbank Chart 1:12
Equity in relation to total assets December 2013, per cent
0 1 2 3 4 5 6 7 8
Crédit Agricole
Deutsche Bank
Société Générale
Handelsbanken
Danske Bank
Nordea
Lloyds
Barclays
Commerzbank
UBS
SEB
BNP Paribas
Credit Suisse
Average
RBS
UniCredit
DNB
Swedbank
HSBC
Banco Santander
Intesa Sanpaolo
Erste Bank
BBVA
Raiffeisen Bank
Source: SNL Financial Chart 1:13
Equity in relation to total assets, Swedish bank Per cent
0
5
10
15
20
25
30
35
1870 1880 1890 1900 1910 1920 1930 1940 1950 1960 1970 1980 1990 2000 2010
Sorces: Hortlund, Do Inflation and High Taxes Increase Bank Leverage?, SSE/EFI Working Paper Series in Economics and Finance, No 6122005, November 2005 and the Riksbank
Chart 1:14
Household debts in various countries December 2012, percentage of disposable income
0 50 100 150 200 250 300
Italy
Germany
Austria
Belgium
France
USA
Finland
Japan
Spain
Portugal
United Kingdom
Canada
Sweden
Switzerland
Norway
Ireland
The Netherlands
Denmark
Source: The OECD Chart 1:15
The Swedish households' debt and real property price index Per cent, total debt as a proportion of disposable income and index, 2000 Q1 = 100
60
80
100
120
140
160
180
200
80 85 90 95 00 05 10
Debt ratio Real property price index
Sources: Statistics Sweden and the Riksbank Chart 1:16
Household expectations of the variable mortgage rate one, two and five years ahead Per cent
0
1
2
3
4
5
6
7
13 14 15 16 17 18 19
Repo-rate +1.7 percentage points Repo-rate +2.0 percentage points
Households' mortgage-rate expectations
Sources: The National Institute of Economic Research and the Riksbank Chart 1:17
The credit-to-GDP ratio and statistical trend according to the Basel Committee's standard method Per cent
0
20
40
60
80
100
120
140
160
80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12
Credit-to-GDP ratio Trend
Source: The Riksbank Chart 1:18
The countercyclical buffer rate according to the Basel Committee's standard method Per cent
0,0
0,5
1,0
1,5
2,0
2,5
3,0
80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12
Source: The Riksbank Chart 1:19
The major Swedish banks' results in the Riksbanks' structural liquidity measure Per cent
0
10
20
30
40
50
60
70
80
90
100
08 09 10 11 12 13 14
Sources: Liquidatum and the Riksbank Chart 1:20
The credit-to-GDP ratio and statistical trend according to the Basel Committee's standard method Per cent
0
20
40
60
80
100
120
140
160
80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12
Credit-to-GDP ratio Trend Average
Source: The Riksbank Chart B1:1
The countercyclical buffer rate according to the Basel Committee's standard method Per cent
0,0
0,5
1,0
1,5
2,0
2,5
3,0
80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12
Source: The Riksbank Chart B1:2
The countercyclical buffer rate according to the Basel Committee's standard method with no upper limit for the buffer rate Per cent
0
1
2
3
4
5
6
7
8
80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12
Source: The Riksbank Chart B1:3
The credit-to-GDP ratio and alternative trend using Norges Bank's method Per cent
0
20
40
60
80
100
120
140
160
80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12
Credit-to-GDP ratio Standard trend Alternative trend
Source: The Riksbank Chart B1:4
The countercyclical buffer rate in Sweden according to Norges Bank's method Per cent
0,0
0,5
1,0
1,5
2,0
2,5
3,0
80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12
Countercyclical buffer rate according to Norges Bank's method
Countercyclical buffer rate according to the standard method
Source: The Riksbank Chart B1:5
Credit funded by non-stable funding Per cent of GDP
0
5
10
15
20
25
30
35
40
80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12
Source: The Riksbank Chart B1:6
Real house prices and statistical trend Index, 1980 Q4=100
0
20
40
60
80
100
120
140
160
180
200
80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12
Real house prices Trend
Source: The Riksbank Chart B1:7
The major Swedish banks LCRs Per cent
Chart B1:8 Sources: Finansinspektionen and the Riksbank
The major Swedish banks average and lowest LCR levels in Swedish kronor Per cent
Chart B1:9 Sources: Finansinspektionen and the Riksbank
Distribution of the major Swedish banks' liquidity buffers March 2014, per cent
0
5
10
15
20
25
30
35
40
45
SEK Euro USD Other
Level 1 Level 2 Level 2 excluded from LCR
Chart B1:10 Sources: Finansinspektionen and the Riksbank
The major Swedish banks' need for additional level 1 assets to reach an LCR in kronor of 60 per cent, compared to outstanding government bonds SEK billion
100
770
50
0
100
200
300
400
500
600
700
800
900
Level 1 assets today Additional need for level 1assets
Outstanding governmentbonds
Chart B1:11 Sources: Finansinspektionen, the Swedish National Debt Office and the Riksbank
2014-06-04
Chapter 2
Expected volatility on the bond and stock markets Index
Sources: Reuters EcoWin and the Riksbank Chart 2:1
Expected volatility on the bond and stock markets Index
Sources: Reuters EcoWin and the Riksbank Chart 2:2
Ten-year government bond yields Per cent
0
1
2
3
4
11 12 13 14
United States Germany United Kingdom Sweden
Source: Reuters EcoWin Chart 2:3
Developments on the stock market Index, 1 January 2013 = 100
Sources: Bloomberg and the Riksbank Chart 2:4
The difference between the yield on European corporate bonds and German government bonds Percentage points
0,0
0,5
1,0
1,5
2,0
2,5
3,0
3,5
4,0
4,5
5,0
07 08 09 10 11 12 13 14
Corporates, AA Corporates, A Corporates, BBB
Sources: Reuters EcoWin and the Riksbank Chart 2:5
Risk premia for Swedish corporate bonds Basis points
0
50
100
150
200
250
08 09 10 11 12 13 14
Source: NASDAQ OMX Chart 2:6
Issued volumes for Swedish corporates, regardless of currency and number of issuers EUR billion and number
0
2
4
6
8
10
12
14
16
18
01 02 03 04 05 06 07 08 09 10 11 12 13
Higher credit worthiness Lower credit worthiness
18 10 2014 141216132013 594525
Sources: Dealogic and the Riksbank Chart 2:7
Emerging market economies' exchange rate against US dollar Index, 1 January 2013 = 100
Source: Bloomberg and the Riksbank Chart 2:8
Ten-year government bond yields Per cent
0
2
4
6
8
10
12
14
16
18
08 09 10 11 12 13 14
Italy Spain France Portugal Ireland Germany
Source: Reuters Ecowin Chart 2:9
Balances in Target2 EUR billion
-500
-300
-100
100
300
500
700
900
11 12 13 14
Germany Spain Italy Portugal Ireland Greece
Source: Bloomberg and the Riksbank Chart 2:10
The banks' lending to non-financial companies Annual growth rate, per cent
-30
-20
-10
0
10
20
30
40
04 05 06 07 08 09 10 11 12 13 14
Germany Spain France Italy
Source: ECB Chart 2:11
Covered bond yield and the swap rate Per cent
0
1
2
3
4
5
6
7
8
09 10 11 12 13 14
Italy France Spain Germany Sweden Swap rate
Sources: Barclays Research and Bloomberg Chart 2:12
Five-year CDS premiums for banks Basis points
0
100
200
300
400
500
600
700
11 12 13 14
Germany Spain France Italy Netherlands Sweden
Sources: Bloomberg, Reuters EcoWin and the Riksbank Chart 2:13
Swedish banks' funding cost via covered bonds Basis points
Source: Bloomberg and the Riksbank Diagram 2:14
The risk premium on the interbank market Basis points
Sources: Bloomberg and the Riksbank Chart 2:15
Stibor and the interest rate for unsecured loans from tomorrow until the day after tomorrow between the banks in the Stibor panel Per cent
Source: The Riksbank Chart B2:1
2014-06-04
Chapter 3
Housing prices in Sweden Index, January 2005=100
100
120
140
160
180
200
220
05 06 07 08 09 10 11 12 13 14
Tenant-owned apartment Single-family houses
Sources: Valueguard and the Riksbank Chart 3:1
The Swedish households' debts Annual percentage change
Sources: Statistics Sweden and the Riksbank Chart 3:2
The Swedish households' debt ratio Per cent, total debt in relation to disposable income
60
80
100
120
140
160
180
200
71 74 77 80 83 86 89 92 95 98 01 04 07 10 13 16
Debt ratio Debt ratio, incl. tenant-owner associations
Sources: Statistics Sweden and the Riksbank Chart 3:3
Average debt of Swedish tenant-owner associations in different municipalities SEK per square meter of living space
0
1 000
2 000
3 000
4 000
5 000
6 000
7 000
Stockholm Göteborg Malmö Whole country
2007 2012
Source: Värderingsdata Chart 3:4
Debt ratios for different groups, 2013 Per cent, debt in relation to disposable income
0
50
100
150
200
250
300
350
400
All, even non-indebted
Only indebted Only mortgageborrowers
New mortgageborrowers
Sources: Statistics Sweden, Finansinspektionen and the Riksbank Chart 3:5
Household debt ratios in different income groups, only mortgage borrowers Per cent, debt in relation to disposable income
0
100
200
300
400
500
600
1 2 3 4 5 6 7 8 9 10
Income groups (deciles)
Source: The Riksbank Chart 3:6
Proportion of mortgage borrowers that has increased, decreased or kept their debts unchanged between 2012 and 2013, and calculated repayment rate Percentages
4
10
15
10
23
16
23
Repaid all debt
0 to 10 years
10 to 30 years
30 to 50 years
>50 years
Unchanged debt
Increased debt
Source: The Riksbank Chart 3:7
The Swedish households' assets and debts Per cent of disposable income
0
100
200
300
400
500
600
700
71 74 77 80 83 86 89 92 95 98 01 04 07 10 13
Total assets excluding collective insurance Real assets
Financial assets Debt
Cash and bank deposits
Sources: Statistics Sweden and the Riksbank Chart 3:8
The share of debt held by indebted households in different income groups, 2013 Per cent
0
5
10
15
20
25
30
35
1 2 3 4 5
Income groups (quintiles)
Source: The Riksbank Chart 3:9
The share of financial assets and real assets held by indebted households in different income groups, 2007 Per cent
0
10
20
30
40
50
1 2 3 4 5
Income groups (quintiles)
Percentage of financial assets Percentage of real assets
Sources: Statistics Sweden and the Riksbank Chart 3:10
The Swedish households' interest expenditure Per cent of disposable income
0
2
4
6
8
10
12
71 75 79 83 87 91 95 99 03 07 11 15
Debt ratio Forecast
Sources: Statistics Sweden and the Riksbank Chart: 3:11
The Swedish households' expectations of housing prices Net figures
-80
-60
-40
-20
0
20
40
60
80
04 05 06 07 08 09 10 11 12 13 14
Source: SEB Chart 3:12
Swedish corporate debt Annual percentage change
Sources: Statistics Sweden and the Riksbank Chart 3:13
Swedish corporate debt Total debt as a percentage of GDP
Sources: Statistics Sweden and the Riksbank Chart 3:14
Non-financial companies' debt in different countries, 2013 Percentage of GDP
0 100 200 300 400
Sweden, excl.intra-company loans
Sweden
Sources: Bank for International Settlements, Statistics Sweden and the Riksbank Chart 3:15
Default rate for Swedish companies Per cent
Sources: Swedish Companies Registration Office, Statistics Sweden and The Riksbank Chart 3:16
Expected default frequencies for Swedish companies Median
Source: Moody's KMV Chart 3:17
Commercial property prices in Sweden Index, 1984=100
0
50
100
150
200
250
300
84 87 90 93 96 99 02 05 08 11
Commercial property Commercial property for residential purposes
Real house price index
Sources: IPD and the Riksbank Chart 3:18
Number of corporate bankruptcies Twelve-month moving average, index, 2007=100
0
50
100
150
200
250
300
350
00 02 04 06 08 10 12 14
Sweden Denmark Finland Norway
Sources: Reuters EcoWin and the Riksbank Chart 3:19
Households' debt ratio and consumption in Denmark Debt as a percentage of disposable income and DKK billion
120
130
140
150
160
170
180
190
200
160
180
200
220
240
260
280
300
320
00 01 02 03 04 05 06 07 08 09 10 11 12 13
Skuldkvot (vänster skala) Konsumtion (höger skala)
Source: Macrobond Chart 3:20
Housing prices in Norway Index, 2003=100
100
120
140
160
180
200
220
03 04 05 06 07 08 09 10 11 12 13 14
Sources: Norwegian Association of Real Estate Agents and the Riksbank Chart 3:21
Late payments Per cent of outstanding loans
0
5
10
15
20
25
01 02 03 04 05 06 07 08 09 10 11 12 13
Estonia (more than 60 days) Latvia (more than 90 days) Lithuania (more than 60 days)
Sources: Eesti Pank, Financial and Capital Market Comission and Lietuvos Bankas Chart 3:22
2014-06-04
Chapter 4
The major Swedish banks' income and costs Rolling four quarters, SEK billion
Sources: Bank reports and the Riksbank Chart 4:1
Costs in relation to income Rolling four quarters, per cent
Sources: SNL Financial and the Riksbank Chart 4:2
Loan losses in relation to lending to the public Rolling four quarters, per cent
Sources: SNL Financial and the Riksbank Chart 4:3
Return on equity Rolling four quarters, per cent
Sources: SNL Financial and the Riksbank Chart 4:4
Lending to the public of the major Swedish banks SEK billion
0
1 000
2 000
3 000
4 000
5 000
6 000
7 000
8 000
05 06 07 08 09 10 11 12 13 14
Swedish mortgages Non-financial companies, Sweden
Other lending, Sweden Lending, abroad
Sources: Statistics Sweden, bank reports and the Riksbank Chart 4:5
The major Swedish banks’ loan losses SEK billion, quarterly
-4
-2
0
2
4
6
8
10
12
14
16
18
08 09 10 11 12 13 14
Sweden Denmark Norway Finland The Baltic countries Other countries
Sources: Bank reports and the Riksbank Chart 4:6
The major Swedish banks impaired loans as a percentage of total lending, the Baltic countries Per cent
Sources: Bank reports and the Riksbank Chart 4:7
Forecast of the major Swedish banks loan losses according to the Riksbank's main scenario SEK billion per year
0
2
4
6
8
10
12
14 15 16
Sweden Denmark Norway Finland The Baltic countries Other countries
Source: The Riksbank Chart 4:8
Development of the major Swedish banks' core Tier 1 capital ratios, Basel II Percentage points
0
2
4
6
8
10
12
14
16
18
Core tier 1 ratio,December 2008
Change incore tier 1
capital
Change inaverage
risk-weights
Change intotal assets
Core tier 1 ratio,December 2013
Source: Bank reports and the Riksbank Chart 4:9
The major Swedish bank's core Tier 1 capital ratios and core Tier 1 capital in relation to total assets Per cent
Sources: SNL Financial and the Riksbank Chart 4:10
Swedish and European banks' core tier 1 capital ratios and equity in relation to total assets December 2013, per cent
8
10
12
14
16
18
20
1 2 3 4 5 6 7 8 9
Co
re t
ier
1 c
ap
ital
rati
o
Equity / total assets
HandelsbankenSwedbank
SEB
Nordea
Sources: SNL Financial and the Riksbank Chart 4:11
The major Swedish banks' CET 1 capital ratios and requirements March 2014, per cent
Sources: Bank reports and the Riksbank Chart 4:12
CET 1 capital ratios according to Basel III, initially and in the stress test Per cent
0
5
10
15
20
25
Q114
14 15 16 Q114
14 15 16 Q114
14 15 16 Q114
14 15 16
Handelsbanken Nordea SEB Swedbank
Sources: Bank reports and the Riksbank Chart 4:13
The major Swedish banks' CET 1 capital ratios in the stress test and changes in them over time Per cent
Chart 4:14 Sources: Bank reports and the Riksbank
0
1
2
3
4
5
6
Q114
14 15 16 Q114
14 15 16 Q114
14 15 16 Q114
14 15 16
Handels-banken
Nordea SEB Swedbank
Leverage ratios, initially and in the stress test Per cent
Chart 4:15 Sources: SNL Financial and the Riksbank
The major Swedish banks' counterparty exposures through securities holdings SEK billion
0
100
200
300
400
500
600
700
800
900
07 08 09 10 11 12 13 14Other exposures
The 15 largest counterparty exposures (excl. the major Swedish banks)
The major Swedish banks
Source: The Riksbank Chart 4:16
The Riksbank's structural liquidity measure December 2013, per cent
0 20 40 60 80 100 120 140
SEB
Nordea
Handelsbanken
Swedbank
Average
Sources: Liquidatum and the Riksbank Chart 4:17
Average maturity of issued Swedish covered bonds Number of years
Source: Association of Swedish Covered Bond issuers Chart 4:18
Swedish money market funds' assets per legal domicile SEK billion
0
50
100
150
200
250
07 08 09 10 11 12 13
Sweden Luxembourg Finland
Source: Morningstar Chart B4:1
Outstanding Swedish debt instruments per remaining maturity and type of issuer March 2014, SEK billion
0
200
400
600
800
1000
1200
1400
1600
Certificates < 1 yearmaturity
< 2 yearsmaturity
Banks, incl. covered bonds Non-financial corporations
Government, regional, municipalities
Source: Statistics Sweden Chart B4:2
US money market funds' investments in different countries' banking sectors USD billion
0
100
200
300
400
500
600
11 12 13 14
Sweden Euro area Other Europe
Sources: ICI and the Riksbank Chart B4:3
0
500
1000
1500
2000
2500
3000
Covered Bonds Other bonds Certificates
SEK Other currencies incl. USD Other currencies excl. USD USD
The major Swedish bank's market funding March 2014, SEK Billion
Sources: Bank reports and the Riksbank Chart B4:4
US money market funds' investments in the country's banks in relation to the size of the banking sector April 2014, per cent
0 1 2 3 4 5 6
Austria
Germany
Sweden
United Kingdom
Spain
Switzerland
Norway
Netherlands
Luxembourg
Italy
France
Belgium
Sources: SNL Financial, ECB, ICI and the Riksbank Chart B4:5
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