Chapter

Transcription

1 Chapter

2 Stability web Macroeconomic conditions Banks Financial markets Banks' borrowers FSR 212:2 FSR 212:1 Chart 1:1 Source: The Riksbank

3 European stress index Ranking Money market Bond market Stock market Financial intermediaries Foreign exchange market Stress index Chart 1:2 Source: ECB

4 Systemic risk indicator for the Swedish financial system Probability, per cent Chart 1: Source: The Riksbank

5 Core Tier 1 capital ratios according to Basel II June 212, per cent UBS Handelsbanken Swedbank SEB Credit Suisse Commerzbank Danske Bank Nordea St. Chartered Lloyds HSBC RBS BNP Paribas Barclays BBVA Intesa Sanpaolo Erste Group Bank UniCredit Deutsche Bank Raiffeisen DNB Société Générale Credit Agricole Chart 1:4 Sources: SNL and the Riksbank

6 Adjusted leverage ratio December 211, per cent UBS Intesa Sanpaolo HSBC RBS St. Chartered Erste Group Bank BBVA Barclays BNP Paribas UniCredit Credit Agricole Société Générale Lloyds Raiffeisen Swedbank SEB DNB Credit Suisse Commerzbank Danske Bank Nordea Deutsche Bank Handelsbanken Chart 1:5 Sources: Liquidatum and the Riksbank

7 The credit gap for Sweden Per cent of GDP Non-financial corporates Households Other Total Chart 1:6 Sources: Statistics Sweden and the Riksbank

8 Countercyclical capital buffers Per cent Handelsbanken Nordea SEB Swedbank. Chart 1:7 Source: The Riksbank

9 Difference in yields for 1-year government bonds Per cent Ireland Italy Portugal Spain Chart 1:8 Sources: Finansinspektionen and the Riksbank

10 Profit before loan losses and loan losses in the four major banks Rolling four quarters, SEK billion, fixed prices, September Profit before loan losses Loan losses Main scenario loan losses FSR 212: Chart 1:9 Sources: Bank reports and the Riksbank

11 Chart 1:1 Swedish banks' wholesale funding in foreign currency Per cent of GDP Chart 1:1 Sources: Statistics Sweden and the Riksbank

12 Household debt 21 Percentage of disposable income Denmark Netherlands Ireland Norway Sweden United Kingdom Portugal Spain USA Finland Euro area Austria Germany Belgium France Italy Poland Chart 1:11 Sources: Eurostat, Federal Reserve and Bureau of Economic Analysis

13 The banks assets in relation to GDP. December 211, per cent Switzerland United Kingdom Netherlands Sweden Spain Denmark France Germany Austria Ireland Portugal Average Greece Italy Belgium Luxembourg Slovenia Finland Latvia Hungary Poland Bulgaria Romania Slovakia Lithuania Estonia Czech Republic The major Swedish banks foreign operations Chart 1:12 Sources: ECB, the European Commission, the Swiss National Bank and the Riksbank

14 Common equity Tier 1 capital ratios according to Basel III Per cent Handelsbanken Nordea SEB Swedbank March 212 June 212 September 212 Chart 1:13 Sources: Bank reports and the Riksbank

15 The Riksbank's structural liquidity measure Per cent Swedbank Average Handelsbanken Nordea SEB Chart 1:14 Sources: Liquidatum and the Riksbank

16 The major Swedish banks' average NSFR Per cent Chart 1:15 Sources: Finansinspektionen and the Riksbank

17 The major Swedish banks' average LCR Per cent Total US dollar Euro March 212 September 212 Chart 1:16 Sources: Finansinspektionen and the Riksbank

18 Chapter

19 Yields on two-year government bonds in 212 Per cent Chart 2:1 Source: Reuters EcoWin

20 Private capital flows for countries with sovereign debt problems in the euro area Per cent of GDP Chart 2:2 Sources: Reuters EcoWin, national central banks and the Riksbank

21 Private capital flows for core countries in the euro area Per cent of GDP Chart 2:3 Sources: Reuters EcoWin, national central banks, Bloomberg and the Riksbank

22 Banks borrowing from the ECB Percentage of total assets Chart 2:4 Sources: Bloomberg, the ECB, national central banks and the Riksbank

23 Banks total lending Annual percentage change Chart 2:5 Source: ECB

24 Yields on ten-year government bonds Per cent Sweden Germany France UK United States Chart 2:6 Source: Reuters EcoWin

25 Swedish stress index Ranking Chart 2:7 Sources: Reuters EcoWin, Bloomberg and the Riksbank

26 Five-year CDS premiums for banks Basis points Chart 2:8 Sources: Bloomberg and the Riksbank

27 European Banks issue volumes EUR billion Chart 2:9 Sources: Dealogic and the Riksbank

28 Yields for bank bonds Basis points Chart 2:1 Source: Barclays Research

29 The risk premium on the interbank market Basis points Sweden UK Euro area United States Chart 2:11 Sources: Bloomberg and the Riksbank

30 Indicative breakdown of the risk premium in the euro area Basis points Credit risk Liquidity risk Chart 2:12 Sources: Bloomberg and the Riksbank

31 Cost of borrowing in euros for three months and converting the loan to US dollars Basis points Chart 2:13 Sources: Bloomberg and the Riksbank

32 Indicative breakdown of the risk premium in Sweden Basis points Credit risk Liquidity risk Chart 2:14 Sources: Bloomberg and the Riksbank

33 Yields for European corporate bonds and bank bonds Basis points Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Non-financial companies, AA Non-financial companies, A Non-financial companies, BBB Bank bonds Chart 2:15 Source: Barclays Research

34 Swedish companies issue volumes irrespective of currency EUR billion Bonds with high credit ratings High-yield bonds Others Chart 2:16 Sources: Dealogic and the Riksbank

35 Chapter

36 Lending of the major Swedish banks by geographical area, September 212 Percentage of total lending Other countries The Baltic 8% countries 4% Other Nordic countries 35% Sweden 53% Chart 3:1 Sources: Bank reports and the Riksbank

37 Lending of the major Swedish banks per borrower category, September 212 Percentage of total lending Companies, excluding property companies 34% Households 47% Property companies 19% Chart 3:2 Sources: Bank reports and the Riksbank

38 Household debt Per cent Monthly percentage changes restated as an annual rate Annual percentage change Chart 3:3 Sources: Statistics Sweden and the Riksbank

39 Prices for single-family houses and tenant-owned apartments Index, January 28= Mäklarstatistik (tenant-owned apartment) Valueguard (tenant-owned apartment) Mäklarstatistik (single-family house) Valueguard (single-family house) 6 Chart 3:4 Sources: Mäklarstatistik and Valueguard

40 Household debt and post-tax interest expenditure Percentage of disposable income Debt ratio (left scale) Interest ratio (right scale) Chart 3:5 Sources: Statistics Sweden and the Riksbank

41 Debts of new mortgage borrowers Percentage of disposable income Chart 3:6 Stockholm Malmö Göteborg Other municipalities Source: The Riksbank

42 Amortisation periods for new mortgage borrowers Percentage of households Chart 3:7 Source: Finansinspektionen

43 Calculation of household debt given different assumptions regarding amortisation behaviour Percentage of disposable income Without amortisation With amortisation Chart 3:8 Sources: Statistics Sweden and the Riksbank

44 Household saving Percentage of disposable income Total savings Own total savings Own net lending Chart 3:9 Source: The Riksbank

45 Household assets and debts Percentage of disposable income Total wealth Real wealth Liquid wealth Debts Chart 3:1 Sources: Statistics Sweden and the Riksbank

46 Default rate for Swedish companies Per cent Default rate Forecast FSR 212:1 Forecast FSR 212:2 Five-year moving average. Chart 3:11 Source: The Riksbank

47 Household debt Annual percentage change Sweden Denmark Finland Norway Chart 3:12 Sources: Reuters EcoWin and the Riksbank

48 Real house prices Index, quarter = Sweden Denmark Finland Norway Chart 3:13 Sources: Reuters EcoWin and the Bank for International Settlements

49 Late payments Percentage of total lending Estonia (more than 6 days) Latvia (more than 9 days) Lithuania (more than 6 days) Chart 3:14 Sources: Eesti Pank, Financial and Capital Market Commission and Lietuvos Bankas

50 Real house prices in Sweden Index, 1952= Chart RB:1 Sources: Statistics Sweden and the Riksbank

51 Household debt Percentage of disposable income Chart B3:2 Sources: Statistics Sweden and the Riksbank

52 Percentage of mortgages with variable or fixed rates in Sweden Per cent Variable rate Fixed rate Chart B3:3 Source: Statistics Sweden

53 Chapter

54 The major Swedish banks' income and costs Rolling four quarters, SEK billion Chart 4: Costs Other income Net result of financial items Net commission income Net interest income Sources: Bank reports and the Riksbank

55 Annual change in lending and deposits Rolling four quarters, SEK billion Sep 8 Dec 8 Mar 9 Jun 9 Sep 9 Dec 9 Mar 1 Jun 1 Sep 1 Dec 1 Mar 11 Jun 11 Sep 11 Dec 11 Mar 12 Jun 12 Sep 12 Lending Deposits Chart 4:2 Sources: Bank reports and the Riksbank

56 Breakdown of interest rates on new mortgages with fixed-interest periods of three months Per cent Repo rate Funding costs in excess of the repo rate Gross margin Chart 4:3 Sources: Bank reports, Reuters EcoWin and the Riksbank

57 Return on equity Rolling four quarters, per cent Chart 4:4 Sources: Bank reports and the Riksbank

58 The major banks' assets September 212, per cent Other (13) Derivatives (9) Cash (7) Debt securities (9) Interbank (6) Lending in foreign currency (27) Lending in SEK (28) Chart 4:5 Sources: Bank reports and the Riksbank

59 The major Swedish banks' loan losses Percentage of lending at the start of the respective quarters Sep 8 Dec 8 Mar 9 Jun 9 Sep 9 Dec 9 Mar 1 Jun 1 Sep 1 Dec 1 Mar 11 Jun 11 Sep 11 Dec 11 Mar 12 Jun 12 Sep 12 Collective provisions Specific provisions Write-offs Reversals Recoveries Loan-loss level Chart 4:6 Sources: Bank reports and the Riksbank

60 Geographical distribution of loan losses SEK billions Sep 8 Dec 8 Mar 9 Jun 9 Sep 9 Dec 9 Mar 1 Jun 1 Sep 1 Dec 1 Mar 11 Jun 11 Sep 11 Dec 11 Mar 12 Jun 12 Sep 12 Sweden Denmark Other Nordic countries The Baltic countries Other countries Chart 4:7 Sources: Bank reports and the Riksbank

61 Core Tier 1 capital ratios according to Basel II June 212, per cent UBS Handelsbanken Swedbank SEB Credit Suisse Commerzbank Danske Bank Nordea St. Chartered Lloyds HSBC RBS BNP Paribas Barclays BBVA Intesa Sanpaolo Erste Group Bank UniCredit Deutsche Bank Raiffeisen DNB Société Générale Credit Agricole Chart 4:8 Sources: SNL and the Riksbank

62 Change in core Tier 1 capital ratio Per cent Core Tier 1 capital ratio, Sept. 28 Change from new issues Change from accrued profits Change in riskweighted assets Core Tier 1 capital ratio, Sept. 212 Chart 4:9 Sources: Bank reports and the Riksbank

63 Leverage ratio December 211, per cent UBS Intesa Sanpaolo HSBC RBS St. Chartered Erste Group Bank BBVA Barclays BNP Paribas UniCredit Credit Agricole Société Générale Lloyds Raiffeisen Swedbank SEB DNB Credit Suisse Commerzbank Danske Bank Nordea Deutsche Bank Handelsbanken Chart 4:1 Sources: Liquidatum and the Riksbank

64 The major Swedish banks' liabilities and equity Per cent, September 212 Chart 4:11 Sources: Bank reports and the Riksbank

65 Lending in relation to deposits December 211, per cent Handelsbanken Danske Bank Swedbank Intesa Sanpaolo Nordea DNB BBVA UniCredit Lloyds Société Générale SEB BNP Paribas Raiffeisen Credit Agricole Commerzbank Barclays Erste Group Bank RBS UBS St. Chartered Credit Suisse HSBC Deutsche Bank Chart 4:12 Sources: Liquidatum and the Riksbank

66 The major Swedish banks' average NSFR Per cent September 211 March 212 September 212 Chart 4:13 Sources: Finansinspektionen and the Riksbank

67 Wholesale funding via Swedish parent companies and subsidiaries SEK billions SEK Foreign currency Chart 4:14 Sources: Statistics Sweden and the Riksbank

68 Outstanding bank certificates SEK billions SEK Foreign currency Chart 4:15 Sources: Statistics Sweden and the Riksbank

69 US money market funds' exposures USD billions 1,2 1, Sep 9 Jan 1 May 1 Sep 1 Jan 11 May 11 Sep 11 Jan 12 May 12 Sep 12 Exposures Nordic banks Exposures European banks Chart 4:16 Sources: Fitch Ratings and the Riksbank

70 The major banks' liquidity buffers SEK billions Chart 4:17 Sources: Bank reports and the Riksbank

71 Average LCR Per cent Total US dollar Euro March 212 September 212 Chart 4:18 Sources: Finansinspektionen and the Riksbank

72 The major banks' asstes in US dollar SEK billion 1,2 1, Assets, Dec. 21 Illiquid assets Liquid assets Assets, Dec. 211 Illiquid assets Liquid assets Chart 4:19 Sources: Bank reports and the Riksbank

73 A stylized balance sheet of a bank Encumbered assets including overcollaterization Secured creditors Unencumbered assets Unsecured creditors Capital owners Assets Liabilities Chart B4:1 Source: The Riksbank

74 Asset encumbrance for the Swedish banks Per cent of total assets, December Cover pool Repo collateral Derivatives and other Chart B4:2 Sources: Bank reports and the Riksbank

75 Chapter

76 GDP Quarterly changes in per cent calculated as an annual rate, seasonallyadjusted data Sweden Euro area United States World Chart 5:1 Sources: Bureau of Economic Analysis, Eurostat, Statistics Sweden and the Riksbank

77 Profit before loan losses and loan losses in the four major Swedish banks Rolling four quarters, SEK billion, fixed prices, September Profit before loan losses Loan losses Main scenario loan losses FSR 212: Chart 5:2 Sources: Bank reports and the Riksbank

78 Level of loan losses in the main scenario Per cent Handelsbanken Nordea SEB Swedbank Totalt Chart 5:3 Source: The Riksbank

79 Distribution of the major banks' loan losses per region in the period in the main scenario SEK billion Chart 5:4 Sweden Norway Denmark Finland Estonia Latvia Lithuania Other countries Source: The Riksbank

80 Swedish banks market funding in foreign currency Per cent of GDP Chart 5:5 Sources: Statistics Sweden, Reuters EcoWin and the Riksbank

81 Household debt Percentage of disposable income, December 21 Denmark Netherlands Ireland Norway Sweden United Kingdom Portugal Spain USA Finland Euro area Austria Germany Belgium France Italy Poland Chart 5:6 Sources: Eurostat, Federal Reserve and Bureau of Economic Analysis

82 Lowest Tier 1 capital ratio for a major Swedish bank after payment default by another major Swedish bank Per cent Chart 5:7 Source: The Riksbank

83 Profit before loan losses and loan losses in the stress test Rolling four quarters, SEK billion, fixed prices, September Chart 5: Profit before loan losses, main scenario Loan losses, main scenario Profit before loan losses, stress test Loan losses, stress test Sources: Bank reports and the Riksbank

84 CET 1 capital ratio according to Basel III, initially and in the stress test Per cent Q Q Q Q Handelsbanken Nordea SEB Swedbank Chart 5:9 Sources: Bank reports and the Riksbank

85 Change in CET 1 capital ratios as defined by in the stress test Per cent ,8-7, ,1 -,4-1,6 11,1 1 5 CET 1 capital ratio Q3 212 Earnings Loan losses IAS 19 Change in risk-weighted assets CET 1 capital ratio 215 Chart 5:1 Source: The Riksbank

86 Major banks loan losses in the stress test Rolling four quarters, SEK billion, fixed prices, September Chart 5:11 Sources: Bank reports and the Riksbank

87 The Riksbank s short-term liquidity measure Survival period, number of days Handelsbanken Nordea SEB Swedbank September 211 December 211 March 212 June 212 September 212 Chart 5:12 Sources: Liquidatum and the Riksbank

88 The Riksbank s short-term liquidity measure June 212, survival period, number of days Handelsbanken Swedbank SEB Nordea Average Chart 5:13 Sources: Liquidatum and the Riksbank

89 The Riksbank s structural liquidity measure Stable funding in relation to illiquid assets, per cent Handelsbanken Nordea SEB Swedbank September 211 December 211 March 212 June 212 September 212 Chart 5:14 Sources: Liquidatum and the Riksbank

90 The Riksbank's structural liquidity measure Stable funding in relation to illiquid assets, per cent Swedbank Average Handelsbanken Nordea SEB Chart 5:15 Sources: Liquidatum and the Riksbank

91 Maturities of the banks outstanding issued securities December 211, per cent Swedbank Nordea SEB Handelsbanken month 3-12 month 1-5 year > 5 year Chart 5:16 Sources: Liquidatum and the Riksbank

92 Short-term liquidity measure (days) The Riksbank's short-term and structural liquidity measure December SEB Handelsbanken Nordea Swedbank Structural liquidity measure (per cent) Chart 5:17 Sources: Liquidatum and the Riksbank