Financial stability report 2008 1 3 June 2008

Financial stability report 2008: 1 3 June 2008

CHAPTER 1 Financial markets

Difference between corresponding interbank rate and the three-month treasury bill rate Basis points Chart 1: 1 Source: Reuters

Three-month interbank rate relative expected repo rate Basis points Chart 1: 2 Source: Bloomberg

10 -year government bond yield Per cent Chart 1: 3 Source: Reuters Eco. Win

Corporate bond spreads in the United States Percetage points Chart 1: 4 Source: Reuters Eco. Win

Corporate bond spreads in Europe Percetage points Chart 1: 5 Source: Reuters Eco. Win

Global default rate and tightening standards for commercial and industrial loans in the United States Per cent Chart 1: 6 Sources: Federal Reserve Board and Reuters Eco. Win

Premia in the CDS indices Basis points Chart 1: 7 Source: Reuters Eco. Win

Premia in CDS for a selection of banks Basis points Chart 1: 8 Source: Bloomberg

Credit spreads for bonds issued by emerging market economies Percentage points Chart 1: 9 Source: Bloomberg

Stock market developments Index: January 2007=100 Chart 1: 10 Source: Reuters Eco. Win

P/E-kvot Chart 1: 11 Source: Reuters Eco. Win

Implied stock market volatility Per cent Chart 1: 12 Source: Reuters Eco. Win

The development of the Icelandic króna against the euro Chart 1: 13 Source: Reuters Eco. Win

Commodity price index expressed in USD and in SEK Index, January 2002=100 Chart 1: 14 Source: Reuters Eco. Win

T/N rate and repo rate Per cent Chart 1: 15 Source: Bloomberg

Spread between 5 -year mortgage bond and the corresponding government bond and the average premia in 5 -year CDS for Swedish banks Basis points Chart 1: 16 Sources: Reuters Eco. Win, JP Morgan and Handelsbanken Capital Markets

Developments in the bank sector in different stock markets Index: January 2007=100 Chart 1: 17 Source: Reuters Eco. Win

Changed risk propensity of participants in the past six months Chart B 2 Note. Responses to the question: ”How has your propensity to take risk changed since the summer 2007, i. e. prior to the financial turmoil? ”

CDS premia for monolines Index: januari 2007=100 Chart R 5 Source: Bloomberg

CHAPTER 2 The Swedish banks’ borrowers

The banks’ lending broken down into Swedish and foreign households and companies Per cent Chart 2: 1 Note. Refers to total loan stock in December 2007 Source: The Riksbank

Households’ new saving in deposit accounts and in shares and equity funds, quarter SEK billion Chart 2: 2 Source: Statistics Sweden

Household borrowing Annual percentage change Chart 2: 3 Source: The Riksbank

Difference between a two-year mortgage rate (SBAB) and the rate on a two-year mortgage bond Basis points Chart 2: 4 Source: Reuters Eco. Win

Duration of fixed interest periods for new mortgage loans Per cent Chart 2: 5 Source: The Riksbank

Household debt and post-tax interest expenditures in relation to disposable income Per cent Chart 2: 6 Sources: Statistics Sweden and the Riksbank

Household debt in relation to disposable income Per cent Chart 2: 7 Sources: Statistics Sweden and the Riksbank

Household post-tax interest expenditure in relation to disposable income Per cent Chart 2: 8 Sources: Statistics Sweden and the Riksbank

impaired loans and potential loan losses Per cent Chart 2: 9 Sources: Statistics Sweden and the Riksbank

Purchase price coefficient in Sweden K/T ratio Chart 2: 10 Sources: Statistics Sweden and the Riksbank

Tenant-owned apartment prices Average price per square metre, SEK Chart 2: 11 Sources: Statistics Sweden and the Riksbank

Companies’ borrowing from credit institutions Annual percentage change Chart 2: 12 Source: the Riksbank

Bonds issued by non-financial undertakings in SEK billion Chart 2: 13 Source: the Riksbank

Debt/total assets ratio in Swedish listed companies Per cent Chart 2: 14 Sources: Bloomberg and the Riksbank

Interest coverage ratio in Swedish listed companies Ratio Chart 2: 15 Sources: Bloomberg and the Riksbank

Current ratio in Swedish listed companies Per cent Chart 2: 16 Sources: Bloomberg and the Riksbank

Liabilities and expected default frequency of listed companies Per cent and SEK million Chart 2: 17 Sources: Bloomberg and Moody’s KMV

outcome and forecasts according to the Riksbank’s main scenario Per cent Chart 2: 18 Sources: Moody´s KMV and the Riksbank

Real prices for office premises i city centres Index 1981 = 100 Chart 2: 19 Sources: Newsec AB and the Riksbank

Vacancy rate for office premises in city centres Per cent Chart 2: 20 Sources: New. Sec AB and the Riksbank

Real prices and rents for office premises in central Stockholm Annual percentage change Chart 2: 21 Sources: Newsec AB and Reuters Eco. Win

Component factors for annual change in prices for offices in central Stockholm Per cent Chart 2: 22 Sources: Newsec, Reuters Eco. Win and the Riksbank

Average direct earnings requirements on office properties in city centres Per cent Chart 2: 23 Sources: Newsec AB and Eco. Win

Prices of office properties Annual percentage change Chart R 6 Sources: MIT Centre for Real Estate, IPD and Reuters Eco. Win

Prices of office properties Annual percentage change Chart R 7 Sources: IPD and Reuters Eco. Win

Required return for office properties in the UK Per cent Chart R 8 Sources: IPD and Reuters Eco. Win

Geographical distribution of the major banks’ lending 2007 Per cent Chart 2: 24 Sources: The banks’ reports and the Riksbank

House prices in the Nordic countries Annual percentage change Chart 2: 25 Sources: Statistics Sweden, BIS and Reuters Eco. Win

Expected default frequency for listed nonfinancial companies in the Nordic countries and Germany Per cent Chart 2: 26 Note. The scale in the chart is logarithmic Source: Moody’s KMV

GDP Annual percentage change Chart 2: 27 Source: Reuters Eco. Win

Consumer confidence indicator Net figures, per cent Chart 2: 28 Source: EU Commission

Current account Per cent av GDP, totalled over four quarters Chart 2: 29 Source: Reuters Eco. Win

Harmonised index for consumer prices Annual percentage change Chart 2: 30 Source: Reuters Eco. Win

Household borrowing in the Baltic countries Annual percentage change Chart 2: 31 Sources: National central banks

Companies borrowing from credit institutions in the Baltic countries Annual percentage change Chart 2: 32 Sources: National central banks

Share of lending to the private sector in foreign and domestic currency, March 2008 Per cent Chart 2: 33 Sources: National central banks

Household debt in relation to GDP in the Baltic countries and in Sweden Per cent Chart 2: 34 Sources: National central banks

Companies’ outstanding volume in the Baltic countries and in Sweden in relation to GDP Per cent Chart 2: 35 Sources: National central banks

CHAPTER 3 Developments in the banks

Profit before loan losses and net loan losses in the major banks Totalled over four quarters, SEK billion, fixed prices, 31 March 2008 (IFRS: International Financial Reporting Standards) Chart 3: 1 Sources: The banks’ reports and the Riksbank

Bank shares’ implied volatility 10 -day moving average, per cent Chart 3: 2 Sources: Bloomberg and the Riksbank

Share price development in the Swedish major banks and the European financial sector Index: 1 July = 100 Chart 3: 3 Source: OMX

Development of net commission income and net interest income since 2005 Growth rate, rolling four quarters, per cent Chart 3: 4 Sources: The banks’ reports and the Riksbank

The major banks’ securities-related commission income and OMX turnover and index Index: 2003 Q 1=100 Chart 3: 5 Sources: The banks’ reports, Reuters Eco. Win and the Riksbank

Cost efficiency of the major banks Per cent Chart 3: 6 Sources: The banks’ reports and the Riksbank

Lending broken down by segment SEK billion, December 2007 Chart 3: 7 Sources: The banks’ reports and the Riksbank

Contribution from foreign lending and share of total growth in lending Per cent Chart 3: 8 Sources: The banks’ reports and the Riksbank

The major banks’ total lending, broken down geographically Per cent Chart 3: 9 Sources: The banks’ reports and the Riksbank

The major banks’ credit losses per quarter SEK million Chart 3: 10 Sources: The banks’ reports and the Riksbank

Tier 1 capital ratios Per cent Chart 3: 11 Sources: The banks’ reports and the Riksbank

The banks’ sources of funding Per cent of total funding Chart 3: 12 Sources: The banks’ reports and the Riksbank

The banks’ deposits and lending SEK billion Chart 3: 13 Sources: The banks’ reports and the Riksbank

Interest-bearing assets and liabilities December 2007, SEK billion Chart 3: 14 Sources: The banks’ reports and the Riksbank

European banks’ dependence on wholesale funding and average time to maturity of issued securities, March 2008 Chart 3: 15 Sources: The banks’ reports and Bloomberg

any of the banks has in every single test Per cent Chart 3: 16 Source: The Riksbank

SEB’s cover for credit risk according to the scenario of impaired credit quality in the Baltic countries Per cent Chart 3: 17 Source: The Riksbank

Swedbank’s cover for credit risk according to the scenario of impaired credit quality in the Baltic countries Per cent Chart 3: 18 Source: The Riksbank

The banks’ profit according to the scenario of a turn in the credit cycle Expected profit minus change in expected loss, SEK million Chart 3: 19 Sources: The banks’ reports and the Riksbank

Kreditrisktäckning enligt scenariot om vändning i kreditcykeln Per cent Chart 3: 20 Sources: The banks’ reports and the Riksbank

Increased funding costs in a three-month liquidity crisis as a percentage of a quarterly result Per cent Chart 3: 21 Sources: The banks’ reports and Bloomberg

ARTICLE Liquidity risk in the banking system

rate and the three-month treasury bill rate Basis points Chart 1 Source: Reuters Eco. Win

Spread between LIBOR 3 months and overnight, EUR Per cent Chart 2 Source: Reuters Eco. Win

Funding structure, Northern Rock GBP billion Chart 3 Source: Bank of England

SEK mortgage bond spread and swap spread, 5 year Basis points Chart 4 Source: Reuters Eco. Win

GAP analysis Fictive example of cumulative cash flows from maturing assets and liabilities at different time periods, USD million Chart 5 Sources: The banks’ reports and Bloomberg