Financial markets

1
Financial markets
2
Selection of interest rates in the US money
marketper cent
Chart 11
Source Reuters EcoWin
3
Difference between interbank rate and expected
policy rateBasis points
Note. In Sweden the spread is represented by the
difference between 3 month Stibor and overnight
index swap (STINA) rate
Source Bloomberg
Chart 1.2
4
Selection of interest rates in the euro area
money marketper cent
Source Reuters Ecowin
Chart 1.3
5
Selection of interest rates in the Swedish money
marketper cent
Source Reuters Ecowin
Chart 1.3
6
10 year government bond yieldper cent
Source Reuters Ecowin
Chart 1.5
7
Total issued on the Swedish corporate bond
marketSEK Million
Source Bloomberg
Chart 1.6
8
Credit spreads for corporate bonds in the US
and the euro areabasis points
Note. The spread between yield on corporate bond
and the yield on corresponding goverenment bond
Chart 1.7
Source Reuters EcoWin
9
Credit spread for high-yield corporate bonds in
the US and the euro areabasis points
Chart 1.8
Source Reuters EcoWin
10
Global default ratePer cent
Chart 19
Source Reuters EcoWin
11
2- and 5-year mortgage bond spreadthe difference
between mortgage bond yield and government bond
yield, basis points
Source Reuters Ecowin
Chart 1.10
12
Premiums in CDS indexbasis points
Source Reuters Ecowin Bloomberg
Chart 1.11
13
Premiums in CDS for a selection of banks basis
points
Source Bloomberg
Chart 1.12
14
Premia in the CDS-index for emerging
marketsbasis points
Source Reuters Ecowin
Chart 1.13
15
Stock market developmentIndex, January 2007100
Source Reuters Ecowin
Chart 1.14
16
Implied stock market volatilityper cent
Source Bloomberg
Chart 1.15
17
P/E-ratios
Source Reuters Ecowin
Chart 1.16
18
Difference between mortgage bond yield and
government bond yield basis points
Represents the difference between mortgage bonds
with maturity in June 2011 and government bond
with maturity March 2011
Source Reuters Ecowin
Chart B.1
19
Current account as percentage of GDPPer cent
Chart B2
Source Reuters EcoWin
20
CDS premiums for Icelandic banksbasis points
Chart B3
Source Bloomberg
21
Banking systems assets as a percentage of
GDPPer cent
Source Reuters EcoWin
Chart B4
22
Development of the icelandic krona against the
euro
Source Reuters EcoWin
Chart B5
23
Swedish actors changed propensity to take risk
compared to six months ago
Source The Riksbanks risk survey. Answer to the
question How has your propensity to take risk
changed compared to six months ago?
Figure R.6
24
Swedish actors buffers of liquid assets have
increased somewhat
Source The Riksbanks risk survey. Answer to the
question How has your institutions buffer of
liquid assets changed in relation to six months
ago?
Figure R.7
25
Do you consider that the financial crisis has
peaked?
Source The Riksbanks risk survey. Answer to the
question Do you consider that the financial
crisis has peaked?
Figure R.8
26
The Swedish Household Sector and House Prices
27
The banks' lending broken down into Swedish and
foreign households and companies, Per cent
Note. Refers to total loan stock in September
2008.
Source The Riksbank
Chart 21
28
Households' nominal disposable income and saving
ratioPercentage change and per cent
Note. Households' saving ratio is defined as
households' savings in relation to disposable
income.
Sources Statistics Sweden and the Riksbank
Chart 22
29
Household borrowing for purchase of
housingPercentage change SEK billion
Source The Riksbank
Chart 23
30
Households' debt ratio and interest ratioPer
cent of disposable income
Sources Statistics Sweden and the Riksbank
Chart 24
31
Mortgage rate, interbank rate and repo ratePer
cent
Note. Refers to an average of the three month
mortgage rate from Handelsbanken, Nordea, SBAB
and SEB, the three month interbank rate and the
monthly average of the three month mortgage rates
for new lending by the mortgage institutions.
Sources Reuters EcoWin, Statistics Sweden and
the Riksbank
Chart 25
32
Duration of fixed interest periods for new
mortgage loansPer cent
Source The Riksbank
Chart 26
33
Households below the margin, impaired loans and
potential loan lossesPer cent
Note. Potential loan losses can not be calculated
since the data does not contain values of
households' total wealth.
Sources Statistics Sweden and the Riksbank
Chart 27
34
Percentage debt held by indebted households in
different income groupsPer cent
Note. Income group 1 consists of the indebted
households with the lowest disposable income and
income group 5 consists of the indebted
households with the highest disposable income.
Sources Statistics Sweden and the Riksbank
Chart 28
35
House prices Index 1986100
Source Statistics Sweden
Chart 29
36
Tenant-owned apartment prices SEK per square
metre
Source www.maklarstatistik.se
Chart 210
37
Housing investment in relation to GDP, seasonally
adjustedPer cent
Sources Statistics Sweden, national statistics
offices and the Riksbank
Chart 211
38
Number of housing starts in relation to
populationPer cent
Note. The number of housing starts in Sweden
during 2006 and 2007 is overestimated , as a
result of the "Odell foundation slabs"
(Odellplattorna) the actual number of housing
starts was much lower, according to the National
Board of Housing, Building and Planning.
Source Reuters EcoWin
Chart 212
39
The Swedish Corporate Sector
40
Profitability in Swedish companiesPer cent
Sources Bloomberg and the Riksbanken
Chart 213
41
The number of company bankruptcies broken down by
company sizeTwelve-month moving average
Sources Statistics Sweden and the Riksbank
Chart 214
42
Corporate borrowing from credit institutions
Annual percentage change
Source The Riksbank
Chart 215
43
Corporate borrowing from credit institutions and
their securities funding in Sweden and abroadSEK
billion
Chart 216
Sources Statistics Sweden and the Riksbank
44
Corporate borrowing from credit institutions and
gross fixed capital investmentsAnnual percentage
change
Chart 217
Sources Bloomberg and the Riksbanken
45
Debt/total assets ratio in Swedish listed
companiesPer cent
Chart 218
Sources Bloomberg and the Riksbanken
46
The four major banks lending rates on new loans
signed by non-financial companiesPer cent
Chart 219
Sources Statistics Sweden and the Riksbank
47
Interest coverage ratio in Swedish listed
companies Ratio
Chart 220
Sources Bloomberg and the Riksbanken
48
Current ratio in Swedish listed companiesPer
cent
Chart 221
Sources Bloomberg and the Riksbanken
49
Corporate credit quality measured by expected
default frequency (EDF), historical outcomes and
forecasts according to the Riksbanks main
scenario Per cent
Sources Moodys KMV och the Riksbank
Chart 222
50
Commercial property
51
Prices of office premisesSweden, UK, Ireland,
USAAnnual percentage change
Chart 223
Sources IPD, Reuters EcoWin, MIT Center for Real
Estate, Newsec and the Riksbank
52
Real prices of office premises in city
centresIndex 1981100
Chart 224
Sources Newsec and the Riksbank
53
Vacancy rate for office premises in city
centresPer cent
Chart 225
Sources Newsec and the Riksbank
54
Real prices and rents for office premises in
Stockholm city centreAnnual percentage change
Chart 226
Sources Newsec and the Riksbank
55
Required return on office premises in the United
KingdomPer cent
Chart 227
Sources IPD and Reuters EcoWin
56
Average required direct return for modern office
premises in city centresPer cent
Chart 228
Sources Newsec and Reuters EcoWin
57
The Swedish banks borrowers abroad
58
Geographical breakdown of the major banks lending
Chart 229
Source The Riksbanken
59
House prices in the Nordic countriesAnnual
percentage change
Chart 230
Source Reuters EcoWin and the BIS
60
Borrowing by companies i Nordic countriesindex
2006100
Chart 2.31
Source Reuters Ecowin
61
Expected default frequency for listed
non-financial companies (EDF)Per cent
Chart 232
Source Moodys KMV
62
House prices in Germany and abroadindex 2000100
Chart 233
Source Reuters EcoWin
63
The Baltic countries
64
GDP growthAnnual percentage change
Source Reuters Ecowin
Chart 234
65
Consumer Confidence IndicatorNet figures, per
cent
Sources European Commission and Reuters Ecowin
Chart 235
66
Current accountPercentage of GDP, totalled over
four quarters
Source Reuters Ecowin
Chart 236
67
Number of job vacancies
Source Reuters Ecowin
Chart 237
68
Real wagesQuarterly change, seasonally adjusted
on an annual rate
Sources Reuters Ecowin and Riksbank calculations
Chart 238
69
Harmonised index for consumer pricesAnnual
percentage change
Source Reuters Ecowin
Chart 239
70
Household borrowing in the Baltic
countriesAnnual percentage change
Sources Reuters Ecowin and national central banks
Chart 240
71
Corporate borrowing in the Baltic
countriesAnnual percentage change
Sources Reuters Ecowin and national central banks
Chart 241
72
Households and companies debt in relation to
GDPPer cent
Sources Reuters Ecowin and national central banks
Chart 242
73
Developments in the banks
74
Profit before loan losses and loan losses (net)
in the major banksSummed up over four quarters,
SEK billion, fixed prices, 2008-09-30
Chart 31
Sources Bank reports and the Riksbank
75
Income and costs for the major Swedish banksThe
last four-quarter period compared with the
preceding four quarters, SEK billion
Chart 32
Sources Bank reports and the Riksbank
76
The development of income and costs and the gap
between their rates of growthPer cent and
percentage points, rolling four quarters
Chart 33
Sources Bank reports and the Riksbank
77
Cost efficiency of the major banksPer cent
Chart 34
Sources Bank reports and the Riksbank
78
Development of net comission- and net interest
income since 2005Growth rate, rolling four
quarters, per cent
Chart 35
Sources Bank reports and the Riksbank
79
The major banks securities-related commission
income and OMX turnover and indexIndex 2003
Q1100
Chart 36
Sources Bank reports, Reuters EcoWin and the
Riksbank
80
Spread between covered bonds and swap rateBasis
points
Chart B9
Source Bloomberg
81
Spread between the major banks' Swedish mortgage
loans and a three-month swap rateBasis points
Chart B10
Sources Reuters EcoWin and the Riksbank
82
Bank shares implied volatility10-day moving
average, per cent
Chart 37
Sources Bloomberg and the Riksbank
83
Share price development in the Swedish major
banks and the European financial sectorIndex
2007-07-01 100
Chart 38
Sources OMX and Reuters EcoWin
84
Market shares in the Baltic countriesPer cent,
September 2008
Chart 39
Sources Bank reports and the Riksbank
85
Lending per segmentSEK billion, September 2008
Chart 310
Sources Bank reports and the Riksbank
86
The Major banks credit losses per quarter
Percentage of lending to the public
Chart 311
Sources Bank reports and the Riksbank
87
Tier 1 capital ratiosPer cent
Note. Swedbanks ratio includes a guaranteed
rights issue of SEK 12.4 billion.
Chart 312
Sources Bank reports and the Riksbank
88
The banks' source of fundingPercentage of total
funding
Note The item Liquidity supplied by the
Riksbank and the SNDO includes the four major
banks share of the sums loaned in the Riksbanks
SEK and USD auctions, the SNDOs reverse repos in
connection with its extra auctions of treasury
bills and the securities that the banks have
issued with State guarantees. It is assumed that
the supply of liquidity will replace part of the
banks funding. Issued securities have therefore
been reduced by the corresponding sums in the
chart.
Chart 313
Source Bank reports and the Riksbank
89
Maturity of outstanding bondsPercentage of
issued securities
Chart 314
Sources Bank reports, Bloomberg and the Riksbank
90
The banks deposits and lendingSEK billion
Chart 315
Sources Bank reports and the Riksbank
91
The major bank with the lowest Tier 1 capital
ratio after another Swedish major bank defaulted
on paymentsPer cent
Chart 316
Source The Riksbank
92
The size of the exposures in relation to Tier 1
capitalPer cent
Chart B11
Source The Riksbank
93
Counterparty exposures, shares of total
exposuresPer cent
Chart B12
Source The Riksbank
94
SEB and Swedbanks credit risk cover, year 3,
according to the scenario on a deterioration in
creditworthiness in the Baltic countriesPer cent
Chart 317
Source The Riksbank
95
Credit risk cover, year 3, according to the
scenario on an economic downturnPer cent
Chart 318
Source The Riksbank
96
Combined stress test
97
Combined stress test results
98
Increased financing costs in a 3-month liquidity
crisis as a percentage of Q2 profitsPer cent
Chart 319
Sources Bank reports and the Riksbank
99
EXTRA
100
Some useful metrics

• Household margins
• The amount of income left for a household after
  minimum expenditures needed for food and
  clothing, interest rates and non-interest related
  housing expenditures have been paid.
• Margin for household k Mk Disposable incomek
  (base amount)(household sizek ) (interest
  expendituresk) (other housing expenditures of
  the income decile)
• In 2006 the base amount was 39 700 SEK.

101
Some useful metrics, cont

• Exposure at default (EAD)
• The share of total debt held by vulnerable
  households
• Loss given default (LGD)
• The share of total debt, held by vulnerable
  debts, that is not covered by assets

102
4. SEB and Swedbanks credit risk cover according
to the scenario on a deterioration in
creditworthiness in the Baltic countries, Q2
2008, Per cent
Sources Bank reports and the Riksbank
103
5. Credit risk cover according to the scenario on
an economic downturn, Q2 2008 Per cent
Sources Bank reports and the Riksbank