Financial stability report 2006:2

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Financial stability report20062

• 5 December 2006

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CHAPTER 1Financial markets
3
House prices in the Unites StatesPercentage
quarterly change, seasonally-adjusted data
Figure 11
Source Reuters EcoWin
4
Ten-year government bond ratesPer cent
Figure 12
Source Reuters EcoWin
5
Stock marketsIndex, 2002-01-02100
Figure 13
Source Reuters EcoWin
6
P/E ratios
Figure 14
Source Reuters EcoWin
7
Implied stock-market volatilityPer cent
Figure 15
Source Bloomberg
8
Global level of bankruptciesPercentage of all
companies
Figure 16
Source Reuters EcoWin
9
Corporate bond spreads in the United
StatesPercentage points
Figure 17
Source Reuters EcoWin
10
Corporate bond spreads in Europe Percentage points
Figure 18
Source Reuters EcoWin
11
Credit default swap spreadsBasis points
Figure 19
Source Bloomberg
12
Credit spreads for bonds issued by
emerging-market economiesPercentage points
Figure 110
Source Bloomberg
13
Oil price and commodity price indexUSD per
barrel and index January 2002100
Figure 111
Source Reuters EcoWin
14
KAPITEL 2The Swedish banks borrowers
15
Household borrowingPercentage 12-month change
Figure 21
Source The Riksbank
16
Duration of fixed interest periods for new house
mortgage loansPer cent
Figure 22
Source The Riksbank
17
Household debt and post-tax interest expenditure
in relation to disposable incomePer cent
Figure 23
Sources Statistics Sweden and the Riksbank
18
House pricesIndex 1986 100
Figure 24
Source Statistics Sweden
19
Nominal house prices and household debtIndex
1986 100
Figure 25
Sources Statistics Sweden and the Riksbank
20
House prices and mortgage debtPercentage annual
change
Figure 26
Sources Statistics Sweden and the Riksbank
21
House prices in Australia and the United
KingdomPercentage annual change
Figure 27
Sources ABS and Nationwide
22
Household debt in the Baltic statesPercentage
annual change
Figure 28
Sources National central banks
23
Household debt in Sweden and the Baltic
statesProcent
Figure 29
Sources National central banks
24
Non-financial companies' borrowing and bank
depositsPercentage twelve-month change,
three-month moving average
Figure 210
Source The Riksbank
25
Non-financial companies borrowing from
securities markets and credit market
institutionsSEK billion
Figure 211
Source The Riksbank
26
Corporate sector gross fixed capital formation
and borrowing by non-financial companies from
credit market institutionsPercentage
twelve-month change, four-month moving average
Figure 212
Sources Statistics Sweden and the Riksbank
27
Ratio of debt to total assets in listed
companiesPer cent of all listed companies
Figure 213
Sources Bloomberg and the Riksbank
28
Interest-expenditure and debt ratios in small and
large companies
Figure 214
Sources UC AB and the Riksbank
29
Breakdown of returns on equity in listed
companiesPer cent of all listed companies
Figure 215
Sources Bloomberg and the Riksbank
30
Number of corporate defaults by company
sizeTwelve-month moving average
Figure 216
Source Statistics Sweden
31
Expected default frequency (EDF) by industry for
listed non-financial companiesPer cent
Figure 217
Source Moodys KMV
32
Expected default frequency (EDF) for listed
non-financial companies Per cent
Figure 218
Source Moodys KMV
33
Listed companies with a default probability of 1
per cent or morePer cent
Sources Moodys KMV and the Riksbank
Figure 219
34
Loan stocks relative to GDP in the Baltic states
and SwedenPer cent
Figure 220
Sources National central banks
35
Debt ratio and interest expenditure cover for
listed property companiesKvot
Figure 221
Sources Annual reports and the Riksbank
36
Expected default frequency (EDF) for listed
property companies Procent
Figure 222
Source Moodys KMV
37
Real prices for office premises in central
locationsIndex 1981 100
Figure 223
Sources Newsec AB and the Riksbank
38
Vacancy rates for office premises in central
locationsPer cent
Figure 224
Sources Newsec AB and the Riksbank
39
Average direct return required for office
premises in central locationsPer cent
Figure 225
Sources Newsec AB and EcoWin
40
Chapter 3Developments in the banks
41
Implied volatility of bank equityPer cent,
moving 10-day average
Figure 31
Sources Bloomberg and the Riksbank
42
Composition of pre-tax return on equityPer cent
Figure 32
Sources Banks reports and the Riksbank
43
Profit before loan losses and net loan losses
in the major banksFour-quarter figures, SEK
billion, 2006 prices
Figure 33
Sources Banks reports and the Riksbank
44
The major Swedish banks profitsFour-quarter
figures, SEK billion
Figure 34
Sources Banks reports and the Riksbank
45
Cost/income ratio for the major Swedish
banksPer cent
Figure 35
Sources Banks reports and the Riksbank
46
Post-tax return on equityPer cent
Figure 36
Sources Banks reports and the Riksbank
47
Net interest margin and spreads for the major
banks on deposits, bank loans and mortgage loans
in SwedenPer cent, moving 4-quarter average
Figure B1
Sources Banks reports and the Riksbank
48
The major banks securities-related commission
income and Stockholm Stock Exchange turnoverSEK
million and index 1997100
Figure R2
Sources Banks reports, Reuters EcoWin and the
Riksbank
49
Lending by credit institutions to households in
SwedenPercentage 12-month change
Figure 37
Source The Riksbank
50
Lending to the general public in Sweden and
abroadIndex 2005 Q3 100
Figure 38
Sources Banks reports and the Riksbank
51
Provisions for incurred and probable loan
lossesPer cent of loan stock, accumulated over
four quarters
Figure 39
Sources Banks reports and the Riksbank
52
Loan losses, netPer cent of loan stock
Figure 310
Sources Banks reports and the Riksbank
53
Tier 1 capital ratios of the four major Swedish
banksPer cent
Figure 311
Sources Banks reports and the Riksbank
54
Average Tier 1 capital ratios of the major
Swedish and other Nordic banksPer cent
Figure 312
Sources Banks reports and the Riksbank
55
The major Swedish banks deposits, lending and
deposit deficitSEK billion
Figure 313
Sources Banks reports and the Riksbank
56
Currency breakdown of securities-related
borrowing by the major bank groups Swedish banks
and mortgage institutionsProcent
Figure 314
Sources Banks reports and the Riksbank
57
The lowest Tier 1 capital ratio among the other
three major Swedish banks if the fourth has
suspended paymentsProcent
Figure 315
Sources Banks reports and the Riksbank
58
The lowest Tier 1 capital ratio among the four
major Swedish banks after the default of each
banks largest counterpartyProcent
Figure 316
Source The Riksbank
59
Bank profits with the scenario for the Baltic
statesExpected profit less the change in
expected losses, SEK million
Figure 317
Sources Banks reports and the Riksbank
60
Cover for credit risk with the scenario for the
Baltic statesPer cent
Figure 318
Sources Banks reports and the Riksbank
61
Bank profits in the scenario with a turn in the
credit cycleExpected profit less the change in
expected losses, SEK million
Figure 319
Sources Banks reports and the Riksbank
62
Cover for credit risk in the scenario with a
turn in the credit cyclePer cent
Figure 320
Sources Banks reports and the Riksbank
63
ARTICLETrading activity in credit derivatives
and implications for financial stability
64
Global outstanding volume of credit derivative
marketTotal volume of sold contracts, USD billion
Figure 1
Source Fitch Ratings
65
Underlying reference assets in credit derivative
contracts 2005Per cent
Figure 2
Source Fitch Ratings
66
Premia in CDS indicesHundredths of a percentage
point
Figure 3
Source Bloomberg
67
Credit spreads for high-yield corporate bond
issues in Europe and the United StatesPercentage
points
Figure 4
Sources Reuters EcoWin and Bloomberg