Financial%20Stability%20Report%202005:2

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Financial Stability Report 20052

• 2005-11-23

2
Summary of the stability assessment
3
Lending to general public in the major banks,
sectoral breakdownDecember 2004
Source Bank reports.
4
CHAPTER 1Financial markets
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Stock market indicesIndex September 2002 100
Figure 11
Source EcoWin.
6
Expected profitsPercentage increase from 2004
Figure 12
Source EcoWin.
7
Implied stock-market volatility Index
Figure 13
Source Bloomberg.
8
Ten-year government bond yieldsPer cent
Figure 14
Sources EcoWin.
9
Corporate bond spreads in the USAPercentage
points
Figure 15
Sources EcoWin, Federal Reserve Board and
Merrill Lynch.
10
Corporate bond spreads in EuropePercentage
points
Figure 16
Sources J. P. Morgan and Merrill Lynch.
11
Credit default swap spreadar
Figure 17
Source Bloomberg.
12
Emerging market bond spreadsPercentage points
Figure 18
Source Bloomberg.
13
Prices for oil and other commoditiesUSD and
index February 2000 100
Figure 19
Sources Bloomberg and EcoWin.
14
CHAPTER 2The Swedish banks borrowers
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Non-financial companies borrowing and bank
depositsTwelve-month change, moving three-month
average
Figure 21
Source The Riksbank.
16
Ratio of debt to total assets in listed
companiesPer cent of all listed companies
Figure 22
Sources Bloomberg and the Riksbank.
17
Cover for interest expenditure and debt in small
and large companiesRatio
Figure 23
Sources UC AB and the Riksbank.
18
Breakdown of returns on equity in listed
companiesPer cent of all listed companies
Figure 24
Sources Bloomberg and the Riksbank.
19
Number of corporate defaults by company size
Figure 25
Source Statistics Sweden.
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Corporate defaults brokendown by industry
Percentage 12-month change, moving 12-month
average
Figure 26
Source Statistics Sweden.
21
Expected default frequency (EDF) by industry for
listed non-financial companiesPer cent
(logarithmic scale)
Figure 27
Sources Moodys KMV.
22
Expected default frequency (EDF) for listed
non-financial companiesPer cent (logarithmic
scale)
Figure 28
Sources Moodys KMV.
23
Cover for interest expenditure and debt for
property companiesRatio
Figure 29
Source The Riksbank.
24
Expected default frequency (EDF) for listed
property companiesPer cent (logarithmic scale)
Figure 210
Source Moodys KMV.
25
Real rents for office premises in central
locationsIndex 1981 100
Figure B1
Sources NewSec AB and the Riksbank.
26
Vacancy rates for office premises in central
locationsPer cent
Figure B2
Sources NewSec AB and the Riksbank.
27
Average direct return required for office
premises in central locationsPer cent
Figure B3
Sources Newsec AB, Jones Lang LaSalle and EcoWin.
28
Changes in metropolitan and national
employmentPer cent
Figure B4
Sources Statistics Sweden and the Riksbank.
29
Household borrowing by type of
institutionPercentage 12-month change
Figure 211
Source The Riksbank.
30
Household debt and house pricesIndex 1986 100
Figure 212
Source Statistics Sweden.
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Household debt and post-tax interestexpenditure
as percentages of disposable incomePer cent
Figure 213
Sources Statistics Sweden and the Riksbank.
32
Household wealthSEK billion
Figure 214
Sources Statistics Sweden and the Riksbank.
33
Length of fixed interest periods for house
mortgage loansPer cent of total stock
Figure 215
Source The Riksbank.
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CHAPTER 3Developments in the banks
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Implied volatility of bank equityPer cent,
moving 10-day average
Figure 31
Sources Bloomberg and the Riksbank.
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Profit before loan losses and net loan losses
in the major banksFour-quarter figures. SEK
billion, 2005 prices
Figure 32
Sources Bank reports and the Riksbank.
37
Post-tax return on equity in the majorbanks
and the markets required returnPer cent
Figure 33
Sources Bank reports, Stockholmsbörsen and the
Riksbank.
38
Pre-tax return on equity
Figure 34
Sources Bank reports and the Riksbank.
39
Post-tax return on equityPer cent
Figure 35
Sources Bank reports and the Riksbank.
40
Net interest margin and spreads for the major
banks on deposits, bank loans and mortgage loans
in SwedenPer cent, moving 4-quarter average
Figure 36
Sources Bank reports and the Riksbank.
41
Net commission income in the majorbanks and
Nordic stock-markets indexSEK million and index
Figure 37
Sources Bank reports, EcoWin, and the Riksbank.
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Cost efficiency of the major banksPer cent
Figure 38
Sources Bank reports, EcoWin and the Riksbank.
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Ratios of costs and income to assetsIndex
Handelsbanken 100
Figure 39
Sources Bank reports and the Riksbank.
44
Loan stocks in relation to GDPPer cent
Figure B5
Source The Riksbank.
45
Potential growth of the major bankslending
in the Baltic statesPer cent
Figure R6
Sources Bank reports and the Riksbank.
46
Stock of loans to the generalpublic in Sweden
and abroadIndex 2004 Q3 100
Figure 310
Sources Bank reports and the Riksbank.
47
Lending by credit institutions to companies in
SwedenPercentage 12-month change, moving 3-month
average
Figure 311
Source The Riksbank.
48
Lending by credit institutions to households
in SwedenÅrlig Per centuell förändring
Figure 312
Source The Riksbank.
49
Breakdown of time spent on loan screeningPer cent
Figure B7
Source The Riksbank.
50
Types of collateral in loan portfoliosPer cent
Figure B8
Source The Riksbank.
51
Interest mark-up for unsecured loansNumber of
officers
Figure B9
Source The Riksbank.
52
Provisions for incurred and probable loan
lossesPer cent of loan stock, accumulated over
four quarters
Figure 313
Sources Bank reports and the Riksbank.
53
Loan losses, netPer cent of lending
Figure 314
Sources Bank reports and the Riksbank.
54
Counterparty and settlement exposuresSEK
billion
Figure 315
Source The Riksbank.
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Tier 1 capital ratio in the four major Swedish
banksafter one of them has defaulted. Recovery
25 per centPer cent
Figure 316
Source The Riksbank.
56
The major banks deposit and loan stocksSEK
billion
Figure 317
Sources Bank reports and the Riksbank.
57
Borrowing against securities by the Swedish banks
and mortgage institutions of the major banks.
Broken down by maturity. Per cent
Figure 318
Source The Riksbank.
58
Borrowing against securities by the Swedish banks
and mortgage institutions of the major banks.
Broken down by currency. Per cent
Figure 319
Source The Riksbank.
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Tier 1 capital ratiosPer cent
Figure 320
Sources Bank reports and the Riksbank.
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Tier 1 capital ratios of the major Nordic
banksPer cent
Figure 321
Sources Bank reports and the Riksbank.
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ARTICLEHouse price developments in Sweden and
abroad
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Nominal house pricesAnnual percentage change
Figure 1 House price developments in Sweden and
abroad
Sources EcoWin and Australian Property Monitor.
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Nominal house pricesAnnual percentage change
Figure 2 House price developments in Sweden and
abroad
Source EcoWin.
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House prices in relation to rentsIndex 1987
100
Figure 3 House price developments in Sweden and
abroad
Sources BIS and CBFSAI Financial Stability
Report 2004.
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House prices in relation to GDPIndex 1988 100
Figure 4 House price developments in Sweden and
abroad
Sources EcoWin and the Riksbank.
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House prices in SwedenIndex 1986 100
Figure 5 House price developments in Sweden and
abroad
Source Statistics Sweden.
67
Nominal house prices, real house pricesand
prices in relation to disposable incomeIndex
1957 100
Figure 6 House price developments in Sweden and
abroad
Source Statistics Sweden.
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Share of total population in age group25-35
years (per cent) and real house pricesIndex
1957 100
Figure 7 House price developments in Sweden and
abroad
Source Statistics Sweden.
69
Nominal house prices given a number of interest
rate scenariosAnnual percentage change
Figure 8 House price developments in Sweden and
abroad
Sources Statistics Sweden and the Riksbank.