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Chapter 1. Five-year CDS premiums Basis points Source: Reuters EcoWinChart: 1:1.

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Presentation on theme: "Chapter 1. Five-year CDS premiums Basis points Source: Reuters EcoWinChart: 1:1."— Presentation transcript:

1 Chapter 1

2 Five-year CDS premiums Basis points Source: Reuters EcoWinChart: 1:1.

3 Interest rates on ten-year government bonds Per cent Source: Reuters EcoWinChart: 1:2.

4 Yield curve for Greek government bonds Per cent Källa Reuters EcowinDiagram 1:3.

5 Refinancing needs of countries and banks for 2011 Percentage of GDP Chart: 1:4 Sources: Dealogic, Reuters EcoWin and the Riksbank

6 Exposure of international banks Index, second quarter 2008=100, euro Source: Bank for International SettlementsChart 1:5.

7 Government debt as a percentage of GDP (vertical axis) and the difference between the nominal interest rate and nominal GDP growth (horizontal axis) Per cent Sources: IMF, Eurostat and the RiksbankChart 1:6.

8 Signs of search for yield Left scale per cent and right scale index Sources: Reuters Ecowin and The EconomistChart 1:7.

9 International stress index Sources: Reuters EcoWin, Bloomberg and the RiksbankChart 1:8.

10 European banks’ bond issuance EUR billion Source: DealogicChart 1:9.

11 Comparison of 5-year CDS premiums for banks Basis points Source: BloombergChart: 1:10.

12 Maturity profile of bonds issued by European banks EUR billion Source: DealogicChart 1:11.

13 Central banks’ balance sheets Percentage of GDP Sources: National central banksChart 1:12.

14 The risk premium on the interbank market Basis points Sources: Reuters Ecowin and BloombergChart 1:13.

15 Maturity structures for non-financial companies’ syndicated loans SEK billion Source: DealogicChart 1:14.

16 Maturity structures for non-financial companies’ market funding SEK billion Source: DealogicChart 1:15.

17 US corporate bond issuance USD billions Source: SIFMAChart 1:16.

18 Difference between the short-term interbank rate and the Riksbank’s repo rate Basis points Source: Reuters EcowinChart R1:1.

19 Grey area in detail Basis points Source: Reuters EcowinChart R1:1.

20 Monthly volatility in the difference between the tomorrow next rate and the repo rate Basis points Sources: Reuters EcoWin and the RiksbankChart R1.2.

21 Cost of converting long-term borrowing in euros into Swedish kronor via a currency swap Basis points Source: BloombergChart R1:3.

22 Chapter 2

23 Lending of the Swedish banking groups by borrower category, March 2011 Per cent of total lending Sources: Bank reports and the RiksbankChart 2:1.

24 Lending of the Swedish banking groups by geographical area, March 2011 Per cent of total lending Sources: Bank reports and the RiksbankChart 2:2.

25 Prices for single-family dwellings and tenant-owned apartments Index, January 2008 = 100 Källor: SCB, Mäklarstatstik och Valueguard AB Chart 2:3.

26 Household borrowing Monthly change on an annual rate and three-month moving average, percentage Source: The RiksbankChart 2:4.

27 Households’ new loans broken down by fixed interest period Per cent Source: The RiksbankChart 2:5.

28 Lending to households and three- month mortgage rates Annual percentage change and per cent Source: The RiksbankChart 2:6.

29 Household debt and post-tax interest expenditure Per cent of disposable income Sources: The National Board of Housing, Building and Planning and Statistics SwedenChart 2:7.

30 Households’ gross debts, assets and saving as a share of disposable income Per cent Sources: Statistics Sweden and the RiksbankChart 2:8.

31 Corporate borrowing from credit institutions and fixed gross investment Annual percentage change Sources: Statistics Sweden and the RiksbankChart 2:9.

32 Cororate credit gap Per cent Sources: Statistics Sweden and the RiksbankChart 2:10.

33 Interest coverage ratio in Nordic listed companies Ratio Sources: Bloomberg and the RiksbankChart 2:11.

34 The number of bankruptcies broken down by industry Twelve-month moving average Source: Statistics SwedenChart 2:12.

35 Transaction volumes on the Swedish commercial property market SEK billion Source: SavillsChart 2:13.

36 Average yield levels for modern office premises in city centres Per cent Sources: Newsec and the RiksbankChart 2:14.

37 Real house prices Index, March 2004 = 100 Sources: Bank for International Settlement, Bank of Finland, Reuters EcoWin, Statistics Sweden and the RiksbankChart 2:15.

38 Expected default frequency (EDF) Per cent Source: Moody's KMVChart 2:16.

39 GDP Annual percentage change Source: Reuters EcoWinChart 2:17.

40 Real exchange rates Index, 2000 = 100 Source: Bank for International SettlementsChart:2:18.

41 Households' and companies' debts in relation to GDP Per cent Sources: The national central banks and Reuters EcoWinChart 2:19.

42 Late payments Per cent of lending Sources: Eesti Pank, Financial and Capital Market Commission och Lietuvos BankasChart 2:20.

43 Chapter 3

44 Bank assets in relation to GDP June 2010 Per cent Sources: ECB, The Swiss National Bank and the RiksbankChart 3:1.

45 The total assets of the major Swedish banks, December 2010 SEK billion Sources: Bank reports and the RiksbankChart 3:2.

46 Breakdown of the major Swedish banks’ profits before loan losses, 2010 Per cent Sources: Bank reports and the RiksbankChart 3:3.

47 Earnings before loan losses and loan losses in the major Swedish banks, Mars 2011 Totalled over four quarters, SEK billion, fixed prices Sources: Bank reports and the RiksbankChart 3:4.

48 The major swedish banks' income Rolling four quarters, SEK billion Sources: Bank reports and the RiksbankChart 3:5.

49 The major Swedish banks’ margins on new mortgages in Sweden Per cent Sources: Bank reports and the RiksbankChart 3:6.

50 The major Swedish banks’ profitability Four-quarter moving average, per cent Sources: Bank reports and the RiksbankChart 3:7.

51 Swedish major banks' lending to the public in the Baltic countries EUR billion and per cent Sources: Bank reports and the RiksbankChart 3:8.

52 Market shares of lending in the Baltic countries Per cent Sources: Bank reports and the RiksbankChart 3:9.

53 The Swedish banks' loan losses Percentage of lending at the start of the respective quarters Sources: Bank reports and the RiksbankChart 3:10.

54 The major Swedish banks’ loan losses per quarter SEK billion Sources: Bank reports and the RiksbankChart 3:11.

55 Core Tier 1 capital ratios of Swedish and foreign banks, according to Basel II, December 2010 Per cent Sources: Bank reports and the RiksbankChart 3:12.

56 Core Tier 1 capital ratios according to Basel II Per cent Source: Bank reports and the RiksbankChart 3:13.

57 Risk weighting on mortgages according to Basel II Per cent Sources: National central banks and the RiksbankChart 3:14.

58 The major Swedish banks' funding, March 2011 Per cent Sources: Bank reports and the RiksbankChart 3:15.

59 Government-guaranteed borrowing and the Riksbank’s lending to the major Swedish banks Left axis: SEK billion, right axis: percentage of Sweden's GDP Sources: Bank reports, Statistics Sweden and the RiksbankChart 3:16.

60 The market funding of the major Swedish banks via Swedish parent and subsidiary companies per SEK and foreign currencies SEK billion Sources: Statistics Sweden and the RiksbankChart 3:17.

61 The major Swedish banks’ lending funded by foreign currency securities issued in Sweden Percentage of the major Swedish banks’ market funding in foreign currency via Swedish parent and subsidiary companies Sources: Statistics Sweden and the RiksbankChart 3:19.

62 Holders of Swedish covered bonds SEK billion Sources: Statistics Sweden and the RiksbankChart 3:19.

63 Funding in US dollars for banks in the euro area and the Fed’s lending to other central banks USD billions Sources: Bank for international settlements, Federal Reserve and the RiksbankChart B3:1.

64 Percentage of funding through securities with original time to maturity of less than one year in the Swedish banking system Per cent Source: The RiksbankChart B3:2.

65 The major banks’ funding from deposits from the public and securities issued, by currency, per December 2010 Per cent Sources: Bank reports and the RiksbankChart B3:3

66 The major Swedish banks’ assets in USD per December 2010 SEK billion Sources: Bank reports and the RiksbankChart B3:4.

67 Contracyclical capital buffers in the Nordic countries Per cent Sources: Reuters EcoWin and the RiksbankChart B3:5

68 Contracyclical capital buffers in the Baltic countries Per cent Sources: Reuters EcoWin and the RiksbankChart B3:6

69 Contracyclical capital buffers for Swedish banks Per cent Sources: The Riksbank and banks’ annual reportsChart B3:7

70 Contracyclical capital buffers without ceiling in the Nordic countries Percent Sources: Reuters EcoWin and the RiksbankChart B3:8

71 Contracyclical capital buffers without ceiling in the Baltic countries Per cent Sources: Reuters EcoWin and the RiksbankChart B3:9

72 Chapter 4

73 Earnings before loan losses and loan losses in the major Swedish banks, March 2011 Totalled over four quarters, SEK billion, fixed prices Sources: Bank reports, SME Direkt and the RiksbankChart 4:1.

74 Loan losses levels per bank and year in the main scenario Per cent Source: The RiksbankChart 4:2.

75 Distribution of loan losses per region in the period 2010–2013 in the main scenario SEK billion Source: The RiksbankChart 4:3.

76 Tier 1 capital ratio of the major Swedish bank with the lowest ratio after another Swedish major bank has defaulted on payments Per cent Source: The RiksbankChart 4:4.

77 GDP for Sweden in the stress test and in the main scenario SEK billions, fixed prices Sources: Statistics Sweden and the RiksbankChart 4:5.

78 Expected default frequency (EDF) for the Swedish non-financial companies in the stress test and in the main scenario Per cent Sources: Moody's KMV and the RiksbankChart 4:6.

79 The major Swedish banks’ core Tier 1 capital ratios according to Basel II and Basel III, initially and in the stress test Per cent Source: The RiksbankChart 4:7.

80 Factors that contribute to changes in the banks’ core Tier 1 capital ratios according to Basel III in the stress test Per cent Chart 4:8. Source: The Riksbank

81 The Riksbank’s structural liquidity measurement for the major Swedish banks compared with the average for a selection of European banks Stable funding in relation to illiquid assets, per cent Source: Liquidatum and the RiksbankChart 4:9.

82 Survival period for the major Swedish banks in the stressed scenario, compared with the average for a selection of European banks Number of months Sources: Liquidatum and the RiksbankChart 4:10.


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