Financial Stability Report 2005:2 2005-11-23. Summary of the stability assessment.
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Transcript of Financial Stability Report 2005:2 2005-11-23. Summary of the stability assessment.
Financial Stability Report 2005:2
2005-11-23
Summary of the stability assessment
Lending to general public in the
major banks’, sectoral breakdown
December 2004
Source: Bank reports.
Others5%
Non- financial companies (excl.
property management companies)
29%
Property management companies
21%
Households45%
CHAPTER 1Financial markets
Stock market indicesIndex: September 2002 = 100
Figure 1:1 Source: EcoWin.
0
100
200
300
400
dec-91 dec-93 dec-95 dec-97 dec-99 dec-01 dec-03 dec-05
Sweden Finland Denmark Norway
Germany UK USA
Expected profitsPercentage increase from 2004
Figure 1:2 Source: EcoWin.
8
10
12
14
16
18
20
22
Jan Feb Mar Apr May Jun Jul Aug Sep Oct
DJ EUROSTOXX S&P 500 OMX
Implied stock-market volatility
Index
Figure 1:3 Source: Bloomberg.
0
10
20
30
40
50
60
Dec-96 Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05
Sweden – OMX UK – FTSE 100Germany – DAX 30 USA – S&P 500Historical average for all countries
C
Ten-year government bond yieldsPer cent
Figure 1:4 Sources: EcoWin.
0
2
4
6
8
10
12
De
c-9
4
De
c-9
5
De
c-9
6
De
c-9
7
De
c-9
8
De
c-9
9
De
c-0
0
De
c-0
1
De
c-0
2
De
c-0
3
De
c-0
4
De
c-0
5
Sweden Germany UK USA
Corporate bond spreads in the USA
Percentage points
Figure 1:5 Sources: EcoWin, Federal Reserve Board and Merrill Lynch.
0
2
4
6
8
10
12
19
94
19
96
19
98
20
00
20
02
20
04
Aaa Baa High-yield bonds
Corporate bond spreads in Europe
Percentage points
Figure 1:6 Sources: J. P. Morgan and Merrill Lynch.
0
6
12
18
Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05
BBB High-yield bonds
Credit default swap spreadar
Figure 1:7 Source: Bloomberg.
30
40
50
60
70
80
Oct-04
Nov-04
Dec-04
Jan-05
Feb-05
Mar-05
Apr-05
May-05
Jun-05
Jul-05
Aug-05
Sep-05
Oct-05
Europe USA
Emerging market bond spreads
Percentage points
Figure 1:8 Source: Bloomberg.
0
4
8
12
16
20
Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05
Europe Asia EMBI+
Prices for oil and other commodities
USD and index: February 2000 = 100
Figure 1:9 Sources: Bloomberg and EcoWin.
0
10
20
30
40
50
60
70
Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05
80
100
120
140
160
180
200
220
Oil price in US dollars (left scale) Commodity price index (right scale)
CHAPTER 2The Swedish banks’
borrowers
Non-financial companies borrowing and bank deposits
Twelve-month change, moving three-month average
Figure 2:1 Source: The Riksbank.
-10
0
10
20
30
De
c 9
1
De
c 9
2
De
c 9
3
De
c 9
4
De
c 9
5
De
c 9
6
De
c 9
7
De
c 9
8
De
c 9
9
De
c 0
0
De
c 0
1
De
c 0
2
De
c 0
3
De
c 0
4
De
c 0
5
-10
0
10
20
30
Borrowing from credit market institutions Bank deposits
Ratio of debt to total assets in listed companies
Per cent of all listed companies
Figure 2:2 Sources: Bloomberg and the Riksbank.
0
20
40
60
80
100
1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004
0-25 25-50 50-75 >75 Average
Cover for interest expenditure and
debt in small and large companies
Ratio
Figure 2:3 Sources: UC AB and the Riksbank.
0
2
4
6
8
1989 1992 1995 1998 2001 2004
Debt cover (large companies) Debt cover (small companies)
Interest cover (large companies) Interest cover (small companies)
Breakdown of returns on equity in listed companies
Per cent of all listed companies
Figure 2:4 Sources: Bloomberg and the Riksbank.
0
20
40
60
80
100
1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005June
>10 5 - 10 0 - 5 -5 - 0 <- 5Return on
equity:
Number of corporate defaults
by company size
Figure 2:5 Source: Statistics Sweden.
0
100
200
300
400
500
600
De
c-8
2
De
c-8
4
De
c-8
6
De
c-8
8
De
c-9
0
De
c-9
2
De
c-9
4
De
c-9
6
De
c-9
8
De
c-0
0
De
c-0
2
De
c-0
4
0
5
10
15
20
25
30
1–9 employees 10–49 employees >49 employees (right scale)
Corporate defaults brokendown by industry
Percentage 12-month change, moving 12-month average
Figure 2:6 Source: Statistics Sweden.
-60
-30
0
30
60
90
120
150
De
c-9
5
De
c-9
6
De
c-9
7
De
c-9
8
De
c-9
9
De
c-0
0
De
c-0
1
De
c-0
2
De
c-0
3
De
c-0
4
De
c-0
5
-60
-30
0
30
60
90
120
150
Transport Manufacturing Property managementConstruction IT-telecom
Expected default frequency (EDF) by industry
for listed non-financial companiesPer cent (logarithmic scale)
Figure 2:7 Sources: Moody’s KMV.
0.01
0.1
1
10
100
Oct-00 Oct-01 Oct-02 Oct-03 Oct-04 Oct-05
Manufacturing Construction IT-telecom
Services Property management Transport
Expected default frequency (EDF)
for listed non-financial companies
Per cent (logarithmic scale)
Figure 2:8 Sources: Moody’s KMV.
0.01
0.1
1
10
Oct-00 Oct-01 Oct-02 Oct-03 Oct-04 Oct-05
Sweden Norway Denmark Finland Germany
Cover for interest expenditure and
debt for property companiesRatio
Figure 2:9 Source: The Riksbank.
0
1
2
3
4
5
1995 1996 1997 1998 1999 2000 2001 2002 2003 2004
0
1
2
3
4
5
Debt cover Interest cover
Expected default frequency (EDF)
for listed property companiesPer cent (logarithmic scale)
Figure 2:10 Source: Moody´s KMV.
0.01
0.1
1
10
Oct
-00
Oct
-01
Oct
-02
Oct
-03
Oct
-04
Oct
-05
Sweden Norway Denmark Finland Germany
Real rents for office premises in central locations
Index 1981 = 100
Figure B1 Sources: NewSec AB and the Riksbank.
50
100
150
200
19
81
19
83
19
85
19
87
19
89
19
91
19
93
19
95
19
97
19
99
20
01
20
03
20
05
Stockholm Göteborg Malmö
Vacancy rates for office premises
in central locationsPer cent
Figure B2 Sources: NewSec AB and the Riksbank.
0
10
20
30
19
90
19
93
19
96
19
99
20
02
20
05
Stockholm Göteborg Malmö
Average direct return required for
office premises in central locations
Per cent
Figure B3 Sources: Newsec AB, Jones Lang LaSalle and EcoWin.
0
2
4
6
8
10
12
14
19
80
19
82
19
84
19
86
19
88
19
90
19
92
19
94
19
96
19
98
20
00
20
02
20
04
Stockholm Göteborg Malmö 5-year treasury bond rate
Changes in metropolitan and national employment
Per cent
Figure B4 Sources: Statistics Sweden and the Riksbank.
-4
-2
0
2
4
6
Ma
r-0
0
Jun
-00
Se
p-0
0
De
c-0
0
Ma
r-0
1
Jun
-01
Se
p-0
1
De
c-0
1
Ma
r-0
2
Jun
-02
Se
p-0
2
De
c-0
2
Ma
r-0
3
Jun
-03
Se
p-0
3
De
c-0
3
Ma
r-0
4
Jun
-04
Se
p-0
4
De
c-0
4
Ma
r-0
5
De
c-0
5
De
c-0
6
Stockholm county Skåne county Västra Götaland county
Sweden Sweden, forecast
Household borrowing by type of institution
Percentage 12-month change
Figure 2:11 Source: The Riksbank.
-10
0
10
20
Dec-95 Dec-97 Dec-99 Dec-01 Dec-03 Dec-05
-10
0
10
20
Total Banks Mortage institutions Other credit market companies
Household debt and house prices
Index 1986 = 100
Source: Statistics Sweden.Figure 2:12
0
100
200
300
400
1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005
0
100
200
300
400
House prices Household debt
Household debt and post-tax interestexpenditure as percentages of
disposable incomePer cent
Figure 2:13 Sources: Statistics Sweden and the Riksbank.
0
40
80
120
160
1980 1984 1988 1992 1996 2000 2004 2008
0
4
8
12
16
Debt ratio (left scale) Forecast
Post-tax interest expenditure ratio (right scale) Forecast
Household wealthSEK billion
Figure 2:14 Sources: Statistics Sweden and the Riksbank.
0
1000
2000
3000
4000
5000
De
c-86
De
c-87
De
c-88
De
c-89
De
c-90
De
c-91
De
c-92
De
c-93
De
c-94
De
c-95
De
c-96
De
c-97
De
c-98
De
c-99
De
c-00
De
c-01
De
c-02
De
c-03
De
c-04
Jun
-05
Financial wealth Housing wealth
Length of fixed interest periods for house mortgage loans
Per cent of total stock
Figure 2:15 Source: The Riksbank.
0%
20%
40%
60%
80%
100%
Ma
r-9
6
Se
p-9
6
Ma
r-9
7
Se
p-9
7
Ma
r-9
8
Se
p-9
8
Ma
r-9
9
Se
p-9
9
Ma
r-0
0
Se
p-0
0
Ma
r-0
1
Se
p-0
1
Ma
r-0
2
Se
p-0
2
Ma
r-0
3
Se
p-0
3
Ma
r-0
4
Se
p-0
4
Ma
r-0
5
<= 3 months >3 to <= 12 months >12 to =< 24 months >24 months
CHAPTER 3Developments in the
banks
Implied volatility of bank equity
Per cent, moving 10-day average
Figure 3:1 Sources: Bloomberg and the Riksbank.
0
40
80
120
Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05
0
40
80
120
SEB Handelsbanken Nordea Föreningssparbanken
Profit before loan losses and net
loan losses in the major banksFour-quarter figures. SEK billion, 2005 prices
Figure 3:2 Sources: Bank reports and the Riksbank.
0
20
40
60
80
100
De
c-9
0
De
c-9
3
De
c-9
6
De
c-9
9
De
c-0
2
De
c-0
5
0
20
40
60
80
100
Profit before loan losses Profit before loan losses using IFRS Loan losses
Post-tax return on equity in the major
banks and the market’s required returnPer cent
Figure 3:3 Sources: Bank reports, Stockholmsbörsen and the Riksbank.
-5
0
5
10
15
20
25
19
90
19
91
19
92
19
93
19
94
19
95
19
96
19
97
19
98
19
99
20
00
20
01
20
02
20
03
20
04
20
05
Profitability Required return
-15,3
Pre-tax return on equity
Figure 3:4 Sources: Bank reports and the Riksbank.
-8
-6
-4
-2
0
2
4
1997 1998 1999 2000 2001 2002 2003 2004 2005
Pe
rce
nta
ge
po
ints
10
13
16
19
22
25
28
Pe
r cen
t
Pre-tax profit margin Risk-adjusted income
Level of risk Leverage
Pre-tax return on equity (right scale)
Post-tax return on equityPer cent
Figure 3:5 Sources: Bank reports and the Riksbank.
0
10
20
30
Förenings-sparbanken
Jyske Bank SEB DNB NOR Handels-banken
Danske Bank
Nordea OP Bank Group
2000 2002 2005
Net interest margin and spreads for the major banks on deposits, bank loans and
mortgage loans in SwedenPer cent, moving 4-quarter average
Figure 3:6 Sources: Bank reports and the Riksbank.
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
Net interest margin Bank loans
New mortgage loans Bank deposits (right scale)
Net commission income in the major
banks and Nordic stock-markets index
SEK million and index
Figure 3:7 Sources: Bank reports, EcoWin, and the Riksbank.
0
1,000
2,000
3,000
4,000
5,000
6,000
00:1 00:3 01:1 01:3 02:1 02:3 03:1 03:3 04:1 04:3 05:1 05:3
0
20
40
60
80
100
120
Payments Securities Other Nordic stock-markets index (right scale)
Cost efficiency of the major banksPer cent
Figure 3:8 Sources: Bank reports, EcoWin and the Riksbank.
0
1
2
3
4
1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 sep-05
0
20
40
60
80
Costs/assets Income/ assetsCosts/income ratio (right scale) Costs/income ratio with IFRS (right scale)
Ratios of costs and income to assets
Index: Handelsbanken = 100
Figure 3:9 Sources: Bank reports and the Riksbank.
0
100
200
300
400
Handels-banken
Förenings-sparbanken
DNB NOR DanskeBank
Nordea OP Bank Group
Jyske Bank SEB
Costs/income Costs/assets
Loan stocks in relation to GDPPer cent
Figure B5 Source: The Riksbank.
0
20
40
60
80
100
120
1999 2000 2001 2002 2003 2004
Sweden Estonia Latvia Lithuania
Potential growth of the major banks’
lending in the Baltic statesPer cent
Figure R6 Sources: Bank reports and the Riksbank.
0
2
4
6
8
10
12
2004 2005 2006 2007 2008 2009
Nordea SEB FSB
Stock of loans to the generalpublic in Sweden and abroad
Index: 2004 Q3 = 100
Sources: Bank reports and the Riksbank.Figure 3:10
80
85
90
95
100
105
110
115
120
125
130
04
:2
04
:3
04
:4
05
:1
05
:2
04
:2
04
:3
04
:4
05
:1
05
:2
04
:2
04
:3
04
:4
05
:1
05
:2
04
:2
04
:3
04
:4
05
:1
05
:2
Total In Sweden Abroad
Förenings-sparbanken
Handels-banken
Nordea SEB161
Lending by credit institutions
to companies in SwedenPercentage 12-month change, moving 3-month
average
Source: The Riksbank.Figure 3:11
-20
-10
0
10
20
Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05
-20
-10
0
10
20
SEB Handelsbanken Nordea Föreningssparbanken
Lending by credit institutions
to households in SwedenÅrlig Per centuell förändring
Source: The Riksbank.Figure 3:12
-5
0
5
10
15
20
Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05
-5
0
5
10
15
20
SEB Handelsbanken Nordea Föreningssparbanken
Breakdown of time spent on loan screening
Per cent
Source: The Riksbank.Figure B7
Business plans24%
Company visits17%
Other13%
Bransch/makroinformation
10%
Personal talks36%
Types of collateral in loan portfolios
Per cent
Source: The Riksbank.Figure B8
Real estate38%
Business mortgages
28%
Personal guarantees
10%
Unsecured7%Other
3%
Securities3%
Bilar/maskiner
7%
Kundfordringar/factoring
4%
Interest mark-up for unsecured loans
Number of officers
Source: The Riksbank.Figure B9
0
10
20
30
40
0 50 100 150 200 250 300 350+
Basis points
Fre
qu
en
cy
Provisions for incurred and probable loan losses
Per cent of loan stock, accumulated over four quarters
Figure 3:13 Sources: Bank reports and the Riksbank.
0.0
0.4
0.8
1.2
1.6
Dec-95 Dec-96 Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05
0.0
0.4
0.8
1.2
1.6
SEB Handelsbanken Nordea Föreningssparbanken
Loan losses, netPer cent of lending
Figure 3:14 Sources: Bank reports and the Riksbank.
-0.1
0.0
0.1
0.2
0.3
0.4
0.5
DanskeBank
Nordea Handels-banken
OP Bank Group
DNB NOR Förenings-sparbanken
SEB Jyske Bank
2002 2003 2005
Counterparty and settlement exposures
SEK billion
Figure 3:15 Source: The Riksbank.
0
100
200
300
400
500
600
700
800
2000 2001 2002 2003 2004 2005 first six months
Foreign-exchange settlement Interbank Securities Derivatives
Tier 1 capital ratio in the four major Swedish banks
after one of them has defaulted. Recovery 25 per cent
Per cent
Figure 3:16 Source: The Riksbank.
0
2
4
6
8
10
12
04
:10
4:2
04
:30
4:4
05
:10
5:2
04
:10
4:2
04
:30
4:4
05
:10
5:2
04
:10
4:2
04
:30
4:4
05
:10
5:2
04
:10
4:2
04
:30
4:4
05
:10
5:2
Bank D failsBank B fails Bank C failsBank A fails
visar min och max under perioden 1999:3- 2005:2
The major banks’ deposit and loan stocks
SEK billion
Figure 3:17 Sources: Bank reports and the Riksbank.
0
1,000
2,000
3,000
4,000
5,000
De
c-96
De
c-97
De
c-98
De
c-99
De
c-00
De
c-01
De
c-02
De
c-03
De
c-04
De
c-05
Loans Deposits Deposit gap
Borrowing against securities by the Swedish banks and mortgage
institutions of the major banks. Broken down by
maturity. Per cent
Figure 3:18 Source: The Riksbank.
0
10
20
30
40
50
60
Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05
Up to 1 year 1–2 years Over 2 years
Borrowing against securities by the Swedish banks and mortgage
institutions of the major banks. Broken down by
currency. Per cent
Figure 3:19 Source: The Riksbank.
0
10
20
30
40
50
60
Dec-01 Dec-02 Dec-03 Dec-04 Dec-05
SEK EUR DDK & GBP Other currencies
Tier 1 capital ratiosPer cent
Figure 3:20 Sources: Bank reports and the Riksbank.
4
6
8
10
12
Dec-96 Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05
4
6
8
10
12
SEB Handelsbanken Nordea Föreningssparbanken
Tier 1 capital ratios of the major Nordic banks
Per cent
Figure 3:21 Sources: Bank reports and the Riksbank.
0
3
6
9
12
15
Förenings-sparbanken
DanskeBank
Nordea Handels-banken
DNB NOR SEB Jyske Bank OP Bank Group
2000 2002 2005
ARTICLEHouse price
developments in Sweden and abroad
Nominal house pricesAnnual percentage change
Figure 1 – House price developments in Sweden and abroad Sources: EcoWin and Australian Property Monitor.
-5
0
5
10
15
20
25
30
Dec 9
4
Dec 9
5
Dec 9
6
Dec 9
7
Dec 9
8
Dec 9
9
Dec 0
0
Dec 0
1
Dec 0
2
Dec 0
3
Dec 0
4
Dec 0
5
USA Australia UK Spain
Nominal house pricesAnnual percentage change
Figure 2 – House price developments in Sweden and abroad Source: EcoWin.
-5
0
5
10
15
20
25
30
35
Dec 9
3
Dec 9
4
Dec 9
5
Dec 9
6
Dec 9
7
Dec 9
8
Dec 9
9
Dec 0
0
Dec 0
1
Dec 0
2
Dec 0
3
Dec 0
4
Dec 0
5
Sweden The Netherlands Ireland
House prices in relation to rents
Index: 1987 = 100
Sources: BIS and CBFSAI Financial Stability Report 2004.Figure 3 – House price developments in Sweden and abroad
0
50
100
150
200
250
19
80
19
82
19
84
19
86
19
88
19
90
19
92
19
94
19
96
19
98
20
00
20
02
20
04
United States United Kingdom Italy Ireland Australia
House prices in relation to GDP
Index: 1988 = 100
Sources: EcoWin and the Riksbank.Figure 4 – House price developments in Sweden and abroad
60
80
100
120
140
160
180
De
c-8
6
De
c-8
7
De
c-8
8
De
c-8
9
De
c-9
0
De
c-9
1
De
c-9
2
De
c-9
3
De
c-9
4
De
c-9
5
De
c-9
6
De
c-9
7
De
c-9
8
De
c-9
9
De
c-0
0
De
c-0
1
De
c-0
2
De
c-0
3
De
c-0
4
De
c-0
5
USA UK Ireland The Netherlands
Australia Spain Sweden
House prices in SwedenIndex 1986 = 100
Source: Statistics Sweden.Figure 5 – House price developments in Sweden and abroad
0
100
200
300
400
500
De
c-8
6
De
c-8
7
De
c-8
8
De
c-8
9
De
c-9
0
De
c-9
1
De
c-9
2
De
c-9
3
De
c-9
4
De
c-9
5
De
c-9
6
De
c-9
7
De
c-9
8
De
c-9
9
De
c-0
0
De
c-0
1
De
c-0
2
De
c-0
3
De
c-0
4
De
c-0
5
Whole country Greater StockholmGreater Gothenburg Greater Malmö
Nominal house prices, real house prices
and prices in relation to disposable income
Index: 1957 = 100
Source: Statistics Sweden.Figure 6 – House price developments in Sweden and abroad
0
400
800
1200
1600
2000
19
52
19
56
19
60
19
64
19
68
19
72
19
76
19
80
19
84
19
88
19
92
19
96
20
00
20
04
0
40
80
120
160
200
Nominal houseprices (left scale)
Nominal houseprices deflated by disposable income/capita (right scale)
Real houseprices (right scale)
Share of total population in age group
25-35 years (per cent) and real house pricesIndex: 1957 = 100
Figure 7 – House price developments in Sweden and abroad Source: Statistics Sweden.
10
30
50
70
90
110
130
150
170
19
68
19
72
19
76
19
80
19
84
19
88
19
92
19
96
20
00
20
04
13.5
14.0
14.5
15.0
15.5
16.0
16.5
17.0
17.5
Real houesprices Proportion of 25-35 year olds
Nominal house prices given a number of interest rate
scenariosAnnual percentage change
Sources: Statistics Sweden and the Riksbank.Figure 8 – House price developments in Sweden and abroad
-12
-8
-4
0
4
8
12
16
20
19
87
19
90
19
93
19
96
19
99
20
02
20
05
20
08
Outcome Implied forward rate Alternative 1 Alternative 2
