Transcript Bild 1 - Sveriges Riksbank

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
Others
5%
Non- financial
companies (excl.
property
management
companies)
29%
Households
45%
Property
management
companies
21%
Source: Bank reports.
CHAPTER 1
Financial markets
Stock market indices
Index: September 2002 = 100
400
300
200
100
0
dec-91
Figure 1:1
dec-93
dec-95
dec-97
dec-99
dec-01
Sweden
Finland
Denmark
Germany
UK
USA
dec-03
dec-05
Norway
Source: EcoWin.
Expected profits
Percentage increase from 2004
22
20
18
16
14
12
10
8
Jan
Feb
Mar
Apr
DJ EUROSTOXX
Figure 1:2
May
Jun
S&P 500
Jul
Aug
Sep
Oct
OMX
Source: EcoWin.
Implied stock-market volatility
Index
60
50
40
30
C
20
10
0
Dec-96
Dec-97
Dec-98
Dec-99
Dec-00
Sweden – OMX
Germany – DAX 30
Historical average for all countries
Figure 1:3
Dec-01
Dec-02
Dec-03
Dec-04
Dec-05
UK – FTSE 100
USA – S&P 500
Source: Bloomberg.
Ten-year government bond yields
Per cent
12
10
8
6
4
2
Sweden
Figure 1:4
Germany
UK
Dec-05
Dec-04
Dec-03
Dec-02
Dec-01
Dec-00
Dec-99
Dec-98
Dec-97
Dec-96
Dec-95
Dec-94
0
USA
Sources: EcoWin.
Corporate bond
spreads in the USA
Percentage points
12
10
8
6
4
2
Aaa
Figure 1:5
Baa
2004
2002
2000
1998
1996
1994
0
High-yield bonds
Sources: EcoWin, Federal Reserve Board and Merrill Lynch.
Corporate bond
spreads in Europe
Percentage points
18
12
6
0
Dec-98
Dec-99
Dec-00
BBB
Figure 1:6
Dec-01
Dec-02
Dec-03
Dec-04
Dec-05
High-yield bonds
Sources: J. P. Morgan and Merrill Lynch.
Credit default swap spreadar
80
70
60
50
40
30
Oct04
Nov04
Dec04
Jan05
Feb05
Mar05
Europe
Figure 1:7
Apr05
May05
Jun05
Jul05
Aug05
Sep05
Oct05
USA
Source: Bloomberg.
Emerging market bond spreads
Percentage points
20
16
12
8
4
0
Dec-99
Dec-00
Dec-01
Europe
Figure 1:8
Dec-02
Asia
Dec-03
Dec-04
Dec-05
EMBI+
Source: Bloomberg.
Prices for oil and other
commodities
USD and index: February 2000 = 100
70
220
60
200
50
180
40
160
30
140
20
120
10
100
0
Dec-99
Dec-00
Dec-01
Dec-02
Oil price in US dollars (left scale)
Figure 1:9
Dec-03
Dec-04
80
Dec-05
Commodity price index (right scale)
Sources: Bloomberg and EcoWin.
CHAPTER 2
The Swedish banks’
borrowers
Non-financial companies
borrowing and bank deposits
Twelve-month change, moving three-month average
30
30
20
20
10
10
0
0
Borrowing from credit market institutions
Figure 2:1
Dec 05
Dec 04
Dec 03
Dec 02
Dec 01
Dec 00
Dec 99
Dec 98
Dec 97
Dec 96
Dec 95
Dec 94
Dec 93
Dec 92
-10
Dec 91
-10
Bank deposits
Source: The Riksbank.
Ratio of debt to total assets
in listed companies
Per cent of all listed companies
100
80
60
40
20
0
1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004
0-25
Figure 2:2
25-50
50-75
>75
Average
Sources: Bloomberg and the Riksbank.
Cover for interest expenditure and
debt in small and large companies
Ratio
8
6
4
2
0
1989
Figure 2:3
1992
1995
1998
2001
Debt cover (large companies)
Debt cover (small companies)
Interest cover (large companies)
Interest cover (small companies)
2004
Sources: UC AB and the Riksbank.
Breakdown of returns on
equity in listed companies
Per cent of all listed companies
100
80
60
40
20
0
1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
June
Return on
equity:
>10
5 - 10
0-5
-5 - 0
<- 5
Figure 2:4
Sources: Bloomberg and the Riksbank.
Number of corporate defaults
by company size
0
0
1–9 employees
Figure 2:5
10–49 employees
Dec-04
5
Dec-02
100
Dec-00
10
Dec-98
200
Dec-96
15
Dec-94
300
Dec-92
20
Dec-90
400
Dec-88
25
Dec-86
500
Dec-84
30
Dec-82
600
>49 employees (right scale)
Source: Statistics Sweden.
Corporate defaults broken
down by industry
Percentage 12-month change, moving 12-month average
150
150
120
120
90
90
60
60
30
30
0
0
Transport
Construction
Figure 2:6
Manufacturing
IT-telecom
Dec-05
Dec-04
Dec-03
Dec-02
Dec-01
Dec-00
Dec-99
Dec-98
-60
Dec-97
-60
Dec-96
-30
Dec-95
-30
Property management
Source: Statistics Sweden.
Expected default frequency (EDF) by
industry
for listed non-financial companies
Per cent (logarithmic scale)
100
10
1
0.1
0.01
Oct-00
Oct-01
Manufacturing
Services
Figure 2:7
Oct-02
Oct-03
Construction
Property management
Oct-04
Oct-05
IT-telecom
Transport
Sources: Moody’s KMV.
Expected default frequency (EDF)
for listed non-financial companies
Per cent (logarithmic scale)
10
1
0.1
0.01
Oct-00
Oct-01
Sweden
Figure 2:8
Oct-02
Norway
Oct-03
Denmark
Oct-04
Finland
Oct-05
Germany
Sources: Moody’s KMV.
Cover for interest expenditure and
debt for property companies
Ratio
5
5
4
4
3
3
2
2
1
1
0
1995
1996
1997
1998
Debt cover
Figure 2:9
1999
2000
2001
2002
2003
0
2004
Interest cover
Source: The Riksbank.
Expected default frequency (EDF)
for listed property companies
Per cent (logarithmic scale)
10
1
0.1
Sweden
Figure 2:10
Norway
Denmark
Finland
Oct-05
Oct-04
Oct-03
Oct-02
Oct-01
Oct-00
0.01
Germany
Source: Moody´s KMV.
Real rents for office premises
in central locations
Index 1981 = 100
200
150
100
Stockholm
Figure B1
Göteborg
2005
2003
2001
1999
1997
1995
1993
1991
1989
1987
1985
1983
1981
50
Malmö
Sources: NewSec AB and the Riksbank.
Vacancy rates for office premises
in central locations
Per cent
30
20
10
Stockholm
Figure B2
Göteborg
2005
2002
1999
1996
1993
1990
0
Malmö
Sources: NewSec AB and the Riksbank.
Average direct return required for
office premises in central locations
Per cent
14
12
10
8
6
4
2
Stockholm
Figure B3
Göteborg
Malmö
2004
2002
2000
1998
1996
1994
1992
1990
1988
1986
1984
1982
1980
0
5-year treasury bond rate
Sources: Newsec AB, Jones Lang LaSalle and EcoWin.
Changes in metropolitan
and national employment
Per cent
6
4
2
0
-2
Stockholm county
Sweden
Figure B4
Skåne county
Sweden, forecast
Dec-06
Dec-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Sep-03
Jun-03
Mar-03
Dec-02
Sep-02
Jun-02
Mar-02
Dec-01
Sep-01
Jun-01
Mar-01
Dec-00
Sep-00
Jun-00
Mar-00
-4
Västra Götaland county
Sources: Statistics Sweden and the Riksbank.
Household borrowing
by type of institution
Percentage 12-month change
20
20
10
10
0
0
-10
Dec-95
Dec-97
Total
Figure 2:11
Banks
Dec-99
Dec-01
Mortage institutions
Dec-03
-10
Dec-05
Other credit market companies
Source: The Riksbank.
Household debt and house prices
Index 1986 = 100
400
400
300
300
200
200
100
100
0
1985
1987
1989
1991
1993
House prices
Figure 2:12
1995
1997
1999
2001
2003
0
2005
Household debt
Source: Statistics Sweden.
Household debt and post-tax interest
expenditure as percentages of disposable
income
Per cent
160
16
120
12
80
8
40
4
0
1980
Figure 2:13
1984
1988
1992
1996
2000
Debt ratio (left scale)
Forecast
Post-tax interest expenditure ratio (right scale)
Forecast
2004
0
2008
Sources: Statistics Sweden and the Riksbank.
Household wealth
SEK billion
5000
4000
3000
2000
1000
Financial wealth
Figure 2:14
Jun-05
Dec-04
Dec-03
Dec-02
Dec-01
Dec-00
Dec-99
Dec-98
Dec-97
Dec-96
Dec-95
Dec-94
Dec-93
Dec-92
Dec-91
Dec-90
Dec-89
Dec-88
Dec-87
Dec-86
0
Housing wealth
Sources: Statistics Sweden and the Riksbank.
Length of fixed interest periods
for house mortgage loans
Per cent of total stock
100%
80%
60%
40%
20%
<= 3 months
Figure 2:15
>3 to <= 12 months
>12 to =< 24 months
Mar-05
Sep-04
Mar-04
Sep-03
Mar-03
Sep-02
Mar-02
Sep-01
Mar-01
Sep-00
Mar-00
Sep-99
Mar-99
Sep-98
Mar-98
Sep-97
Mar-97
Sep-96
Mar-96
0%
>24 months
Source: The Riksbank.
CHAPTER 3
Developments in the
banks
Implied volatility of bank equity
Per cent, moving 10-day average
120
120
80
80
40
40
0
Dec-97
Dec-98
SEB
Figure 3:1
Dec-99
Dec-00
Handelsbanken
Dec-01
Dec-02
Nordea
Dec-03
Dec-04
0
Dec-05
Föreningssparbanken
Sources: Bloomberg and the Riksbank.
Profit before loan losses and net
loan losses in the major banks
Four-quarter figures. SEK billion, 2005 prices
40
40
20
20
0
0
Profit before loan losses
Figure 3:2
Profit before loan losses using IFRS
Dec-05
60
Dec-02
60
Dec-99
80
Dec-96
80
Dec-93
100
Dec-90
100
Loan losses
Sources: Bank reports and the Riksbank.
Post-tax return on equity in the major
banks and the market’s required return
Per cent
25
20
15
10
5
0
Profitability
Figure 3:3
2005
2004
2003
2002
2001
2000
1999
1998
1997
1996
1995
1994
1992
1991
1990
1993
-15,3
-5
Required return
Sources: Bank reports, Stockholmsbörsen and the Riksbank.
4
28
2
25
0
22
-2
19
-4
16
-6
13
-8
10
1997
1998
1999
2000
2001
2002
2003
2004
Pre-tax profit margin
Risk-adjusted income
Level of risk
Leverage
Per cent
Percentage points
Pre-tax return on equity
2005
Pre-tax return on equity (right scale)
Figure 3:4
Sources: Bank reports and the Riksbank.
Post-tax return on equity
Per cent
30
2000
2002
2005
20
10
0
Förenings- Jyske Bank
sparbanken
Figure 3:5
SEB
DNB NOR
Handelsbanken
Danske
Bank
Nordea
OP Bank
Group
Sources: Bank reports and the Riksbank.
Net interest margin and spreads for the major
banks on deposits, bank loans and mortgage loans
in Sweden
Per cent, moving 4-quarter average
3.0
-3.0
2.5
-2.5
2.0
-2.0
1.5
-1.5
1.0
-1.0
0.5
-0.5
0.0
Dec-97
Figure 3:6
Dec-98
Dec-99
Dec-00
Dec-01
Dec-02
Dec-03
Dec-04
Net interest margin
Bank loans
New mortgage loans
Bank deposits (right scale)
0.0
Dec-05
Sources: Bank reports and the Riksbank.
Net commission income in the major
banks and Nordic stock-markets index
SEK million and index
6,000
120
5,000
100
4,000
80
3,000
60
2,000
40
1,000
20
0
0
00:1
00:3
Payments
Figure 3:7
01:1
01:3
02:1
Securities
02:3
Other
03:1
03:3
04:1
04:3
05:1
05:3
Nordic stock-markets index (right scale)
Sources: Bank reports, EcoWin, and the Riksbank.
Cost efficiency of the major banks
Per cent
4
80
3
60
2
40
1
20
0
0
1995
1996
1997
1998
1999
Costs/assets
Costs/income ratio (right scale)
Figure 3:8
2000
2001
2002
2003
2004
sep-05
Income/ assets
Costs/income ratio with IFRS (right scale)
Sources: Bank reports, EcoWin and the Riksbank.
Ratios of costs and income to
assets
Index: Handelsbanken = 100
400
300
200
100
0
Handelsbanken
Förenings- DNB NOR
sparbanken
Danske
Bank
Costs/income
Figure 3:9
Nordea
OP Bank
Group
Jyske Bank
SEB
Costs/assets
Sources: Bank reports and the Riksbank.
Loan stocks in relation to GDP
Per cent
120
100
80
60
40
20
0
1999
2000
Sweden
Figure B5
2001
Estonia
2002
Latvia
2003
2004
Lithuania
Source: The Riksbank.
Potential growth of the major banks’
lending in the Baltic states
Per cent
12
10
8
6
4
2
0
2004
2005
2006
Nordea
Figure R6
2007
SEB
2008
2009
FSB
Sources: Bank reports and the Riksbank.
Stock of loans to the general
public in Sweden and abroad
Index: 2004 Q3 = 100
130
161
125
Handelsbanken
Föreningssparbanken
Nordea
SEB
120
115
110
105
100
95
90
85
Total
Figure 3:10
In Sweden
05:2
05:1
04:4
04:3
04:2
05:2
05:1
04:4
04:3
04:2
05:2
05:1
04:4
04:3
04:2
05:2
05:1
04:4
04:3
04:2
80
Abroad
Sources: Bank reports and the Riksbank.
Lending by credit institutions
to companies in Sweden
Percentage 12-month change, moving 3-month average
20
20
10
10
0
0
-10
-20
Dec-97
-10
Dec-98
SEB
Figure 3:11
Dec-99
Dec-00
Handelsbanken
Dec-01
Dec-02
Nordea
Dec-03
Dec-04
-20
Dec-05
Föreningssparbanken
Source: The Riksbank.
Lending by credit institutions
to households in Sweden
Årlig Per centuell förändring
20
20
15
15
10
10
5
5
0
0
-5
Dec-97
Dec-98
SEB
Figure 3:12
Dec-99
Dec-00
Handelsbanken
Dec-01
Dec-02
Nordea
Dec-03
Dec-04
-5
Dec-05
Föreningssparbanken
Source: The Riksbank.
Breakdown of time spent on loan
screening
Per cent
Other
13%
Personal talks
36%
Company visits
17%
Bransch/
makroinformation
10%
Business plans
24%
Figure B7
Source: The Riksbank.
Types of collateral in loan portfolios
Per cent
Other
3%
Unsecured
7%
Personal
guarantees
10%
Real estate
38%
Kundfordringar/
factoring
4%
Business
mortgages
28%
Figure B8
Securities
3%
Bilar/
maskiner
7%
Source: The Riksbank.
Interest mark-up for unsecured loans
Number of officers
40
Frequency
30
20
10
0
0
50
100
150
200
250
300
350+
Basis points
Figure B9
Source: The Riksbank.
Provisions for incurred
and probable loan losses
Per cent of loan stock, accumulated over four quarters
1.6
1.6
1.2
1.2
0.8
0.8
0.4
0.4
0.0
0.0
Dec-95 Dec-96 Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05
SEB
Figure 3:13
Handelsbanken
Nordea
Föreningssparbanken
Sources: Bank reports and the Riksbank.
Loan losses, net
Per cent of lending
0.5
2002
2003
2005
0.4
0.3
0.2
0.1
0.0
-0.1
Danske
Bank
Figure 3:14
Nordea
Handelsbanken
OP Bank
Group
DNB NOR
Föreningssparbanken
SEB
Jyske Bank
Sources: Bank reports and the Riksbank.
Counterparty and settlement
exposures
SEK billion
800
700
600
500
400
300
200
100
0
2000
2001
2002
Foreign-exchange settlement
Figure 3:15
2003
Interbank
2004
Securities
2005
first six months
Derivatives
Source: The Riksbank.
Tier 1 capital ratio in the four major Swedish banks
after one of them has defaulted. Recovery 25 per
cent
Per cent
Bank B fails
Bank C fails
04:1
04:2
04:3
04:4
05:1
05:2
Bank A fails
04:1
04:2
04:3
04:4
05:1
05:2
12
Bank D fails
10
8
6
04:1
04:2
04:3
04:4
05:1
05:2
04:1
04:2
04:3
04:4
05:1
05:2
4
2
0
visar min och max under perioden 1999:3- 2005:2
Figure 3:16
Source: The Riksbank.
The major banks’ deposit and loan
stocks
SEK billion
5,000
4,000
3,000
2,000
1,000
Loans
Figure 3:17
Deposits
Dec-05
Dec-04
Dec-03
Dec-02
Dec-01
Dec-00
Dec-99
Dec-98
Dec-97
Dec-96
0
Deposit gap
Sources: Bank reports and the Riksbank.
Borrowing against securities by the Swedish
banks and mortgage institutions of the
major banks. Broken down by maturity. Per cent
60
50
40
30
20
10
0
Dec-01
Jun-02
Dec-02
Up to 1 year
Figure 3:18
Jun-03
Dec-03
1–2 years
Jun-04
Dec-04
Jun-05
Dec-05
Over 2 years
Source: The Riksbank.
Borrowing against securities by the Swedish
banks and mortgage institutions of the
major banks. Broken down by currency. Per
cent
60
50
40
30
20
10
0
Dec-01
Dec-02
SEK
Figure 3:19
Dec-03
EUR
DDK & GBP
Dec-04
Dec-05
Other currencies
Source: The Riksbank.
Tier 1 capital ratios
Per cent
12
12
10
10
8
8
6
6
4
Dec-96
Dec-97
SEB
Figure 3:20
Dec-98
Dec-99
Dec-00
Handelsbanken
Dec-01
Nordea
Dec-02
Dec-03
Dec-04
4
Dec-05
Föreningssparbanken
Sources: Bank reports and the Riksbank.
Tier 1 capital ratios of the
major Nordic banks
Per cent
15
12
9
6
3
0
Föreningssparbanken
Danske
Bank
Nordea
Handelsbanken
2000
Figure 3:21
DNB NOR
2002
SEB
Jyske Bank
OP Bank
Group
2005
Sources: Bank reports and the Riksbank.
ARTICLE
House price
developments in Sweden
and abroad
Nominal house prices
Annual percentage change
30
25
20
15
10
5
0
USA
Australia
Figure 1 – House price developments in Sweden and abroad
UK
05
D
ec
04
D
ec
03
D
ec
02
D
ec
01
D
ec
00
D
ec
99
D
ec
98
D
ec
97
D
ec
96
D
ec
95
D
ec
D
ec
94
-5
Spain
Sources: EcoWin and Australian Property Monitor.
Nominal house prices
Annual percentage change
35
30
25
20
15
10
5
0
Sweden
Figure 2 – House price developments in Sweden and abroad
The Netherlands
05
D
ec
04
D
ec
03
D
ec
02
D
ec
01
D
ec
00
D
ec
99
D
ec
98
D
ec
97
D
ec
96
D
ec
95
D
ec
94
D
ec
D
ec
93
-5
Ireland
Source: EcoWin.
House prices in relation to rents
Index: 1987 = 100
250
200
150
100
50
United States
United Kingdom
Figure 3 – House price developments in Sweden and abroad
Italy
Ireland
2004
2002
2000
1998
1996
1994
1992
1990
1988
1986
1984
1982
1980
0
Australia
Sources: BIS and CBFSAI Financial Stability Report 2004.
House prices in relation to GDP
Index: 1988 = 100
180
160
140
120
100
80
USA
UK
Ireland
Australia
Spain
Sweden
Figure 4 – House price developments in Sweden and abroad
Dec-05
Dec-04
Dec-03
Dec-02
Dec-01
Dec-00
Dec-99
Dec-98
Dec-97
Dec-96
Dec-95
Dec-94
Dec-93
Dec-92
Dec-91
Dec-90
Dec-89
Dec-88
Dec-87
Dec-86
60
The Netherlands
Sources: EcoWin and the Riksbank.
House prices in Sweden
Index 1986 = 100
500
400
300
200
100
Whole country
Greater Gothenburg
Figure 5 – House price developments in Sweden and abroad
Dec-05
Dec-04
Dec-03
Dec-02
Dec-01
Dec-00
Dec-99
Dec-98
Dec-97
Dec-96
Dec-95
Dec-94
Dec-93
Dec-92
Dec-91
Dec-90
Dec-89
Dec-88
Dec-87
Dec-86
0
Greater Stockholm
Greater Malmö
Source: Statistics Sweden.
prices
and prices in relation to disposable
income
Index: 1957 = 100
2000
200
1600
160
1200
120
800
80
400
40
2004
2000
1996
1992
1988
1984
1980
1976
1972
1968
1964
1960
1956
0
1952
0
Nominal houseprices (left scale)
Nominal houseprices deflated by disposable income/capita (right scale)
Real houseprices (right scale)
Figure 6 – House price developments in Sweden and abroad
Source: Statistics Sweden.
Share of total population in age group
25-35 years (per cent) and real house
prices
Index: 1957 = 100
70
15.0
50
14.5
30
14.0
10
13.5
Real houesprices
Figure 7 – House price developments in Sweden and abroad
2004
15.5
2000
90
1996
16.0
1992
110
1988
16.5
1984
130
1980
17.0
1976
150
1972
17.5
1968
170
Proportion of 25-35 year olds
Source: Statistics Sweden.
Nominal house prices given a
number of interest rate scenarios
Annual percentage change
20
16
12
8
4
0
-4
-8
Outcome
Implied forward rate
Figure 8 – House price developments in Sweden and abroad
Alternative 1
2008
2005
2002
1999
1996
1993
1990
1987
-12
Alternative 2
Sources: Statistics Sweden and the Riksbank.