chart pack to council for cooperation on macroprudential...
TRANSCRIPT
Chart pack to council for cooperation on macroprudential policy
Contents List of charts ................................................................................................................................................. 3
Macro and macro-financial setting ............................................................................................................. 5
Swedish macroeconomic setting ............................................................................................................ 5
Foreign macroeconomic setting ............................................................................................................ 6
Macro-financial setting, banks ............................................................................................................... 8
Macro-financial setting, households ...................................................................................................... 9
Financial markets ........................................................................................................................................ 11
Financial markets, Sweden.................................................................................................................... 11
Financial markets, other countries ...................................................................................................... 12
Banking groups ........................................................................................................................................... 13
Income and balance sheet measures ................................................................................................... 13
Funding and liquidity measures ........................................................................................................... 15
Insurance companies ................................................................................................................................. 17
List of charts
Chart 1: GDP growth, Sweden .................................................................................................................. 5
Chart 2: Unemployment, Sweden .............................................................................................................. 5
Chart 3: CPI inflation, Sweden ................................................................................................................... 5
Chart 4: Repo rate ........................................................................................................................................ 5
Chart 5: Economic Tendency indicator .................................................................................................... 5
Chart 6: Confidence indicators for households ....................................................................................... 5
Chart 7: Purchasing managers' index, Sweden ......................................................................................... 6
Chart 8: New export orders, Sweden ........................................................................................................ 6
Chart 9: Economic Sentiment Indicator, Euro area................................................................................ 6
Chart 10: Purchasing managers' index, foreign ........................................................................................ 6
Chart 11: GDP growth, different regions ................................................................................................. 6
Chart 12: General government debt .......................................................................................................... 6
Chart 13: Government deficit/surplus ...................................................................................................... 7
Chart 14: Unit labour cost ........................................................................................................................... 7
Chart 15: Banks’ assets in relation to GDP ............................................................................................. 8
Chart 16: Lending in relation to deposits ................................................................................................. 8
Chart 17: Use of foreign wholesale funding ............................................................................................. 8
Chart 18: Prices for single-family houses and tenant-owned apartments ............................................ 9
Chart 19: Real house prices in Sweden ..................................................................................................... 9
Chart 20: Household debt-to-income ....................................................................................................... 9
Chart 21: Household debt and post-tax interest expenditure ................................................................ 9
Chart 22: Household assets and debts ...................................................................................................... 9
Chart 23: Household savings ...................................................................................................................... 9
Chart 24: Household debt, international comparison ........................................................................... 10
Chart 25: Credit gap, Sweden ................................................................................................................... 10
Chart 26: Swedish stress index ................................................................................................................. 11
Chart 27: Systemic risk indicator .............................................................................................................. 11
Chart 28: Five-year CDS premiums, Swedish banks ............................................................................. 11
Chart 29: Indicative breakdown of the risk premium in Sweden ........................................................ 11
Chart 30: European stress index .............................................................................................................. 12
Chart 31: Five-year CDS premiums for banks ....................................................................................... 12
Chart 32: Five-year CDS premiums for government bonds ................................................................ 12
Chart 33: Yields on two-year government bonds .................................................................................. 12
Chart 34: Indicative breakdown of the risk premium in the euro zone ............................................. 12
Chart 35: Size of central banks’ balance sheet compared to GDP ..................................................... 12
Chart 36: Profit before loan losses and loan losses ............................................................................... 13
Chart 37: Credit losses ............................................................................................................................... 13
Chart 38: Swedish banks’ issue volumes ................................................................................................. 13
Chart 39: Swedish banks’ costs-to-income ratio .................................................................................... 13
Chart 40: Return on equity ........................................................................................................................ 13
Chart 41: CET1 ratio according to Basel III .......................................................................................... 13
Chart 42: CET1 ratio, international comparison ................................................................................... 14
Chart 43: Adjusted leverage ratio, international comparison ............................................................... 14
Chart 44: Basis spread ................................................................................................................................ 15
Chart 45: Credit curve for Swedish covered bonds (compared to the swap rate) ............................ 15
Chart 46: Swap and covered bond spread .............................................................................................. 15
Chart 47: Cost of borrowing in foreign currency and swap to SEK, compared to borrowing domestically ................................................................................................................................................. 15
Chart 48: TED spread ............................................................................................................................... 15
Chart 49: Major Swedish banks’ issue volumes ..................................................................................... 16
Chart 50: Maturity within a year of Swedish banks’ outstanding bonds ............................................ 16
Chart 51: The major banks’ average LCR ............................................................................................... 16
Chart 52: The major banks’ average NSFR ............................................................................................ 16
Chart 53: Solvency ratio ............................................................................................................................ 17
Chart 54: Traffic light ratio ....................................................................................................................... 17
Macro and macro-financial setting
Swedish macroeconomic setting
Chart 1: GDP growth, Sweden
Chart 2: Unemployment, Sweden
Chart 3: CPI inflation, Sweden
Chart 4: Repo rate
Chart 5: Economic Tendency indicator
Chart 6: Confidence indicators for households
-8
-6
-4
-2
0
2
4
6
8
-8
-6
-4
-2
0
2
4
6
8
07 09 11 13 15
90%
75%
50%
Outcome
Forecast
-2
-1
0
1
2
3
4
5
6
-2
-1
0
1
2
3
4
5
6
07 09 11 13 15
90%
75%
50%
Outcome
Forecast
-2
-1
0
1
2
3
4
5
6
7
-2
-1
0
1
2
3
4
5
6
7
07 09 11 13 15
90%
75%
50%
Outcome
Forecast
Foreign macroeconomic setting
Chart 7: Purchasing managers' index, Sweden
Chart 8: New export orders, Sweden
Chart 9: Economic Sentiment Indicator, Euro area
Chart 10: Purchasing managers' index, foreign
Chart 11: GDP growth, different regions
Chart 12: General government debt
25
35
45
55
65
75
25
35
45
55
65
75
08 09 10 11 12 13
30
35
40
45
50
55
60
65
30
35
40
45
50
55
60
65
00 02 04 06 08 10 12
China
USA
Euro area
-6
-4
-2
0
2
4
6
-6
-4
-2
0
2
4
6
98 02 06 10 14
KIX
The world
USA
Euro area
0
25
50
75
100
125
0
25
50
75
100
125
90 95 00 05 10
SpainPortugalItalyFinlandUnited KingdomGermanySweden
Chart 13: Government deficit/surplus
Chart 14: Unit labour cost
-15
-10
-5
0
5
10
-15
-10
-5
0
5
10
80 85 90 95 00 05 10
Spain
Portugal
Italy
FinlandUnited Kingdom
Germany
Sweden
90
100
110
120
130
140
90
100
110
120
130
140
00 02 04 06 08 10 12
SpainPortugalItalyFinlandUnited KingdomGermanySweden
Macro-financial setting, banks
Chart 15: Banks’ assets in relation to GDP
Chart 16: Lending in relation to deposits
Chart 17: Use of foreign wholesale funding
0 100 200 300 400 500 600 700
Czech Republic
Estonia
Lithuania
Slovakia
Romania
Bulgaria
Poland
Hungary
Latvia
Finland
Slovenia
Luxembourg
Belgium
Italy
Greece
Average
Portugal
Ireland
Austria
Germany
France
Denmark
Spain
Sweden
Netherlands
United Kingdom
Switzerland
The major Swedish banks’ foreign operations 0 50 100 150 200 250
SEB
Nordea
Swedbank
Handelsbanken
Macro-financial setting, households
Chart 18: Prices for single-family houses and tenant-owned apartments
Chart 19: Real house prices in Sweden
Chart 20: Household debt-to-income
Chart 21: Household debt and post-tax interest expenditure
Chart 22: Household assets and debts
Chart 23: Household savings
Chart 24: Household debt, international comparison
Chart 25: Credit gap, Sweden
Financial markets
Financial markets, Sweden
Chart 26: Swedish stress index
Chart 27: Systemic risk indicator
Chart 28: Five-year CDS premiums, Swedish banks
Chart 29: Indicative breakdown of the risk premium in Sweden
0
0,1
0,2
0,3
0,4
0,5
0,6
0,7
0,8
0,9
1
Stock market Bond market Money market
Foreign exchange market Stress index
0
50
100
150
200
250
300
350
400
450
08 09 10 11 12 13
Handelsbanken Swedbank Nordea SEB
0
10
20
30
40
50
60
70
80
90
100
Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13
Credit risk premium Liquidity risk premium
Financial markets, other countries
Chart 30: European stress index
Chart 31: Five-year CDS premiums for banks
Chart 32: Five-year CDS premiums for government bonds
Chart 33: Yields on two-year government bonds
Chart 34: Indicative breakdown of the risk premium in the euro zone
Chart 35: Size of central banks’ balance sheet compared to GDP
0,0
0,1
0,2
0,3
0,4
0,5
0,6
0,7
0,8
0,9
1,0
Money market Bond market Stock market
Financial intermediaries Foreign exchange market Stress index
0
100
200
300
400
500
600
jan-12 apr-12 jul-12 okt-12 jan-13
Sweden Great Britain Core countries Spain and Italy
0
200
400
600
800
1000
1200
1400
1600
09 10 11 12 13
Germany Greece Portugal Italy Spain Irland
-2
0
2
4
6
8
10
jan-12 apr-12 jul-12 okt-12 jan-13
France Germany Portugal Ireland Italy Spain
0
20
40
60
80
100
120
140
160
180
200
Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12
Credit risk premium Liquidity risk premium0
5
10
15
20
25
30
35
07 08 09 10 11 12
Sweden USA Euro Zone Great Britain
Banking groups
Income and balance sheet measures
Chart 36: Profit before loan losses and loan losses
Chart 37: Credit losses
Chart 38: The major banks’ income
Chart 39: Swedish banks’ costs-to-income ratio
Chart 40: Return on equity
Chart 41: CET1 ratio according to Basel III
Chart 42: CET1 ratio, international comparison
Chart 43: Adjusted leverage ratio, international comparison
0 2 4 6 8 10 12 14 16 18
Handelsbanken
Swedbank
SEB
Nordea
0 2 4 6 8 10
Handelsbanken
Nordea
SEB
Swedbank
Funding and liquidity measures
Chart 44: Basis spread
Chart 45: Credit curve for Swedish covered bonds (compared to the swap rate)
Chart 46: Swap and covered bond spread
Chart 47: Cost of borrowing in foreign currency and swap to SEK, compared to borrowing domestically
Chart 48: TED spread
0
20
40
60
80
100
120
jan-11 apr-11 jul-11 okt-11 jan-12 apr-12 jul-12 okt-12 jan-13
USA Euro Zone Great Britain Sweden
-20
0
20
40
60
80
100
120
2 year 5 year
0
0,2
0,4
0,6
0,8
1
1,2
1,4
1,6
1,8
2
09 10 11 12 13
Swap spread Covered bond spread-100
-80
-60
-40
-20
0
20
40
60
80
100
120
feb-11 maj-11 aug-11 nov-11 feb-12 maj-12 aug-12 nov-12 feb-13
USD EUR
0
20
40
60
80
100
120
140
160
180
jan-11 apr-11 jul-11 okt-11 jan-12 apr-12 jul-12 okt-12 jan-13
3M TED 6M TED
Chart 49: Major Swedish banks’ issue volumes
Chart 50: Maturity within a year of Swedish banks’ outstanding bonds
Chart 51: The major banks’ average LCR
Chart 52: The major banks’ average NSFR
0
50
100
150
200
250
300
Total US dollar Euro
March 2012
September 2012
0
10
20
30
40
50
60
70
80
90
100
110
120
130
140
150
September 2011 March 2012 September 2012
Insurance companies Chart 53: Solvency ratio
Chart 54: Traffic light ratio