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 ........................................................................................................................................... 14
Income and balance sheet measures ................................................................................................... 14
Funding and liquidity measures ........................................................................................................... 16
Insurance companies ................................................................................................................................. 18
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: Seasonally-adjusted house prices .............................................................................................. 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: Yield on ten-year government bonds, Sweden ..................................................................... 11
Chart 31: European stress index .............................................................................................................. 12
Chart 32: Five-year CDS premiums for banks ....................................................................................... 12
Chart 33: Five-year CDS premiums for government bonds ................................................................ 12
Chart 34: Yields on two-year government bonds .................................................................................. 12
Chart 35: Yield on ten-year government bonds ..................................................................................... 12
Chart 36: Indicative breakdown of the risk premium in the euro zone ............................................. 12
Chart 37: Size of central banks’ balance sheet compared to GDP ..................................................... 13
Chart 38: Profit before loan losses and loan losses ............................................................................... 14
Chart 39: Credit losses, quarterly, SEK bn ............................................................................................. 14
Chart 40: The major banks’ income ........................................................................................................ 14
Chart 41: Swedish banks’ costs-to-income ratio .................................................................................... 14
Chart 42: Return on equity ........................................................................................................................ 14
Chart 43: CET1 ratio according to Basel III .......................................................................................... 14
Chart 44: CT1 ratio Basel II, international comparison ....................................................................... 15
Chart 45: Adjusted leverage ratio, international comparison ............................................................... 15
Chart 46: Basis spread ................................................................................................................................ 16
Chart 47: Credit curve for Swedish covered bonds (compared to the swap rate) ............................ 16
Chart 48: Swap and covered bond spread .............................................................................................. 16
Chart 49: Cost of borrowing in foreign currency and swap to SEK, compared to borrowing domestically ................................................................................................................................................. 16
Chart 50: TED spread ............................................................................................................................... 16
Chart 51: Major Swedish banks’ issue volumes, SEK million ............................................................. 17
Chart 52: The major banks’ total LCR .................................................................................................... 17
Chart 53: Solvency ratio ............................................................................................................................ 18
Chart 54: Traffic light ratio ....................................................................................................................... 18
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
-9
-6
-3
0
3
6
9
-9
-6
-3
0
3
6
9
07 09 11 13 15
90%
75%
50%
Outcome
Forecast 5
6
7
8
9
5
6
7
8
9
07 09 11 13 15
-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
0
2
4
6
8
-2
0
2
4
6
8
07 09 11 13 15
90%
75%
50%
Outcome
Forecast
60
70
80
90
100
110
120
60
70
80
90
100
110
120
96 98 00 02 04 06 08 10 12
-80
-60
-40
-20
0
20
40
60
-80
-60
-40
-20
0
20
40
60
94 98 02 06 10
Micro index
Macro index
Household confidence indicator
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 1320
30
40
50
60
70
80
-60
-40
-20
0
20
40
60
96 98 00 02 04 06 08 10 12
Orders, NIER (net figures), (left scale)
Orders, Purchasing managers' index, (right scale)
0
20
40
60
80
100
120
140
0
20
40
60
80
100
120
140
00 02 04 06 08 10 1230
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 00 02 04 06 08 10 12 14
KIX
The world
USA
Euro area
0
25
50
75
100
125
150
0
25
50
75
100
125
150
90 95 00 05 10
Spain
Portugal
Italy
Finland
United Kingdom
Germany
Sweden
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
Finland
United Kingdom
Germany
Sweden90
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
Excluding repos and reverse repos
Chart 17: Use of foreign wholesale funding
Wholesale funding via Swedish parent companies and subsidiaries
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 1 2 3
SEB
Nordea
SwedbankHandelsbanken
0
500
1000
1500
2000
2500
3000
3500
4000
02 03 04 05 06 07 08 09 10 11 12 13
SEK Foreign currency
Macro-financial setting, households
Chart 18: Seasonally-adjusted house prices
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
0
100
200
300
400
500
600
700
0
100
200
300
400
500
600
700
71 74 77 80 83 86 89 92 95 98 01 04 07 10 13
Debt
Liquid wealth
Real wealth
Total wealth, excluding collective insurance
-15
-10
-5
0
5
10
15
-15
-10
-5
0
5
10
15
81 84 87 90 93 96 99 02 05 08 11
Own net lending
Own total savings
Total 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
Chart 30: Yield on ten-year government bonds, 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
Financial markets, other countries
Chart 31: European stress index
Chart 32: Five-year CDS premiums for banks
Chart 33: Five-year CDS premiums for government bonds
Chart 34: Yields on two-year government bonds
Chart 35: Yield on ten-year government bonds
Chart 36: Indicative breakdown of the risk premium in the euro zone
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
1
2
3
4
5
6
7
8
9
10
0
1
2
3
4
5
6
7
8
9
10
Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13
Italy Spain Ireland Portugal Germany France
Chart 37: Size of central banks’ balance sheet compared to GDP
Banking groups
Income and balance sheet measures
Chart 38: Profit before loan losses and loan losses
Rolling four quarters, SEK billion, fixed prices, March 2013
Chart 39: Credit losses, quarterly, SEK bn
Chart 40: The major banks’ income
Chart 41: Swedish banks’ costs-to-income ratio
Chart 42: Return on equity
Chart 43: CET1 ratio according to Basel III
-4
-2
0
2
4
6
8
10
12
14
16
18
Sweden Denmark Other Nordic countries The Baltic countries Other
Chart 44: CT1 ratio Basel II, international comparison
December 2012, per cent
Chart 45: Adjusted leverage ratio, international comparison
Equity in relation to total assets, with reductions for reverse repos, derivatives and insurance assets. December 2012, per cent
Funding and liquidity measures
Chart 46: Basis spread
Chart 47: Credit curve for Swedish covered bonds (compared to the swap rate)
Chart 48: Swap and covered bond spread
Chart 49: Cost of borrowing in foreign currency and swap to SEK, compared to borrowing domestically
Chart 50: TED spread
0
20
40
60
80
100
120
140
Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13
2 year 5 year
0
20
40
60
80
100
120
140
160
180
200
Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13
Covered bond spread Swap spread
Chart 51: Major Swedish banks’ issue volumes, SEK million
Chart 52: The major banks’ total LCR
LCR according to the Swedish FSA:s regulations FFFS 2012:6. Does not correspond to the Basel Committee's revised LCR from 2013. March 2013.
0
20 000
40 000
60 000
80 000
100 000
120 000
140 000
160 000
H1 H2 H1 H1 H2 H1 H1 H2 H1 H1 H2 H1
2012 2012 2013 2012 2012 2013 2012 2012 2013 2012 2012 2013
Handelsbanken Nordea SEB Swedbank
Covered Bonds Senior Unsecured
Insurance companies Chart 53: Solvency ratio
Chart 54: Traffic light ratio