financial markets

Financial markets

Selection of interest rates in the

US money marketper cent

Chart 1:1 Source: Reuters EcoWin

0

1

2

3

4

5

6

7

8

2005 2006 2007 2008 2009

Policy rate O/N-rate 3 month interbank rate 3 month treasury bill

Difference between interbank rate and expected policy rate

Basis points

Note. In Sweden the spread is represented by the difference between 3 month Stibor and overnight index swap (STINA) rate

Chart 1.2 Source: Bloomberg

0

50

100

150

200

250

300

350

400

Jan-07 Jul-07 Jan-08 Jul-08 Jan-09

Sweden Euro area USA UK


euro area money marketper cent

Chart 1.3 Source: Reuters Ecowin

0,0

1,0

2,0

3,0

4,0

5,0

6,0

2005 2006 2007 2008 2009

Policy rate O/N-rate 3 month interbank rate 3 month treasury bill rate


Swedish money marketper cent


0

1

2

3

4

5

6

7

2005 2006 2007 2008 2009

0

1

2

3

4

5

6

7

Policy rate T/N-rate 3 month interbank rate 3 month treasury bill rate

10 year government bond yield

per cent


2

3

4

5

6

7

00 01 02 03 04 05 06 07 08 09

Sweden Euro area USA

Total issued on the Swedish corporate bond market

SEK Million


0

10000

20000

30000

40000

50000

60000

70000

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008

Quarter 1 Quarter 2 Quarter 3 Quarter 4

Credit spreads for corporate bonds in the US and the euro

areabasis points

Chart 1.7 Source: Reuters EcoWin

0

100

200

300

400

500

600

Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09

AAA - Euro area BBB - Euro area Aaa - USA Baa - USA

Note. The spread between yield on corporate bond and the yield on corresponding goverenment bond

Credit spread for high-yield corporate bonds in the US and

the euro areabasis points

Chart 1.8 Source: Reuters EcoWin

0

400

800

1200

1600

2000

2400

Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09

USA Euro area

Global default ratePer cent


0

2

4

6

8

10

12

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009

2- and 5-year mortgage bond spread

the difference between mortgage bond yield and government bond yield, basis points


0

40

80

120

160

200


2 year mortgage bond spread 5 year mortgage bond spread

Premiums in CDS indexbasis points

Chart 1.11 Source: Reuters Ecowin & Bloomberg

0

40

80

120

160

200

240

Jan-06 May-06 Sep-06 Jan-07 May-07 Sep-07 Jan-08 May-08 Sep-08 Jan-09

North America - CDX Europe - iTraxx

Premiums in CDS for a selection of banks basis points


0

200

400

600

800

1000

1200

1400


Deutsche Bank SEB Merrill Lynch

Citibank Morgan Stanley UBS

Premia in the CDS-index for emerging markets

basis points


0

200

400

600

800

1000

1200


Stock market development

Index, January 2007=100


50

60

70

80

90

100

110

120


Sweden - OMXS30 Europe - STOXX US - S&P 500

Implied stock market volatility

per cent


0

10

20

30

40

50

60

70

00 01 02 03 04 05 06 07 08 09

Sweden - OMX Europe - STOXXUS - S&P 500 Historical average, OMX

P/E-ratios


0

10

20

30

40

94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09Sweden - OMXS30Europe - STOXXUS - S&P 500Historical average, Stoxx, OMXS30 and S&P 500

Difference between mortgage bond yield and government

bond yield basis points

Chart B.1 Source: Reuters Ecowin

Represents the difference between mortgage bonds with maturity in June 2011 and government bond with maturity March 2011

40

60

80

100

120

140

160

180

200

220

Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08

Swedbank SEB Handelsbanken Nordea

Current account as percentage of GDPPer cent

-30

-25

-20

-15

-10

-5

0

5

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008H1

Chart B2 Source: Reuters EcoWin

CDS premiums for Icelandic banks

basis points

0

500

1000

1500

2000

2500

3000

3500

jul

aug

sep

okt

nov

dec

Kaupthing Glitnir Landsbanki Icelandic government Reference bank

2008

Chart B3 Source: Bloomberg

Banking system’s assets as a percentage of GDP

Per cent

0

200

400

600

800

1000

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008H1

Domestic assets Foreign assets


Development of the icelandic krona against the euro

60

80

100

120

140

160

180

200

jan-03 jan-04 jan-05 jan-06 jan-07 jan-08 jan-09


Swedish actors’ changed propensity to take risk

compared to six months ago

4%

21%

32%

40%

3%

Increased sharply

Increased somewhat

Neither increased or decreased

Decreased somewhat

Decreased sharply

Have no idea

Figure R.6 Source: The Riksbank’s risk survey. Answer to the question: How has your propensity to take risk changed compared to six months ago?

Swedish actors’ buffers of liquid assets have increased somewhat

16%

20%

30%

18%

5%

11%

Increased sharply

Increased somewhat

Neither increased or decreased

Decreased somewhat

Decreased sharply

Have no idea

Figure R.7Source: The Riksbank’s risk survey. Answer to the question: How has your institution’s buffer of liquid assets changedin relation to six months ago?

Do you consider that the financial crisis has peaked?

34%

50%

16%

Yes

No

Have no idea

Figure R.8Source: The Riksbank’s risk survey. Answer to the question: ”Do you consider that the financial crisis has peaked?

The Swedish Household Sector and

House Prices

The banks' lending broken down into Swedish and foreign households and

companies, Per cent

Note. Refers to total loan stock in September 2008.

Source: The RiksbankChart 2:1

Swedish households 22%

Swedish companies 22%

Foreign households 19%

Foreign companies 37%

Households' nominal disposable income and

saving ratioPercentage change and per cent

Note. Households' saving ratio is defined as households' savings in relation to disposable income.

Sources: Statistics Sweden and the RiksbankChart 2:2

0

2

4

6

8

10

12

94 96 98 00 02 04 06 08 10

0

2

4

6

8

10

12

Disposable income Saving ratio

Household borrowing for purchase of housing

Percentage change SEK billion

Source: The RiksbankChart 2:3

0

4

8

12

16

20

05 06 07 08

0

8

16

24

32

40

New loans, volume (right scale) Annual percentage change (left scale)

Households' debt ratio and interest ratio

Per cent of disposable income

Sources: Statistics Sweden and the Riksbank

Chart 2:4

0

40

80

120

160

200

83 87 91 95 99 03 07 11

0

4

8

12

16

20

Debt ratio (left scale) Interest ratio (right scale)

Mortgage rate, interbank rate and repo rate

Per cent

Note. Refers to an average of the three month mortgage rate from Handelsbanken, Nordea, SBAB and SEB, the three month interbank rate and the monthly average of the three month mortgage rates for new lending by the mortgage institutions.

Chart 2:5 Sources: Reuters EcoWin, Statistics Sweden and the Riksbank

0

1

2

3

4

5

6

7

02 03 04 05 06 07 08 09

Average mortgage rate Repo rate

Interbank rate Mortgage institutions' new loans rate

Duration of fixed interest periods for new mortgage

loansPer cent

Source: The Riksbank

Chart 2:6

0%

20%

40%

60%

80%

100%

97 98 99 00 01 02 03 04 05 06 07 08

Variable rate Fixed rate > 3 months Fixed rate > 5 years

Households below the margin, impaired loans and potential

loan lossesPer cent

Note. Potential loan losses can not be calculated since the data does not contain values of households' total wealth.

Chart 2:7 Sources: Statistics Sweden and the Riksbank

0

2

4

6

8

2004 2005 2006 2007(preliminaryoutcome)

2008 (forecast)

2009 (forecast)

Households below the margin Impaired loans Potential loan losses

Percentage debt held by indebted households in different income

groupsPer cent

Note. Income group 1 consists of the indebted households with the lowest disposable income and income group 5 consists of the indebted households with the highest disposable income.


Chart 2:8

0

10

20

30

40

50

60

Income group 1 Income group 2 Income group 3 Income group 4 Income group 5

House prices Index: 1986=100

Source: Statistics Sweden

Chart 2:9

0

100

200

300

400

500

600

700

86 88 90 92 94 96 98 00 02 04 06 08

0

100

200

300

400

500

600

700

Sweden Stockholm region Göteborg region Malmö region

Tenant-owned apartment prices

SEK per square metre

Source: www.maklarstatistik.se

Chart 2:10

0

10 000

20 000

30 000

40 000

02 03 04 05 06 07 08 09

Sweden Sweden exclusive metropolitan areasStockholm region Göteborg regionMalmö region

Housing investment in relation to GDP, seasonally

adjustedPer cent

Chart 2:11 Sources: Statistics Sweden, national statistics offices and the Riksbank

0

4

8

12

97 99 01 03 05 07 09

Sweden Norway Denmark United Kingdom Spain USA

Number of housing starts in relation to population

Per cent


Note. The number of housing starts in Sweden during 2006 and 2007 is overestimated , as a result of the "Odell foundation slabs" (Odellplattorna); the actual number of housing starts was much lower, according to the National Board of Housing, Building and Planning.

0,0

0,5

1,0

1,5

2,0

81 84 87 90 93 96 99 02 05 08

Sweden Norway Denmark United Kingdom Spain USA

The Swedish Corporate

Sector

Profitability in Swedish companies

Per cent

Sources: Bloomberg and the Riksbanken

0

2

4

6

8

10

12

dec-99 dec-00 dec-01 dec-02 dec-03 dec-04 dec-05 dec-06 dec-07 dec-08

Chart 2:13

The number of company bankruptcies broken down by company size

Twelve-month moving average


Chart 2:14

0

100

200

300

400

500

600

700

800

jan-

83

jan-

85

jan-

87

jan-

89

jan-

91

jan-

93

jan-

95

jan-

97

jan-

99

jan-

01

jan-

03

jan-

05

jan-

07

jan-

09

All companies 1-9 employees 10-49 employees

Corporate borrowing from credit institutions

Annual percentage change


-5

0

5

10

15

20

25

97 98 99 00 01 02 03 04 05 06 07 08 09

Chart 2:15

Corporate borrowing from credit institutions and their securities funding in Sweden and

abroadSEK billion

Chart 2:16

0

500

1000

1500

2000

2500

3000

Mar

-98

sep

-98

mar

-99

sep

-99

mar

-00

sep

-00

mar

-01

sep

-01

mar

-02

sep

-02

mar

-03

sep

-03

mar

-04

sep

-04

mar

-05

sep

-05

mar

-06

sep

-06

mar

-07

sep

-07

mar

-08

sep

-08

Swedish credit institutions Interest bearing securities in Sweden

Foreign credit institutions Interest bearing securities abroad


Corporate borrowing from credit institutions and gross fixed capital

investmentsAnnual percentage change

Chart 2:17

-10

-5

0

5

10

15

20

25

ma

r-9

8

ma

r-9

9

ma

r-0

0

ma

r-0

1

ma

r-0

2

ma

r-0

3

ma

r-0

4

ma

r-0

5

ma

r-0

6

ma

r-0

7

ma

r-0

8

ma

r-0

9

ma

r-1

0

ma

r-1

1

Corporate borrowing from credit institutions Gross fixed capital investments

Forecast

Sources: Bloomberg and the Riksbanken

Debt/total assets ratio in Swedish listed companies

Per cent

50

52

54

56

58

60

62

64

66

68

70

dec-98 dec-99 dec-00 dec-01 dec-02 dec-03 dec-04 dec-05 dec-06 dec-07 dec-08

Chart 2:18 Sources: Bloomberg and the Riksbanken

The four major banks’ lending rates on new loans signed by non-financial companies

Per cent

0

1

2

3

4

5

6

sep-

05

dec-

05

mar

-06

jun-

06

sep-

06

dec-

06

mar

-07

jun-

07

sep-

07

dec-

07

mar

-08

jun-

08

sep-

08

Chart 2:19 Sources: Statistics Sweden and the Riksbank

Interest coverage ratio in Swedish listed companies

Ratio

0

1

2

3

4

5

6

7

jun-00 jun-01 jun-02 jun-03 jun-04 jun-05 jun-06 jun-07 jun-08


Current ratio in Swedish listed companies

Per cent

130

140

150

160

170

180

190

200

dec-

98

dec-

99

dec-

00

dec-

01

dec-

02

dec-

03

dec-

04

dec-

05

dec-

06

dec-

07

dec-

08


Corporate credit quality measured by expected default frequency (EDF), historical

outcomes and forecasts according to the Riksbank’s main scenario

Per cent

Sources: Moody’s KMV och the Riksbank

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

Chart 2:22

Commercial property

Prices of office premisesSweden, UK, Ireland, USAAnnual percentage change

Chart 2:23 Sources: IPD, Reuters EcoWin, MIT Center for Real Estate, Newsec and the Riksbank

-50

-40

-30

-20

-10

0

10

20

30

40

83 85 87 89 91 93 95 97 99 01 03 05 07 09

Sweden UK Ireland USA

Real prices of office premises in city centres

Index: 1981=100

Chart 2:24 Sources: Newsec and the Riksbank

0

100

200

300

400

500

82 85 88 91 94 97 00 03 06 09

Stockholm Göteborg Malmö

Vacancy rate for office premises in city centres

Per cent


0

5

10

15

20

25

91 93 95 97 99 01 03 05 07 09

Stockholm Göteborg Malmö

Real prices and rents for office premises in Stockholm city

centreAnnual percentage change


-40

-20

0

20

40

83 86 89 92 95 98 01 04 07

Prices Rents

Required return on office premises in the United Kingdom

Per cent

Chart 2:27 Sources: IPD and Reuters EcoWin

4

5

6

7

8

9

10

11

90 92 94 96 98 00 02 04 06 08

Average required direct return for modern office premises in

city centresPer cent

Chart 2:28 Sources: Newsec and Reuters EcoWin

0

2

4

6

8

10

12

14

82 84 86 88 90 92 94 96 98 00 02 04 06 08

Stockholm Göteborg Malmö Five-year government bond

The Swedish banks’

borrowers abroad

Geographical breakdown of the major banks’ lending

Rest of the world 16%

Germany 6%

Other Nordic countries 27%

Sweden 47%

The Baltic countries 4%

Chart 2:29 Source: The Riksbanken

House prices in the Nordic countries


-10

-5

0

5

10

15

20

25

30


Sweden Norway Denmark Finland

Chart 2:30 Source: Reuters EcoWin and the BIS

Borrowing by companies i Nordic countries

index 2006=100

80

90

100

110

120

130

140

150

jan-06 apr-06 jul-06 okt-06 jan-07 apr-07 jul-07 okt-07 jan-08 apr-08 jul-08 okt-08

Finland Denmark Norway


Expected default frequency for listed non-financial companies

(EDF)Per cent

0,01

0,1

1

10

sep-03 sep-04 sep-05 sep-06 sep-07 sep-08Sweden Norway DenmarkFinland Germany

Chart 2:32 Source: Moody’s KMV

House prices in Germany and abroad

index 2000=100

80

100

120

140

160

180

200

220

240

mar-00 mar-01 mar-02 mar-03 mar-04 mar-05 mar-06 mar-07 mar-08

Sweden Germany USA UK


The Baltic countries

GDP growthAnnual percentage change

-6

-4

-2

0

2

4

6

8

10

12

14


Estonia Latvia Lithuania

Chart 2:34 Source: Reuters Ecowin

Consumer Confidence IndicatorNet figures, per cent

-40

-30

-20

-10

0

10

20

jan-

05

jan-

06

jan-

07

jan-

08

jan-

09


Chart 2:35 Sources: European Commission and Reuters Ecowin

Current accountPercentage of GDP, totalled over four

quarters

-30

-25

-20

-15

-10

-5

0

dec-00 dec-01 dec-02 dec-03 dec-04 dec-05 dec-06 dec-07 dec-08



Number of job vacancies

0

5000

10000

15000

20000

25000

30000m

ar-0

5

jun-

05

sep-

05

dec-

05

mar

-06

jun-

06

sep-

06

dec-

06

mar

-07

jun-

07

sep-

07

dec-

07

mar

-08

jun-

08



Real wagesQuarterly change, seasonally adjusted on an

annual rate

-10

-5

0

5

10

15

20

25

30

35

dec-

99

dec-

00

dec-

01

dec-

02

dec-

03

dec-

04

dec-

05

dec-

06

dec-

07

dec-

08


Chart 2:38 Sources: Reuters Ecowin and Riksbank calculations

Harmonised index for consumer prices


-3

0

3

6

9

12

15

18

00 01 02 03 04 05 06 07 08 09



Household borrowing in the Baltic countries


-20

0

20

40

60

80

100

120

140

jan-01 jan-02 jan-03 jan-04 jan-05 jan-06 jan-07 jan-08


Chart 2:40 Sources: Reuters Ecowin and national central banks

Corporate borrowing in the Baltic countries


-10

0

10

20

30

40

50

60

01 02 03 04 05 06 07 08-10

0

10

20

30

40

50

60



Households´ and companies´ debt in relation to GDP

Per cent

0

20

40

60

80

100

120

140

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

Estonia Latvia Lithuania Sweden


Developments in the banks

Profit before loan losses and loan losses (net) in the major

banksSummed up over four quarters, SEK billion, fixed prices,

2008-09-30

Chart 3:1 Sources: Bank reports and the Riksbank

-20

0

20

40

60

80

100

Dec-90 Dec-92 Dec-94 Dec-96 Dec-98 Dec-00 Dec-02 Dec-04 Dec-06 Dec-08

Profit before loan losses Loan losses

Income and costs for the major Swedish banks

The last four-quarter period compared with the preceding four quarters, SEK billion


-75

-50

-25

0

25

50

75

100

125

2006Q4 - 2007Q3 87,0 52,2 21,3 10,3 -53,6 -34,8

2007Q4 - 2008Q3 102,0 48,5 13,5 9,8 -57,2 -37,8

Net interest income

Net comission income

Net results of financial

operationsOther income

Personnel-related costs

Other costs

The development of income and costs and the gap between their

rates of growthPer cent and percentage points, rolling four

quarters


-8

-4

0

4

8

12

16

06:1 06:2 06:3 06:4 07:1 07:2 07:3 07:4 08:1 08:2 08:3

Gap (percentage points) Income Costs

Cost efficiency of the major banksPer cent


40

50

60

70

95 96 97 98 99 00 01 02 03 04 05 06 07 08

C/I ratio C/I ratio according to IFRS

Development of net comission- and net interest

income since 2005Growth rate, rolling four quarters, per cent


0

2

4

6

8

10

12

14

16

18

20

kv1 kv2 kv3 kv4 kv1 kv2 kv3 kv4 kv1 kv2 kv3 kv4 kv1

2005 2006 2007 2008

Net interest income Net commission income

The major banks’ securities-related commission income and OMX turnover

and indexIndex: 2003 Q1=100

Chart 3:6 Sources: Bank reports, Reuters EcoWin and the Riksbank

0

50

100

150

200

250

300

350

kv1 kv2 kv3 kv4 kv1 kv2 kv3 kv4 kv1 kv2 kv3 kv4 kv1 kv2 kv3 kv4 kv1 kv2 kv3 kv4 kv1

03 04 05 06 07 08

Asset management-related incomeOMX indexBrokerage incomeOMX turnover

Spread between covered bonds and swap rate

Basis points

Chart B9 Source: Bloomberg

-80

-40

0

40

80

120

Jan-06

Apr-06

Jul-06

Oct-06

Jan-07

Apr-07

Jul-07

Oct-07

Jan-08

Apr-08

Jul-08

Oct-08

Jan-09

Spread between 2-year covered bond and 2-year swap rate

Spread between 5-year covered bond and 5-year swap rate

Spread between the major banks' Swedish mortgage loans and a

three-month swap rateBasis points

Chart B10 Sources: Reuters EcoWin and the Riksbank

0

20

40

60

80

100

120

140

Se

p-0

2

Ma

r-0

3

Se

p-0

3

Ma

r-0

4

Se

p-0

4

Ma

r-0

5

Se

p-0

5

Ma

r-0

6

Se

p-0

6

Ma

r-0

7

Se

p-0

7

Ma

r-0

8

Se

p-0

8

Bank shares’ implied volatility

10-day moving average, per cent

Chart 3:7 Sources: Bloomberg and the Riksbank

0

20

40

60

80

100

120

99 00 01 02 03 04 05 06 07 08 09

SEB Handelsbanken Nordea Swedbank

Share price development in the Swedish major banks and the

European financial sectorIndex: 2007-07-01 = 100

Chart 3:8 Sources: OMX and Reuters EcoWin

20

30

40

50

60

70

80

90

100

110

Jul-0

7

Aug-0

7

Sep-0

7

Oct-07

Nov-0

7

Dec-0

7

Jan-

08

Feb-0

8

Mar

-08

Apr-0

8

May

-08

Jun-

08

Jul-0

8

Aug-0

8

Sep-0

8

Oct-08

Nov-0

8

Dec-0

8

SEB Handelsbanken Nordea Swedbank Europa

Market shares in the Baltic countries

Per cent, September 2008


0%

20%

40%

60%

80%

100%


Swedbank SEB Nordea Övriga

Lending per segmentSEK billion, September 2008


0

500

1 000

1 500

2 000

2 500

3 000

Nordea SEB Handelsbanken SwedbankHousehold mortgages Household consumption

Property management companies Other companies

The Major banks’ credit losses per quarter

Percentage of lending to the public


-0,6

-0,4

-0,2

0,0

0,2

0,4

0,6

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

2000 2001 2002 2003 2004 2005 2006 2007 2008

-0,3

-0,2

-0,1

0,0

0,1

0,2

0,3

Actual and probable loan losses Recoveries and reversals

Totala loan losses, net (right scale)

Tier 1 capital ratiosPer cent


Note. Swedbank’s ratio includes a guaranteed rights issue of SEK 12.4 billion.

4

6

8

10

12

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

Dec-0

6

Dec-0

7

Dec-0

8


The banks' source of fundingPercentage of total funding

Chart 3:13 Source: Bank reports and the Riksbank

Note: The item “Liquidity supplied by the Riksbank and the SNDO” includes the four major banks’ share of the sums loaned in the Riksbank’s SEK and USD auctions, the SNDO’s reverse repos in connection with its extra auctions of treasury bills and the securities that the banks have issued with State guarantees. It is assumed that the supply of liquidity will replace part of the banks’ funding. Issued securities have therefore been reduced by the corresponding sums in the chart.

Debt securities issued40%Deposits from

general public48%

Borrowing, interbank

7%

Liquidity supplied by the Riksbank and the SNDO

5%

Maturity of outstanding bondsPercentage of issued securities

Chart 3:14 Sources: Bank reports, Bloomberg and the Riksbank

0

2

4

6

8

10

12

14

16

18


2009 2010 2011

The banks’ deposits and lendingSEK billion


0

1 000

2 000

3 000

4 000

5 000

6 000

7 000

01:1 02:1 03:1 04:1 05:1 06:1 07:1 08:1

Lending Deposits Deposit deficit

The major bank with the lowest Tier 1 capital ratio after another Swedish major

bank defaulted on paymentsPer cent

Chart 3:16 Source: The Riksbank

2

3

4

5

6

99 00 01 02 03 04 05 06 07

The size of the exposures in relation to Tier 1 capital

Per cent

Chart B11

0

5

10

15

20

25

30

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15


Counterparty exposures, shares of total exposures

Per cent

Chart B12 Source: The Riksbank

0%

20%

40%

60%

80%

100%

2000 2001 2002 2003 2004 2005 2006 2007 2008H1

Other lending without collateral Securities, gross Derivatives, gross

SEB and Swedbank’s credit risk cover, year 3, according to the scenario on a deterioration in creditworthiness in

the Baltic countriesPer cent

Chart 3:17

0

50

100

150

200

250

SEB Swedbank

2007 Q2 2007 Q4 2008 Q2


Credit risk cover, year 3, according to the scenario on an economic downturnPer cent

Chart 3:18

0

50

100

150

200

250

SEB Swedbank Nordea Handelsbanken

2007Q2 2007Q4 2008Q2


Combined stress testBase case a) Sweden b) Baltic countries c) Rest of the world*

Lending, SEK billion 3 095 318 3 031

% of exposure assumed to default Probability of default, PD

0.6 % property companies0.4 % other companies & households

2.6 % property companies2 % other companies & households

0.5 % all borrowers

Loss Given Default 20 % 60 % 40 %

Reserve requirement, SEK billion Expected Loss, EL

2.5 4 6

Reserve requirement as percentage of lending

0.08 % 1.26 % 0.20 %

* Primarily other Nordic countries

Stress scenario a) Sweden b) Baltic countries c) Rest of the world*

Lending, SEK billion 3 095 318 3 031

% of exposure assumed to default Probability of default, PD

6 % property companies3 % other companies & households



Loss Given Default 20 % 60 % 40 %

Reserve requirement, SEK billion Expected Loss, EL

22 22 33

Reserve requirement as percentage of lending

0.7 % 12 % property companies6 % other companies & households

1.1 %

* Primarily other Nordic countries

Combined stress test – results

Base case a) Sweden b) Baltic countries c) Rest of the world*

a) Sweden a) 22

b) Baltic countries a)+b)44

b)22

C) Rest of the world a)+c)55

b)+c)55

c)33

Combined scenario, a)+b)+c)77* Primarily other Nordic countries

Increased financing costs in a 3-month liquidity crisis as a percentage of Q2

profitsPer cent


0

5

10

15

20

25

30

Handelsbanken SEB Nordea Swedbank

Some useful metrics Household margins

The amount of income left for a household after

minimum expenditures needed for food and clothing,

interest rates and non-interest related housing

expenditures have been paid.

Margin for household k: Mk =Disposable incomek –(base

amount)*(household sizek ) –(interest expendituresk) –

(other housing expenditures of the income decile)

In 2006 the base amount was 39 700 SEK.

Some useful metrics, cont

Exposure at default (EAD): The share of total debt held by

vulnerable households Loss given default (LGD):

The share of total debt, held by vulnerable debts, that is not covered by assets

4. SEB and Swedbank’s credit risk cover according to the scenario on a deterioration in creditworthiness in the Baltic countries, Q2 2008, Per cent

0

50

100

150

200

250

300

jan/00 jan/00

SEB Swedbank

year3year2year1year0 year3year2year1year0

Sources: Bank reports and the Riksbank

5. Credit risk cover according to the scenario on an economic downturn, Q2 2008 Per cent

Sources: Bank reports and the Riksbank

0

50

100

150

200

250

300

jan/00 jan/00 jan/00 jan/00

SEB SwedbankNordeaHandelsbanken

year0 year1 year2 year3 year0 year1 year2 year3 year0 year1 year2 year3year0 year1 year2 year3

financial markets

Documents

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