Financial markets

Selection of interest rates in the US money market per cent Chart 1:1 Source: Reuters EcoWin

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

Selection of interest rates in the euro area money market per cent Chart 1.3 Source: Reuters Ecowin

Selection of interest rates in the Swedish money market per cent Chart 1.3 Source: Reuters Ecowin

10 year government bond yield per cent Chart 1.5 Source: Reuters Ecowin

Total issued on the Swedish corporate bond market SEK Million Chart 1.6 Source: Bloomberg

Credit spreads for corporate bonds in the US and the euro area basis points Chart 1.7 Source: Reuters EcoWin 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 area basis points Chart 1.8 Source: Reuters EcoWin

Global default rate Per cent Chart 1:9 Source: Reuters EcoWin

2- and 5-year mortgage bond spread the difference between mortgage bond yield and government bond yield, basis points Chart 1.10 Source: Reuters Ecowin

Premiums in CDS index basis points Chart 1.11 Source: Reuters Ecowin & Bloomberg

Premiums in CDS for a selection of banks basis points Chart 1.12 Source: Bloomberg

Premia in the CDS-index for emerging markets basis points Chart 1.13 Source: Reuters Ecowin

Stock market development Index, January 2007=100 Chart 1.14 Source: Reuters Ecowin

Implied stock market volatility per cent Chart 1.15 Source: Bloomberg

P/E-ratios Chart 1.16 Source: Reuters Ecowin

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

Current account as percentage of GDP Per cent Chart B2Source: Reuters EcoWin

CDS premiums for Icelandic banks basis points Chart B3Source: Bloomberg

Banking system’s assets as a percentage of GDP Per cent Chart B4 Source: Reuters EcoWin

Development of the icelandic krona against the euro Chart B5 Source: Reuters EcoWin

Swedish actors’ changed propensity to take risk compared to six months ago 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 Figure R.7 Source: The Riksbank’s risk survey. Answer to the question: How has your institution’s buffer of liquid assets changed in relation to six months ago?

Do you consider that the financial crisis has peaked? Figure R.8 Source: 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 Source: The Riksbank Chart 2:1

Households' nominal disposable income and saving ratio Percentage change and per cent Note. Households' saving ratio is defined as households' savings in relation to disposable income. Sources: Statistics Sweden and the Riksbank Chart 2:2

Household borrowing for purchase of housing Percentage change SEK billion Source: The Riksbank Chart 2:3

Households' debt ratio and interest ratio Per cent of disposable income Sources: Statistics Sweden and the Riksbank Chart 2:4

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

Duration of fixed interest periods for new mortgage loans Per cent Source: The Riksbank Chart 2:6

Households below the margin, impaired loans and potential loan losses Per 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

Percentage debt held by indebted households in different income groups Per 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. Sources: Statistics Sweden and the Riksbank Chart 2:8

House prices Index: 1986=100 Source: Statistics Sweden Chart 2:9

Tenant-owned apartment prices SEK per square metre Source: Chart 2:10

Housing investment in relation to GDP, seasonally adjusted Per cent Chart 2:11 Sources: Statistics Sweden, national statistics offices and the Riksbank

Number of housing starts in relation to population Per cent Chart 2:12 Source: Reuters EcoWin 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.

The Swedish Corporate Sector

Profitability in Swedish companies Per cent Sources: Bloomberg and the RiksbankenChart 2:13

The number of company bankruptcies broken down by company size Twelve-month moving average Sources: Statistics Sweden and the Riksbank Chart 2:14

Corporate borrowing from credit institutions Annual percentage change Source: The RiksbankChart 2:15

Corporate borrowing from credit institutions and their securities funding in Sweden and abroad SEK billion Chart 2:16Sources: Statistics Sweden and the Riksbank

Corporate borrowing from credit institutions and gross fixed capital investments Annual percentage change Chart 2:17Sources: Bloomberg and the Riksbanken

Debt/total assets ratio in Swedish listed companies Per cent Chart 2:18Sources: Bloomberg and the Riksbanken

The four major banks’ lending rates on new loans signed by non-financial companies Per cent Chart 2:19Sources: Statistics Sweden and the Riksbank

Interest coverage ratio in Swedish listed companies Ratio Chart 2:20Sources: Bloomberg and the Riksbanken

Current ratio in Swedish listed companies Per cent Chart 2:21Sources: Bloomberg and the Riksbanken

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 RiksbankChart 2:22

Commercial property

Prices of office premises Sweden, UK, Ireland, USA Annual percentage change Chart 2:23 Sources: IPD, Reuters EcoWin, MIT Center for Real Estate, Newsec and the Riksbank

Real prices of office premises in city centres Index: 1981=100 Chart 2:24 Sources: Newsec and the Riksbank

Vacancy rate for office premises in city centres Per cent Chart 2:25 Sources: Newsec and the Riksbank

Real prices and rents for office premises in Stockholm city centre Annual percentage change Chart 2:26 Sources: Newsec and the Riksbank

Required return on office premises in the United Kingdom Per cent Chart 2:27 Sources: IPD and Reuters EcoWin

Average required direct return for modern office premises in city centres Per cent Chart 2:28 Sources: Newsec and Reuters EcoWin

The Swedish banks’ borrowers abroad

Geographical breakdown of the major banks’ lending Chart 2:29Source: The Riksbanken

House prices in the Nordic countries Annual percentage change Chart 2:30Source: Reuters EcoWin and the BIS

Borrowing by companies i Nordic countries index 2006=100 Chart 2.31 Source: Reuters Ecowin

Expected default frequency for listed non-financial companies (EDF) Per cent Chart 2:32Source: Moody’s KMV

House prices in Germany and abroad index 2000=100 Chart 2:33Source: Reuters EcoWin

The Baltic countries

GDP growth Annual percentage change Chart 2:34 Source: Reuters Ecowin

Consumer Confidence Indicator Net figures, per cent Chart 2:35 Sources: European Commission and Reuters Ecowin

Current account Percentage of GDP, totalled over four quarters Chart 2:36 Source: Reuters Ecowin

Number of job vacancies Chart 2:37 Source: Reuters Ecowin

Real wages Quarterly change, seasonally adjusted on an annual rate Chart 2:38 Sources: Reuters Ecowin and Riksbank calculations

Harmonised index for consumer prices Annual percentage change Chart 2:39 Source: Reuters Ecowin

Household borrowing in the Baltic countries Annual percentage change Chart 2:40 Sources: Reuters Ecowin and national central banks

Corporate borrowing in the Baltic countries Annual percentage change Chart 2:41 Sources: Reuters Ecowin and national central banks

Households´ and companies´ debt in relation to GDP Per cent Chart 2:42 Sources: Reuters Ecowin and national central banks

Developments in the banks

Profit before loan losses and loan losses (net) in the major banks Summed up over four quarters, SEK billion, fixed prices, Chart 3:1 Sources: Bank reports and the Riksbank

Income and costs for the major Swedish banks The last four-quarter period compared with the preceding four quarters, SEK billion Chart 3:2 Sources: Bank reports and the Riksbank

The development of income and costs and the gap between their rates of growth Per cent and percentage points, rolling four quarters Chart 3:3 Sources: Bank reports and the Riksbank

Cost efficiency of the major banks Per cent Chart 3:4 Sources: Bank reports and the Riksbank

Development of net comission- and net interest income since 2005 Growth rate, rolling four quarters, per cent Chart 3:5 Sources: Bank reports and the Riksbank

The major banks’ securities-related commission income and OMX turnover and index Index: 2003 Q1=100 Chart 3:6 Sources: Bank reports, Reuters EcoWin and the Riksbank

Spread between covered bonds and swap rate Basis points Chart B9 Source: Bloomberg

Spread between the major banks' Swedish mortgage loans and a three-month swap rate Basis points Chart B10 Sources: Reuters EcoWin and the Riksbank

Bank shares’ implied volatility 10-day moving average, per cent Chart 3:7 Sources: Bloomberg and the Riksbank

Share price development in the Swedish major banks and the European financial sector Index: = 100 Chart 3:8 Sources: OMX and Reuters EcoWin

Market shares in the Baltic countries Per cent, September 2008 Chart 3:9 Sources: Bank reports and the Riksbank

Lending per segment SEK billion, September 2008 Chart 3:10 Sources: Bank reports and the Riksbank

The Major banks’ credit losses per quarter Percentage of lending to the public Chart 3:11 Sources: Bank reports and the Riksbank

Tier 1 capital ratios Per cent Chart 3:12 Sources: Bank reports and the Riksbank Note. Swedbank’s ratio includes a guaranteed rights issue of SEK 12.4 billion.

The banks' source of funding Percentage 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.

Maturity of outstanding bonds Percentage of issued securities Chart 3:14 Sources: Bank reports, Bloomberg and the Riksbank

The banks’ deposits and lending SEK billion Chart 3:15 Sources: Bank reports and the Riksbank

The major bank with the lowest Tier 1 capital ratio after another Swedish major bank defaulted on payments Per cent Chart 3:16 Source: The Riksbank

The size of the exposures in relation to Tier 1 capital Per cent Chart B11 Source: The Riksbank

Counterparty exposures, shares of total exposures Per cent Chart B12 Source: The Riksbank

SEB and Swedbank’s credit risk cover, year 3, according to the scenario on a deterioration in creditworthiness in the Baltic countries Per cent Chart 3:17 Source: The Riksbank

Credit risk cover, year 3, according to the scenario on an economic downturn Per cent Chart 3:18 Source: The Riksbank

Combined stress test Base casea) Swedenb) Baltic countriesc) Rest of the world* Lending, SEK billion % of exposure assumed to default Probability of default, PD 0.6 % property companies 0.4 % other companies & households 2.6 % property companies 2 % other companies & households 0.5 % all borrowers Loss Given Default20 %60 %40 % Reserve requirement, SEK billion Expected Loss, EL Reserve requirement as percentage of lending 0.08 %1.26 %0.20 % * Primarily other Nordic countries Stress scenarioa) Swedenb) Baltic countriesc) Rest of the world* Lending, SEK billion % of exposure assumed to default Probability of default, PD 6 % property companies 3 % other companies & households 20 % property companies 10 % other companies & households 6 % property companies 3 % other companies & households Loss Given Default20 %60 %40 % Reserve requirement, SEK billion Expected Loss, EL Reserve requirement as percentage of lending 0.7 %12 % property companies 6 % other companies & households 1.1 % * Primarily other Nordic countries

Combined stress test – results Base casea) Swedenb) Baltic countriesc) Rest of the world*  Swedena) 22 b) Baltic countriesa)+b) 44 b) 22 C) Rest of the worlda)+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 profits Per cent Chart 3:19 Sources: Bank reports and the Riksbank

EXTRA

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: M k =Disposable income k –(base amount)*(household size k ) –(interest expenditures k ) –(other housing expenditures of the income decile) In 2006 the base amount was 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