Financial stability report 2006:2 5 December 2006

CHAPTER 1 Financial markets

House prices in the Unites States Percentage quarterly change, seasonally-adjusted data Figure 1:1 Source: Reuters EcoWin

Ten-year government bond rates Per cent Figure 1:2 Source: Reuters EcoWin

Stock markets Index, =100 Figure 1:3 Source: Reuters EcoWin

P/E ratios Figure 1:4 Source: Reuters EcoWin

Implied stock-market volatility Per cent Figure 1:5 Source: Bloomberg

Global level of bankruptcies Percentage of all companies Figure 1:6 Source: Reuters EcoWin

Corporate bond spreads in the United States Percentage points Figure 1:7 Source: Reuters EcoWin

Corporate bond spreads in Europe Percentage points Figure 1:8 Source: Reuters EcoWin

Credit default swap spreads Basis points Figure 1:9 Source: Bloomberg

Credit spreads for bonds issued by emerging-market economies Percentage points Figure 1:10 Source: Bloomberg

Oil price and commodity price index USD per barrel and index: January 2002=100 Figure 1:11 Source: Reuters EcoWin

KAPITEL 2 The Swedish banks´ borrowers

Household borrowing Percentage 12-month change Figure 2:1 Source: The Riksbank

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

Household debt and post-tax interest expenditure in relation to disposable income Per cent Figure 2:3 Sources: Statistics Sweden and the Riksbank

House prices Index 1986 = 100 Figure 2:4 Source: Statistics Sweden

Nominal house prices and household debt Index 1986 = 100 Figure 2:5 Sources: Statistics Sweden and the Riksbank

House prices and mortgage debt Percentage annual change Figure 2:6 Sources: Statistics Sweden and the Riksbank

House prices in Australia and the United Kingdom Percentage annual change Figure 2:7 Sources: ABS and Nationwide

Household debt in the Baltic states Percentage annual change Figure 2:8 Sources: National central banks

Household debt in Sweden and the Baltic states Procent Figure 2:9 Sources: National central banks

Non-financial companies' borrowing and bank deposits Percentage twelve-month change, three-month moving average Figure 2:10 Source: The Riksbank

Non-financial companies´ borrowing from securities markets and credit market institutions SEK billion Figure 2:11 Source: The Riksbank

Corporate sector gross fixed capital formation and borrowing by non-financial companies from credit market institutions Percentage twelve-month change, four-month moving average Figure 2:12 Sources: Statistics Sweden and the Riksbank

Ratio of debt to total assets in listed companies Per cent of all listed companies Figure 2:13 Sources: Bloomberg and the Riksbank

Interest-expenditure and debt ratios in small and large companies Figure 2:14 Sources: UC AB and the Riksbank

Breakdown of returns on equity in listed companies Per cent of all listed companies Figure 2:15 Sources: Bloomberg and the Riksbank

Number of corporate defaults by company size Twelve-month moving average Figure 2:16 Source: Statistics Sweden

Expected default frequency (EDF) by industry for listed non-financial companies Per cent Figure 2:17 Source: Moody’s KMV

Expected default frequency (EDF) for listed non-financial companies Per cent Figure 2:18 Source: Moody’s KMV

Listed companies with a default probability of 1 per cent or more Per cent Figure 2:19 Sources: Moody´s KMV and the Riksbank

Loan stocks relative to GDP in the Baltic states and Sweden Per cent Figure 2:20 Sources: National central banks

Debt ratio and interest expenditure cover for listed property companies Kvot Figure 2:21 Sources: Annual reports and the Riksbank

Expected default frequency (EDF) for listed property companies Procent Figure 2:22 Source: Moody´s KMV

Real prices for office premises in central locations Index 1981 = 100 Figure 2:23 Sources: Newsec AB and the Riksbank

Vacancy rates for office premises in central locations Per cent Figure 2:24 Sources: Newsec AB and the Riksbank

Average direct return required for office premises in central locations Per cent Figure 2:25 Sources: Newsec AB and EcoWin

Chapter 3 Developments in the banks

Implied volatility of bank equity Per cent, moving 10-day average Figure 3:1 Sources: Bloomberg and the Riksbank

Composition of pre-tax return on equity Per cent Figure 3:2 Sources: Banks reports and the Riksbank

Profit before loan losses and net loan losses in the major banks Four-quarter figures, SEK billion, 2006 prices Figure 3:3 Sources: Banks reports and the Riksbank

The major Swedish banks’ profits Four-quarter figures, SEK billion Figure 3:4 Sources: Banks reports and the Riksbank

Cost/income ratio for the major Swedish banks Per cent Figure 3:5 Sources: Banks reports and the Riksbank

Post-tax return on equity Per cent Figure 3:6 Sources: Banks 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 Figure B1 Sources: Banks reports and the Riksbank

The major banks’ securities-related commission income and Stockholm Stock Exchange turnover SEK million and index: 1997=100 Figure R2 Sources: Banks reports, Reuters EcoWin and the Riksbank

Lending by credit institutions to households in Sweden Percentage 12-month change Figure 3:7 Source: The Riksbank

Lending to the general public in Sweden and abroad Index: 2005 Q3 = 100 Sources: Banks reports and the Riksbank Figure 3:8

Provisions for incurred and probable loan losses Per cent of loan stock, accumulated over four quarters Figure 3:9 Sources: Banks reports and the Riksbank

Loan losses, net Per cent of loan stock Figure 3:10 Sources: Banks reports and the Riksbank

Tier 1 capital ratios of the four major Swedish banks Per cent Figure 3:11 Sources: Banks reports and the Riksbank

Average Tier 1 capital ratios of the major Swedish and other Nordic banks Per cent Figure 3:12 Sources: Banks reports and the Riksbank

The major Swedish banks’ deposits, lending and deposit deficit SEK billion Figure 3:13 Sources: Banks reports and the Riksbank

Currency breakdown of securities-related borrowing by the major bank groups’ Swedish banks and mortgage institutions Procent Figure 3:14 Sources: Banks reports and the Riksbank

The lowest Tier 1 capital ratio among the other three major Swedish banks if the fourth has suspended payments Procent Figure 3:15 Sources: Banks reports and the Riksbank

The lowest Tier 1 capital ratio among the four major Swedish banks after the default of each bank’s largest counterparty Procent Figure 3:16 Source: The Riksbank

Bank profits with the scenario for the Baltic states Expected profit less the change in expected losses, SEK million Figure 3:17 Sources: Banks reports and the Riksbank

Cover for credit risk with the scenario for the Baltic states Per cent Figure 3:18 Sources: Banks reports and the Riksbank

Bank profits in the scenario with a turn in the credit cycle Expected profit less the change in expected losses, SEK million Figure 3:19 Sources: Banks reports and the Riksbank

Cover for credit risk in the scenario with a turn in the credit cycle Per cent Figure 3:20 Sources: Banks reports and the Riksbank

ARTICLE Trading activity in credit derivatives and implications for financial stability

Global outstanding volume of credit derivative market Total volume of sold contracts, USD billion Figure 1 Source: Fitch Ratings

Underlying reference assets in credit derivative contracts 2005 Per cent Figure 2 Source: Fitch Ratings

Premia in CDS indices Hundredths of a percentage point Figure 3 Source: Bloomberg

Credit spreads for high-yield corporate bond issues in Europe and the United States Percentage points Figure 4 Sources: Reuters EcoWin and Bloomberg