Presentation of Q3 2012 Results from the Press Conference

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Swedbank's Third Quarter 2012 Results Presentation

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Presentation of Q3 2012 Results from the Press Conference

  1. 1. Swedbank’s third quarter 2012 resultsMichael Wolf, CEOGöran Bronner, CFOHåkan Berg, CRO
  2. 2. Reduced tail risk but weaker economic outlook• Low growth/low interest rate environment will remain• Sweden benefits from strong financials• Regulation drives: – Asset repricing – Increased savings competition – Debt capital markets 2
  3. 3. Excellent financial strength – enables investments• Strong cost management• RWA efficiency helps to improve competitive position• Improved relative funding spreads – more work do be done ROE 13.7% CT1-ratio LCR 144% C/I 0.47 17.3%* NSFR 94% Increased investments in advisory and digital channels * Basel 2 3
  4. 4. Solid capitalisation level• CT1-ratio 17.3 percent (Basel 2)• Confirmed low risk level - ICAAP• Low lending growth expected in foreseeable future 4
  5. 5. RetailStable developmentSEKm Q1 Q2 Q3 Q/Q • Deposit margins pressureNet interest income 3 407 3 404 3 447 +43Net commissions 1 261 1 248 1 269 + 21 • Repricing lendingTotal income 5 123 5 138 5 209 +71Total expenses 2 342 2 345 2 357 +12 • Solid asset qualityProfit before 2 781 2 793 2 852 +59impairmentsCredit impairments 24 100 69 -31ROE, % 26.5 24.6 24.4C/I ratio 0.46 0.46 0.45 5
  6. 6. Large Corporates & InstitutionsImproved profitability trendSEKm Q1 Q2 Q3 Q/Q • Continued growth in LargeNet interest income 887 825 852 +27 - of which LC/FI* 652 666 689 +23 Corporates NIINet commissions 434 346 379 +33Net gains and • Lending growth 648 316 341 +25lossesTotal income 1 980 1 499 1 581 +82 • High debt capital marketExpenses excl.variable staff costs 607 602 638 +36 activityVariable staff costs 106 118 66 -52Profit before 1 267 779 877 +98 • Investment banking slowImpairmentsCredit impairments 14 54 -35 -89ROE, % 19.1 9.8 14.2C/I 0.36 0.48 0.45* Large Corporates/Financial Institutions 6
  7. 7. Baltic BankingNII hurt by lower interest rates and FXSEKm Q1 Q2 Q3 Q/Q • Lower Euribor affected NIINet interest income 912 870 755 -115Net commissions 371 378 360 -18 • Negative FX effectTotal income 1 452 1 430 1 273 -157Total expenses 620 588 553 -35 • Small lending growth in EURProfit before 832 842 720 -122impairmentsCredit impairments -134 -204 -18 +186ROE, % 14.5 14.8 11.0C/I 0.43 0.41 0.43 7
  8. 8. Group resultsProfitable quarterSEKm Q2 Q3 Q/Q YTD • Stable NIINet interest income 5 252 5 263 +11 15 723 - Shrinking deposit marginsNet commissions 2 346 2 381 +35 7 132Net gains and - Continued repricing 455 568 +113 1 782 - Negative FX impactlossesOther income 844 839 -5 2 492Total income 8 897 9 051 +154 27 129 • Cost management ahead of planTotal expenses 4 251 3 998 -253 12 662Profit before • Stable asset quality 4 646 5 053 +407 14 467impairmentsCredit impairments 300 204 -96 676 • Capital position furtherImpairment of strengthened 125 102 -23 267tangible assetsProfit for the 3 162 3 511 +349 10 098periodROE, % 13.0 14.1 13.7C/I 0.48 0.44 0.47CT-1 ratio %, 16.6 17.3 17.3Basel 2 8
  9. 9. Cost performanceCost reduction ahead of plan• Target to reduce costs by SEK 1bn 2012• Staff costs -441m and consultancy costs -208m year on yearCost trend (SEKm) YTD 2011 YTD 2012 YTDTotal expenses 13 452 12 662 -790Variable staff costs -348 -581Compensation to savings banks -392 -457Restructuring cost Q3 2011 Ukraine -100FX effects -51Underlying cost 12 561 11 624 -937 9
  10. 10. Liquidity & Funding Relative funding spreads – Senior unsecured 5Y BPS Spread vs SEK 3m Stibor14012010080604020 0 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 SWED 02/09/2017 Average other major Nordic banks* * SEB, Nordea, Handelsbanken and Danske Bank 10
  11. 11. Risk weighted assets Reduced RWA – continued focus RWA developmentSEKbn495 • RWA down SEK 10bn in quarter - Positive P/D changes - FX effect490 485.4 + 4.2 - 5.9 • Focus remains485 - 4.2480 - 3.3 475.5475 - 0.7470 2012 Q2 Volume Rating Credit risk Other Market risk 2012 Q3 (EAD) migration FX-ef f ects credit risk 11
  12. 12. Capital position Strong capitalisation in new regulatory environment • Core Tier 1 ratio, 30 September 2012 %1817 -1.2%16 17.3% - 0.7%15 15.4%1413121110987 Q3 2012 Basel 3* IAS 19 Q3 2012 including Retail mortgage Internal measures Basel 3 and IAS 19 risk-weights (IRB Advanced) * Estimated based on Swedbanks current understanding of future regulations 12
  13. 13. Risk highlightsStable asset qualityCredit impairments (SEKm) Q2 Q3 • Continued high credit quality inRetail 100 69 SwedenLC&I 54 -35Baltic Banking -204 -18 • Exit costs Ukraine continues Estonia -25 2 • Macro outlook continues to Latvia -197 8 weaken Lithuania 18 -28Group Functions & 350 188Other Russia 24 28 Ukraine 325 140 Other 1 20Swedbank Group 300 204 13
  14. 14. Asset quality Enhanced focus on crisis portfolio workout • Impaired loans decreased SEK 2.4bn in Q3 to SEK 18bn • Vast majority of impaired loans from crisis portfolioSEK bn 35 31.7 30 25 20 18.0 18.0 Ukraine 15 3.9 0.6 Russia 35 Lithuania 10 5.2 Latvia 5 2.7 Estonia 0.3 LC&I 0 1.9 Retail Q1 11 Q2 11 Q3 11 Q4 11 Q1 12 Q2 12 Q3 12 Q3 12 14
  15. 15. Now launching the iPad app!• 1.1 million users!• 250.000 new users since June• 20 million “balance-shakes” since June• 10 % of all online equity trades within the mobile • Improved equity trade functions • Better economical overview • First step of next generation Internet Bank 15
  16. 16. Q&A
  17. 17. Appendix 17
  18. 18. Mortgage loans, gross margin (3 months)%65 Net margin4 The gross margin should cover:3 Cost of liquidity ~0.2% Administrative costs ~0.3% Credit impairments ~ 0.03%2 Tax (26.3% on profit before tax)10 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 Gross margin Swedbanks funding cost Stibor 3 months Swedish Riksbanks reporate 18
  19. 19. Large Corporates & InstitutionsImproved profitability trendSEKm Q3 11 Q4 11* Q1 12 Q2 12 Q3 12Net interest income 756 845 887 825 852 of which LC & FI** 519 563 652 666 689 of which Markets 237 282 235 159 163Commission income 317 269 434 346 379 of which LC & FI* * 241 261 278 278 311 of which Markets 76 6 156 68 68Total income LC&I 1 184 1 328 1 980 1 499 1 581 of which LC & FI** 770 832 946 947 1 008 of which Markets 414 496 1 034 552 573Total expenses, excl 659 818 607 602 638variable payVariable staff costs 6 13 106 118 66Profit before 519 497 1 267 779 877impairments of which LC & FI** 567 574 735 740 757 of which Markets -48 -77 532 39 120Total impairments -68 21 14 58 -35C/I ratio 0.56 0.63 0.36 0.48 0.45* Excluding Lehman one-off ,**Large corporates and Financial institutions 19
  20. 20. Cost management Cost target 2012• Target to reduce underlying costs by SEK 1bn 2012SEKbn 20 18.4 18 17.1 - 0.4 16.1 16 - 0.4 - 0.5 14 12 10 8 6 4 2 0 Total expenses 2011 Variable staf f costs Restructuring costs Compensation to Underlying costs Cost target 2012 (af ter restatements) Savings Banks 2011 20
  21. 21. Liquidity and fundingCore balance sheet* structure Assets LiabilitiesSEKbn SEKbn1 400 1 400 Government guaranteed debt Senior1 200 1 200 Estonia CEE lending Covered bonds1 000 Other corporate 1 000 lending, Sweden & other Nordic coun. 800 800 Other private, Sweden 600 600 Swedish 400 400 Deposits mortgage loans 200 200 Suppl. cap Core T1 0 0 Q3 2012 Q3 2012Source: Swedbank, Sep 30 2012 * Simplified balance sheet 21
  22. 22. Liquidity and fundingConservative liquidity levels• Short-term funding mainly a tool for cash management• More than 12 months pre-fundedSEKbn400 400350 350 Additional pledgeable300 and/or liquid300 assets Next 12-month term250 2501 funding maturities Liquidity reserve,200 securities 200 CP / CDs and net150 150 1 Liquidity reserve, interbank funding, central bank deposits, SEKm100 SEKm 100 50 50 0 0Source: Swedbank Sep 30 2012 1 As defined by the Swedish Bankers’ Association 22
  23. 23. Liquidity and fundingRelative funding cost in focus and improving• Funding plan 2012 completed• Increased liquidity buffers• LCR 144%, NSFR 94%• Broadened and deepened investment base Term funding issuance – completed and plannedSEKbn Covered bonds Senior unsecured70605040302010 0 Q311 Q411 Q112 Q212 Q312 Q412 Q113 Q213 Q313 23
  24. 24. Liquidity and fundingRelative funding cost in focus and improving• Funding plan 2012 completed• Continued conservative stance enhances liquidity buffer Long-term debt issued SEKm Outstanding short-term debt SEKm30 000 70 000 60 00025 000 50 00020 000 Q1 12 40 000 Q1 1215 000 Q2 12 Q2 12 Q3 12 30 000 Q3 1210 000 20 000 5 000 10 000 0 0 Domestic Euro CB USD CB Other CB Senior Domestic ECP/CD USCP Yankee CD French CD Finnish CD CB (144A) unsecured CPSource: Swedbank, Sep 30, 2012, nominal amounts 24
  25. 25. Liquidity and fundingRelative funding cost in focus and improving• Funding plan 2012 completed• Continued conservative stance enhances liquidity bufferSEKbn Term funding issuance120 Term funding issuance100 Average term funding issuance 2010-2011 Average funding plan, rolling 12 months 80 Average term funding need 60 40 20 0 Q2 2010 Q4 2010 Q1 2012 Q3 2012 Q4 2012 Q2 2013 Q4 2013 Q3 2014 Q1 2015 Q3 2015 Q1 2010 Q3 2010 Q2 2012 Q1 2013 Q3 2013 Q1 2014 Q2 2014 Q4 2014 Q2 2015 Q4 2015 Q3 2011 Q1 2011 Q2 2011 Q4 2011Source: Swedbank, Sep 30, 2012 25
  26. 26. Liquidity and fundingLong-term funding maturity profile• FY 2012 maturities amount to nominal SEK 86bn − of which SEK 9bn for the remainder of 2012 Long-term funding maturity profileSEKbn200 Government guaranteed debt Senior unsecured150 debt Covered bonds100 50 0 2012 2013 2014 2015 2016 2017 2018-Source: Swedbank Sep 30, 2012 26
  27. 27. Liquidity and fundingLimited need for USD-funding• USD-funding need covered for more than 12 months• Issued USD 1.5bn of covered bonds (144a) YTD 2012SEKbn180 Other assets & liabilities, incl positions in160 derivatives (off-balance) Interest-bearing securities140 Lending to the public120 Loans to credit100 institutions 80 Cash and balances with central banks 60 Deposits and borrowings from the public 40 Amounts owed to credit institutions 20 Debt securities in issue 0 Assets LiabilitiesSource: Swedbank, Jun 30, 2012, (Fact book page 71) 27
  28. 28. Liquidity and fundingRemaining government guaranteed debt• Exited the programme on 30 April 2010• No issuance under the programme since summer 2009• Remaining outstanding debt of SEK 37bn maturing during 2013 and 2014 Maturity profile as per Q3 2012SEKbn40 JPY CHF20 USD SEK EUR 0 2013 2014Source: Swedbank Sep 30, 2012 28
  29. 29. Liquidity and fundingSenior unsecured debt strategy• Limited need given Swedbank’s balance sheet structure• Secure OC• Fund liquidity reserves• Structural subordination? Senior unsecured debt maturity profile House price sensitivity of the cover pool 35% Senior unsecured debtSEKbn 30%100 000 25% OC Over-collateralisation 80 000 20% 15% 60 000 10% 5% 40 000 0% -5% 20 000 -10% 0 -15% 0% -5% -10% -15% -20% -25% -30% -35% -40% -45% -50% 2012 2013 2014 2015 2016 2017- House price dropSource: Swedbank, Sep 30, 2012, nominal amounts 29
  30. 30. Liquidity and fundingLiquidity reserveAccording to the template defined by the Swedish Bankers Association SEKmCash and holdings in central banks 213 310Deposits in other banks available overnight 301Securities issued or guaranteed by sovereigns, central banks or multilateral development banks 21 532Securities issued or guaranteed by municipalities or Public sector entities 381Covered bonds 57 994 - Issued by other institutions 57 994 - Own issuedSecurities issued by non-financial corporatesSecurities issued by financial corporates (excl. covered bonds) 2 683OtherTotal1 296 202Additional liquid assets, Group2 84 4201 95% of the securities in the liquidity reserve per Q3 2012 are rated AAA2 90% of the additional liquid assets fulfill the Liquidity Reserve definition by the Swedish Bankers’ Association exceptfrom that they are held outside the Treasury department.Source: Swedbank Fact book, Sep 30, 2012 30
  31. 31. Liquidity and fundingAsset encumbranceDistribution by type of liability and asset Central banks Debt • What is “right” level of asset and instruments Securities Government supranational issued by issued by encumbrance? debt debt Covered credit corporate and MortgageSEKm instruments instruments bonds institutions other issuers ABS loans Cash Total – Different quality ofCentral bank funding encumbrance: asset-liabilityIntraday settlement collateral 1) 2 10 189 42 10 233 matched vs. mismatchedRepurchase agreements 1) 22 488 11 328 33 816Derivative collateral 2) 171 1 072 20 329 21 572Covered bonds 3) 524 249 524 249 • Balance between PD and LGDAccrued interest of assets inthe cover pool 2 252 2 252Total 22 661 22 589 42 526 501 20 329 592 122 • RisksFinancial assets pledged for insurance policy holders 103 083 – Bail in legislation swing factor?Additional assets available for secured funding 4) Central banks Debt – Regulation and Government supranational instruments issued by Securities issued by – Market practice debt debt Covered credit corporate and MortgageSEKm instruments instruments bonds institutions other issuers ABS loans Cash TotalSecurities 5, 6) 29 745 4 703 100 758 12 558 8 130 847 156 741Cover pool (overcollateralisation) 3) 167 557 167 557Cover pool eligible assets 7) 11 463 11 463Total 29 745 4 703 100 758 12 558 8 130 847 179 020 335 7611) Pledged or repoed securities on balance sheet.2) Collateral posted under CSA agreements, gross (3-year, SEKm, High: 21 572, Low : 9 796, Average: 13 283).3) Nominal amount excluding accrued interest.4) Assets not currently encumbered.5) Reversed repos are included.6) All type of securities, including securities non pledgeable at central banks, of w hich 83% are rated AAA, 3% are rated below A- and 7% are not rated.7) Type of loans; Residential 84.7%, Forestry & Agriculture 15.2%, Commercial 0.1%.Source: Swedbank Facts Q3 2012 31
  32. 32. Swedish housing and mortgage marketSwedish mortgage market• No securitization (on balance sheet), no sub-prime market, no 3rd party origination, no buy-to-let market• 70% home ownership1• Rental market is regulated• Transparent credit information (credit information agency, www.uc.se) – Publicly available information regarding income, debt, payment track record etc• Consumer credit legislation requires affordability calculations including stress test of higher interest rate• Very limited debt forgiveness possibilities (full recourse)• Strong social security and generous unemployment benefit system1 Source: Boverket, 2011 32
  33. 33. Swedish housing and mortgage marketReal estate prices – Sweden 12 months development Single-family homes1 Tenant-owner rights2 Combined3 12M Δ 12M Δ 12M Δ Oct/11 -4% -1% -3% Nov/11 -5% -4% -5% Dec/11 -7% -4% -6% Jan/12 -4% -2% -4% Feb/12 -4% -1% -3% Mar/12 -4% 1% -3% Apr/12 -2% 2% -1% May/12 -2% 3% -1% Jun/12 -1% 4% 0% Jul/12 0% 4% 1% Aug/12 2% 4% 3% Sep/12 2% 5% 3%Source: Valuegard www.valuegard.se (Based on data from Mäklarstatistik), 1 HOXHOUSESWE, 2 HOXFLATSWE, 3 HOXSWE 33
  34. 34. Baltic real estate prices Real estate prices – Baltic countries Tallinn Riga 1800 1 800 1600 1 600 1400 1 400 1200 1 200 1000 1 000 800 800 600 600 400 400 200 200 0 0 Jan-05 Jan-06 Jan-09 Jan-10 Jan-07 Jan-08 Jan-11 Jan-12 Jul-06 Jul-07 Jul-08 Jul-10 Jul-11 Jul-05 Jul-09 Jul-12 Jan-05 Jan-07 Jan-09 Jan-10 Jan-12 Jan-06 Jan-08 Jan-11 Jul-05 Jul-06 Jul-07 Jul-09 Jul-11 Jul-12 Jul-08 Jul-10 Source: Swedbank, Estoniandeals Board Nr.of Land EUR/m2 Source: Swedbank Nr.of deals EUR/m2 Vilnius1 8001 6001 4001 2001 000 800 600 400 200 0 Jan-05 Jan-07 Jan-09 Jan-10 Jan-12 Jan-06 Jan-08 Jan-11 Jul-05 Jul-06 Jul-07 Jul-09 Jul-11 Jul-12 Jul-08 Jul-10 Nr.of deals EUR/m2 34
  35. 35. -80 -60 -40 -20 0 -100 20 EURm Q3 11 Q4 11 Q1 12 Asset quality Estonia Q2 12 Q3 12 Q3 11 Q4 11 Latvia Q1 12 Q2 12 Q3 12 Q3 11 Q4 11 Lithuania Q1 12 Q2 12 Q3 12 Q3 11 Q4 11 Ukraine Q1 12 Loans past due 60 days – performance Q/Q Q2 12 Q3 12 Q3 11 Q4 11 Q1 12 Russia Q2 12 Q3 1235
  36. 36. Asset quality Provisions – well provided forSEKm30 00025 000 65.0% 63.7% 65.2%20 000 59.8% 61.5% Provision ratios, % Q3 12 2 40915 000 Retail 77 14 782 2 435 2 478 12 821 2 040 LC&I 148 11 915 1 77410 000 10 951 9 934 Baltic Banking 56 Russia 64 5 000 Ukraine 82 Group 65 0 Q3 11 Q4 11 Q1 12 Q2 12 Q3 12 Individual provisions Portf olio provisions Provision ratio 36
  37. 37. Credit portfolio – RetailCorporate Retail portfolio will drive capital efficiency Total portfolio SEK 230bn Segments excl. Swedbank Volume Secured Mortgage and Swedbank Finance (SEKbn) (%) Agriculture 6.4 85 Manufacturing 10.8 70 Swedbank Mortgage AB Public sector and utilities 4.7 91 91 Leasing (Swedbank Construction 4.7 85 115 Finance AB) Retail 9.3 90 Other 24 Transportation 2.0 80 Shipping 0.1 98 Hotels and restaurants 3.1 90 Information & communication 1.1 53 Finance and insurance 3.3 81 Property management 55.5 96 Professional service 6.9 65 Other 7.0 69 Total 115.0 87 37
  38. 38. Credit portfolio – Large Corporates & Institutions Shipping and Offshore Shipping and offshore - structure SEKbn 11.6% 30 -1.6%• Lending exposure to shipping and offshore sector of 23 24 24 26 25 5 SEK 25.1bn plus unutilised commitments of SEK 20 6.2bn 6 – Portfolio duration 4-5y – Average fleet age 7y 10 15 – Strong employment profiles 0 Q3-11 Q4-11 Q1-12 Q2-12 Q3-12 RORO 2.0 Offshore Tanker Other Container 1.0 Dry bulk 1.0 Shipping and Offshore Portfolio by Currency Gas (LNG/LPG) 1.0 Crude oil 1.0 JPY Product 3.3 Q3-12 Chemical 0.5 NOK Floating production 2.0 Accommodation 0.8 USD Supply 3.8 Oil service 2.3 EUR Drilling & exploration 6.0 SEK Cruise 0.5 0 5 10 0 5 10 15 20 25 38
  39. 39. Credit portfolio – Agriculture retail • Segmentation Definitions – Corporate Agriculture: Businesses that derive their Private residents main income from agricultural activities 20 % – Private Investments: Private individuals who own Agriculture 44 % agricultural properties for living or investment purposes • Lending to the agriculture industry – Approx SEK 62bn per Q3 2012 Private forestry – Corporate agriculture: (57%) 23 % • Agriculture 44% • Forestry 13% Forestry 13 % – Private investments (43%) • Residents: 20% • Forestry: 23% 39
  40. 40. ICAAP 2012 ICAAP Scenario – Deep recession without recovery Triggers Outcome • Europe enters into deep • Sharp GDP drop with no recession recovery (10-15% from 2011 level) • Limited possibilities for fiscal stimulus • Severe drop in house prices • European bank runs (25-37% from 2011 level) • Credit contraction • Depreciated EUR and appreciated SEK • Closed funding markets • Devaluation in Latvia and Lithuania 40
  41. 41. ICAAPHigh capitalisation even in extremely stressed scenario• Revenue decrease 31 percent• Credit impairments SEK 64bn over 5 year• Scenario effects on Core Tier 1 ratio -165bp• Well above 12% Core Tier 1 ratio at low point even in extremely stressed scenario in new regulatory environment 41
  42. 42. ICAAP 2012 ICAAP dcenario – Deep recession without recovery105 GDP - Index 105 Real Estate prices - index100 95 95 85 90 75 85 65 80 55 2011 2012 2013 2014 2015 2016 2011 2012 2013 2014 2015 2016 Sweden Estonia Latvia Lithuania Sweden Estonia Latvia Lithuania3.0% Interest rates – 3m 14 FX scenario2.5% 12 102.0% 81.5% 61.0% 4 20.5% 00.0% 2011 2012 2013 2014 2015 2016 2011 2012 2013 2014 2015 2016 Euribor Stibor USD/SEK EUR/SEK GBP/SEK 42
  43. 43. ICAAP 2012 ICAAP – Main scenario results SEK bn Net Interest Income • NII decreases by 39% throughout the 30 20.7 scenario 20 10 12.6 0 2011 2012 2013 2014 2015 2016 • Credit Impairments total SEK 64bn Credit impairments over the scenario period SEK bn 30 23.4 20 10 0 2011 2012 2013 2014 2015 2016 -10 • RWA decreases due to significant SEKbn RWA incl. reg effects credit impairments and deleveraging 700 600 500 414 400 300 2011 2012 2013 2014 2015 2016 43
  44. 44. ICAAP 2012 ICAAP – Income statement TotalIncome statement (SEKbn) 2011 2012 2013 2014 2015 2016 2012 - 2016Total net interest income 20.7 19.5 16.7 14.2 13.0 12.6 75.9Total income 34.7 31.8 34.0 25.4 24.3 24.1 139.6Total expenses 20.9 17.6 18.7 18.0 18.0 17.8 90.1Profit before credit losses 13.8 14.2 15.3 7.4 6.3 6.2 49.5Credit losses -1.8 8.2 23.4 17.4 9.3 5.4 63.6Operating profit 15.5 6.1 -8.1 -10.0 -3.0 0.9 -14.1 Appropriations 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Tax 3.7 1.6 0.0 0.0 0.0 0.2 1.8Profit for the year 11.8 4.5 -8.1 -10.0 -3.0 0.6 -16.0 Minority interest 0.3 0.1 0.0 0.0 0.0 0.0 0.1Profit for the year attr to shareholders 11.5 4.4 -8.1 -10.0 -3.0 0.6 -16.1 Dividend 5.8 2.2 0.0 0.0 0.0 0.3 2.5Profit after tax, min. int. & dividend 5.7 2.2 -8.1 -10.0 -3.0 0.3 -18.6 44
  45. 45. ICAAP 2012 ICAAP – Credit impairments EAD 2011 Acc. loss ratio Credit impairments (%) (SEKbn) 2012 2013 2014 2015 2016 2012 - 2016 Total 1,384.4 0.6 1.8 1.5 0.9 0.5 4.6 of which LC & I 309.8 0.5 2.3 2.0 0.8 0.6 5.4 Retail 950.8 0.3 1.2 1.0 0.7 0.3 3.2 Estonia 52.5 1.2 2.5 2.2 1.8 1.7 6.6 Latvia 30.6 2.7 6.1 5.6 4.4 4.6 15.0 Lithuania 31.1 2.4 4.1 3.0 2.4 2.2 9.5 Russia & Ukraine 9.6 5.2 20.9 10.5 3.7 1.6 41.9The accumulated losses constitute SEK 63.6bn.Credit impairments in LC&I and Retail constitute 74% of total accumulated credit impairments Credit impairments LC & I and Retail EAD 2011 Acc. loss ratio (SEKbn) 2012 2013 2014 2015 2016 (%) 2012 - 2016 Agriculture, forestry and fishing 25.8 0.5 1.4 1.3 1.0 0.2 3.7 Manufacturing 39.3 1.0 2.6 2.5 1.2 0.5 6.7 Public sector and utilities 11.6 0.6 1.8 2.1 1.3 0.4 5.3 Construction 15.1 1.2 3.4 3.4 1.9 0.4 8.5 Retail 22.8 1.3 4.6 5.4 4.0 2.4 14.0 Transportation 8.6 2.1 8.2 5.7 3.4 1.2 16.1 Shipping 31.2 0.4 8.5 6.2 0.6 0.5 14.4 Hotels and restaurants 3.8 2.7 6.3 6.3 3.7 0.7 15.0 Information and communication 5.0 0.6 1.7 1.9 1.0 0.5 4.9 Finance and insurance 20.4 0.3 0.8 1.2 0.6 0.3 2.8 Property management 125.1 0.9 3.9 3.8 2.0 1.0 9.6 Cooperative housing associations 75.4 0.3 1.1 1.2 0.5 0.1 2.8 Other corporate lending 75.5 0.9 1.4 1.2 0.7 0.3 3.9 Professional services 14.9 1.0 2.7 3.2 2.1 0.7 8.0 Bank 128.2 0.5 1.3 1.1 0.9 0.8 3.9 Private 657.8 0.1 0.4 0.3 0.3 0.2 1.2 Total 1,260.5 0.4 1.5 1.3 0.7 0.4 3.7 45
  46. 46. ICAAP 2012 ICAAP Main adverse scenario results Capital assessment RWA & Capital (SEKbn) 2011 2012 2013 2014 2015 2016 RWA 492.3 489.5 504.1 433.9 395.2 365.0 RWA inc 15% mortgage riskweight * 565.3 552.2 557.1 482.4 442.6 414.4 RWA inc regulatory effects ** 588.1 575.0 557.1 482.4 442.6 414.4 Core Tier 1 77.3 79.7 62.1 52.4 49.5 49.8 Core Tier 1 inc regulatory effects ** 73.6 76.0 62.1 52.4 49.5 49.8 Total Capital base 93.2 88.3 70.9 61.5 57.2 55.2 Capital assessment (%) 2011 2012 2013 2014 2015 2016 Core Tier 1 ratio 15.7 16.3 12.3 12.1 12.5 13.6 Core Tier 1 ratio inc 15% mortgage riskweight * 13.7 14.4 11.1 10.9 11.2 12.0 Core Tier 1 ratio inc. regulatory effects ** 12.5 13.2 11.1 10.9 11.2 12.0 Total capital ratio inc. 15% mortgage riskweight * 16.5 16.0 12.7 12.7 12.9 13.3 * The effect of a 15% average riskweight on the Swedish Mortgage portfolio ** Includes assessed effects of Basel 3, IAS 19 and changed mortgage risk-weights 46

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