Sweden's Riksbank staff memo extends SRISK estimates to all Swedish banks and finds major banks drive expected crisis capital shortfalls

Sweden's Riksbank published a staff memo estimating systemic risk in the Swedish banking sector using the market-based SRISK measure, and for the first time extends the calculations to include both listed and non-listed Swedish banks. The analysis finds that expected capital shortfalls in a market stress scenario are mainly driven by the major banks and mortgage banks, while some smaller banks can still matter for financial stability if several experience problems simultaneously. To include non-listed banks that lack equity price data, the memo estimates how SRISK for listed banks relates to balance sheet variables and applies that relationship to non-listed institutions. Under the baseline assumptions used by NYU Stern V-LAB, a 40 percent equity market decline over six months and a 5.5 percent required market leverage ratio, the largest banks account for the highest absolute shortfalls, typically around SEK 40 billion to SEK 80 billion per quarter in 2015–2024 and occasionally rising to about SEK 110 billion during periods of elevated market stress, while mortgage banks remain below SEK 15 billion and other bank groups below SEK 10 billion. When shortfall is assessed relative to total assets, certain smaller consumer credit banks show higher ratios than large banks, which the memo links to the risk of confidence effects and higher funding costs across the sector if multiple such banks come under strain; sensitivity analysis also indicates non-linear increases in estimated shortfalls as stress intensifies and materially different outcomes under alternative leverage ratio assumptions.