RAROC profile and corporate credit pricing model derived from Pillar 3 disclosures.
SEB is a Sweden-based bank with approximately EUR 740bn of corporate credit exposure (EAD) under the A-IRB approach to credit risk capital. The numbers below come directly from SEB's most recent Pillar 3 CR6 regulatory filings and are used to model how this bank prices corporate credit facilities.
SEB is mid-sized by corporate EAD (18 of 59). Its cost-to-income ratio of 45.0% is exceptionally lean (-4.8pp vs the 59-bank cross-section average of 49.8%). The corporate portfolio is predominantly investment-grade, with an EAD-weighted average PD of 0.9% against a cross-bank average of 2.1%.
Because the bank runs the advanced IRB approach, its own LGD and credit-conversion models drive capital requirements, which on our comparable sample deal typically produces tighter minimum spreads than foundation-IRB peers with identical obligor risk. Unsecured LGD disclosed at 34.8% is -2.0pp against the 36.8% cross-bank average, indicating recovery assumptions that are more favourable than the peer median — often a feature of senior-unsecured lending to large investment-grade obligors.
On the standardised BBB+ EUR 25M 5-year term loan used across every bank profile, SEB lands in the top 10 by sample RAROC (#9 of 59), with a RAROC of 7.87% and a minimum spread of 236bp to reach the 12% hurdle. Within Sweden specifically, the bank ranks #3 of 3 on this same calculation.
| Parameter | Value | What it means |
|---|---|---|
| IRB approach | A-IRB | How the bank computes risk-weighted assets |
| Cost-to-income ratio | 45.0% | Operating cost share of net revenue |
| Effective tax rate | 22.0% | Applied to RAROC numerator after EL and funding |
| Average corporate PD | 0.85% | EAD-weighted probability of default |
| Avg LGD (unsecured) | 34.8% | Loss share if borrower defaults, no collateral |
| Avg LGD (secured) | 18.0% | Loss share with eligible collateral |
| Funding spread | 12bp | Bank's wholesale funding cost above risk-free |
| Corporate EAD | EUR 740bn | Total exposure at default to corporates |
On a representative BBB+ rated, 5-year term loan of EUR 25M at 150bp spread with a 20bp commitment fee, SEB would generate an estimated RAROC of 7.87% against a typical 12% bank hurdle rate. To hit that hurdle on this exact deal, the bank would need a minimum spread of 236bp. This deal is significantly below target — the bank would either reprice it or decline.
| Component | Value |
|---|---|
| Annual revenue (spread + fees) | EUR 385,000 |
| Operating cost | EUR 154,000 |
| Expected loss (PD × LGD × EAD) | EUR 28,750 |
| Capital required (FPE) | EUR 2,451,320 |
| RAROC (after tax) | 7.87% |
| Min spread to hit 12% RAROC | 236bp |
Out of 59 banks in the OpenRAROC dataset, SEB ranks #9 by RAROC on this sample deal.
| Rank | Bank | Country | RAROC | Min spread |
|---|---|---|---|---|
| 1 | Qatar National Bank | Qatar | 9.00% | 203bp |
| 2 | DBS Group | Singapore | 8.18% | 224bp |
| 3 | JP Morgan | United States | 8.12% | 231bp |
| 4 | ICBC | China | 8.06% | 233bp |
| 5 | China Construction Bank | China | 8.06% | 233bp |
| 8 | Swedbank | Sweden | 8.01% | 232bp |
| 9 | SEB | Sweden | 7.87% | 236bp |
| 10 | DNB | Norway | 7.87% | 236bp |
Upload a CSV of your existing facilities and OpenRAROC will run the same calculation against SEB (and 58 other banks) to show you who's overcharging you and which bank should price your next deal.
Open the calculatorFree RAROC calculator. Upload your portfolio. See who prices your facilities best.
Open OpenRAROC