Macro-prudential chartpack

Transcription

1 Macro-prudential chartpack Reserve Bank of New Zealand Data, notes and chart sources available at December /

2 Credit ratios, growth and gaps Private sector credit-to-nominal GDP Private sector credit gap and credit growth Real-time trend - Private sector credit growth Household credit-to-disposable income Household credit gap and credit growth Real-time trend - - Household credit growth /

3 Credit ratios, growth and gaps Business credit-to-operating surplus Business credit gap and credit growth Real-time trend 7 - Business credit growth Index Agricultural credit-to-agricultural NGDP Index Agricultural credit gap and credit growth Real-time trend Agricultural credit growth /

4 Asset price ratios, growth and gaps House price-to-disposable income House price gap and house price inflation - - Real-time trend - House price inflation Index Farm prices-to-agricultural NGDP Index Farm price gap and farm price inflation Real-time trend Farm price inflation /

5 Asset price ratios, growth and gaps Index Commercial property price to gross operating surplus Index Commercial property price gap and property price inflation.... Commercial property price to gross operating surplus level..... Commercial property price to gross operating surplus real time trend Commercial property price inflation Index. NZSE-to-nominal GDP Index. NZSE gap and growth rate Real-time trend NZSE price inflation /

6 Debt servicing ratios Economy-wide debt servicing ratio Sectoral debt servicing ratio Business Household (RHS) -year moving average Economy-wide debt servicing ratio breakdowns Debt servicing ratio gap Including principal repayments Interest only repayments /

7 Miscellaneous Bank and non-bank lending Net foreign liabilities 9 9 Non-bank lending Bank lending General government gross debt (GDP) Cross country private sector credit (GDP) 7 /

8 Miscellaneous Domestic and offshore wholesale funding Retail and wholesale funding Retail funding Offshore - wholesale Domestic - wholesale Retail funding Short-term wholesale Long-term wholesale (RHS) Annual credit growth less annual NGDP growth /

9 Bank metrics Tier capital Core funding ratio Range of the major banks CFR minimum Minimum Tier capital ratio (+ conservation buffer) Core funding ratio (CFR) Aggregate Tier capital ratio Net interest margins.. Equity-to-assets and return on equity Tangible equity to assets ratio (RHS) Return on tangible equity /

10 Bank metrics Bank asset quality and impaired asset expense Sectoral non-performing loans.. Impaired asset expense (RHS) May- Nov- May- Non-performing loans. Nov- May- Nov Total Rural Commercial property SME Corporate Housing Sectoral watchlist loans Rural Commercial property SME Corporate High-LVR residential mortgage lending Pre-GFC Post-GFC Private reporting LVR survey LVR speed limit 9 Jan- Jul- Jan-7 Jan- Jul- Jan- Jul- Jan- Jul- Jan- /

11 Financial markets Stress Headline stress indices Stress Bank wholesale funding profile 7 7 New Zealand Global Oct- Oct Call 9days year year year year year year+ bps Parent bank CDS spreads bps bps Hedging cost for -year debt bps ANZ CBA Westpac NAB NZD/USD NZD/EUR /

12 Financial markets NZ Corporate Spread to Swap (indicative).. Volatility Exchange rate volatility Volatility.. NZD AUD USD /