Survey
* Your assessment is very important for improving the workof artificial intelligence, which forms the content of this project
Download Macro-prudential chartpack Reserve Bank of New Zealand September 2014
Document related concepts
no text concepts found
Transcript
Credit ratios Asset prices Debt servicing Miscellaneous Banking Financial markets Financial markets Macro-prudential chartpack Reserve Bank of New Zealand Data, notes and chart sources available at www.rbnz.govt.nz September 2014 1 / 12 Credit ratios Asset prices Debt servicing Miscellaneous Banking Financial markets Financial markets Credit ratios, growth and gaps % 180 Private sector credit-to-nominal GDP % 180 160 160 140 140 120 120 100 100 % 20 Private sector credit gap and credit growth % 20 15 15 10 10 5 5 0 0 -5 -5 -10 Level 80 80 Real-time trend 60 60 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 % Household credit-to-disposable income 180 % 180 160 160 140 140 120 120 100 100 80 80 60 Level -10 Real-time gap -15 -20 -20 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 % 25 Household credit gap and credit growth Real-time trend 40 40 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 % 25 20 20 15 15 10 10 5 5 0 0 -5 -5 -10 -10 -15 60 -15 Private sector credit growth -20 -15 Real-time gap Household credit growth -20 -25 -25 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2 / 12 Credit ratios Asset prices Debt servicing Miscellaneous Banking Financial markets Financial markets Credit ratios, growth and gaps 140 140 % 25 130 130 20 20 120 120 15 15 110 110 10 10 100 100 5 5 90 90 0 0 80 80 -5 70 -10 % Business credit-to-operating surplus % Business credit gap and credit growth % 25 -5 Level 70 Real-time trend 60 60 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 Index Agricultural credit-to-agricultural NGDP 10 Index 10 Real-time gap -10 Business credit growth -15 -15 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 % 30 Agricultural credit gap and credit growth % 30 9 9 25 25 8 8 20 20 7 7 15 15 6 6 10 10 5 5 0 0 5 5 4 4 3 3 2 2 -5 Level 1 Real-time trend 1 -10 0 0 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 -5 Real-time gap -10 Agricultural credit growth -15 -15 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 3 / 12 Credit ratios Asset prices Debt servicing Miscellaneous Banking Financial markets Financial markets Asset price ratios, growth and gaps % House price-to-disposable income % % 600 600 550 550 500 500 450 450 400 400 350 350 300 300 Real-time trend Farm prices-to-agricultural NGDP Index 8 15 15 5 5 -5 -5 250 200 200 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 Index 8 % 25 -15 Level 250 House price gap and house price inflation 25 Real-time gap -15 House price inflation -25 -25 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 % 40 Farm price gap and farm price inflation % 40 30 30 20 20 10 10 5 0 0 4 4 -10 -10 -20 -20 3 3 7 7 6 6 Level 5 Real-time trend -30 2 2 1 1 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 -40 -30 Real-time gap Farm price inflation -40 -50 -50 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 4 / 12 Credit ratios Asset prices Debt servicing Miscellaneous Banking Financial markets Financial markets Asset price ratios, growth and gaps Index 1.8 Commercial property price to gross operating surplus 1.6 1.4 % 40 Commercial property price gap and property price inflation % 40 1.6 Commercial property price to gross operating surplus level 1.2 1.0 Index 1.8 30 20 20 10 10 1.4 1.2 Commercial property price to gross operating surplus real time trend 30 1.0 0.8 0.8 0.6 0.6 0.4 0.4 0 -10 0.2 0 Real-time gap -10 0.2 Commercial property price inflation 0.0 0.0 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 NZSE-to-nominal GDP Index 3.0 2.5 Index 3.0 -20 -20 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 % 50 NZSE gap and growth rate 50 40 30 30 20 20 10 10 0 0 2.5 2.0 2.0 1.5 1.5 1.0 1.0 Level -10 -10 Real-time trend -20 0.5 % 40 -20 0.5 -30 0.0 0.0 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 Real-time gap NZSE price inflation -30 -40 -40 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 5 / 12 Credit ratios Asset prices Debt servicing Miscellaneous Banking Financial markets Financial markets Debt servicing ratios % 25 % Economy-wide debt servicing ratio 25 % 34 Sectoral debt servicing ratio % 20 32 20 20 15 15 Business 18 Household (RHS) 28 16 26 14 30 24 12 22 10 10 5 5 Level 0 1984 % 25 1988 1992 1996 2000 2004 10 18 8 16 6 14 15-year moving average 0 1980 20 2008 2012 Economy-wide debt servicing ratio breakdowns % 25 Including principal repayments 20 20 12 1980 4 1984 1988 1992 % 10 1996 2000 2004 2008 2012 Debt servicing ratio gap % 10 8 8 6 6 4 4 2 2 0 0 Interest only repayments 15 15 10 10 5 0 1965 5 0 1970 1975 1980 1985 1990 1995 2000 2005 2010 -2 1980 -2 1985 1990 1995 2000 2005 2010 6 / 12 Credit ratios Asset prices Debt servicing Miscellaneous Banking Financial markets Financial markets Miscellaneous % Bank and non-bank lending % 100 Non-bank lending 95 % 90 85 85 80 80 75 75 70 70 75 65 65 70 60 60 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 95 90 90 85 85 80 80 75 70 2000 % 2002 2004 2006 2008 2010 General government gross debt (%GDP) 2012 2014 % 300 300 250 250 200 200 150 Net foreign liabilities 90 % 100 Bank lending % 250 Cross country private sector credit (%GDP) % 250 200 200 150 150 100 100 50 50 0 0 150 100 100 50 50 0 0 7 / 12 Credit ratios Asset prices Debt servicing Miscellaneous Banking Financial markets Financial markets Miscellaneous % 60 Domestic and offshore wholesale funding % 60 Retail funding Offshore - wholesale Domestic - wholesale 50 50 % 60 Retail and wholesale funding % 20 55 15 50 40 40 30 30 45 10 40 5 20 20 Retail funding 35 Short-term wholesale Long-term wholesale (RHS) 10 2000 10 2002 2004 2006 2008 % 15 2010 2012 2014 30 2000 0 2002 Annual credit growth less annual NGDP growth 2004 2006 2008 2010 2012 2014 % 15 10 10 5 5 0 0 -5 -5 -10 -10 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 8 / 12 Credit ratios Asset prices Debt servicing Miscellaneous Banking Financial markets Financial markets Bank metrics % 14 12 Tier 1 capital % 14 Range of the major banks Minimum Tier 1 capital ratio (+ conservation buffer) 12 Aggregate Tier 1 capital ratio 10 10 8 8 6 6 4 4 2 0 2000 % 100 % 100 Core funding ratio CFR minimum Core funding ratio (CFR) 90 90 80 80 70 70 60 60 2 0 2002 2004 % 2.8 2006 2008 2010 2012 Net interest margins 2.6 2014 % 2.8 2.6 Quarterly 50 2000 % 30 50 2002 2004 2006 2008 2010 2012 2014 Equity-to-assets and return on equity Tangible equity to assets ratio (RHS) Return on tangible equity % 8 25 7 Monthly 20 2.4 2.4 2.2 2.2 15 6 10 5 2.0 1.8 2000 2002 2004 2006 2008 2010 2012 2014 2.0 5 1.8 0 4 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 9 / 12 Credit ratios Asset prices Debt servicing Miscellaneous Banking Financial markets Financial markets Bank metrics % 2.5 % 0.25 Bank asset quality and impaired asset expense Impaired asset expense (RHS) % 5 % 5 Sectoral non-performing loans Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Non-performing loans 2 1.5 1 0.15 3 3 2 2 1 1 0.05 2007 2008 2009 2010 2011 2012 2013 Commercial property SME 0 Total Rural 2014 Sectoral watchlist loans Rural Corporate % 16 % 35 14 14 12 12 25 10 10 8 8 Commercial property SME Corporate Housing High-LVR residential mortgage lending Pre-GFC 30 % 35 Post-GFC 20 30 25 20 Private reporting 15 6 4 0 0 2006 % 16 4 0.1 0.5 0 2005 0.2 LVR survey 15 6 10 4 LVR speed limit 10 4 2 2 0 2009 0 2010 2011 2012 2013 2014 5 5 0 Jan-06 Jul-06 Jan-07 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 0 10 / 12 Credit ratios Asset prices Debt servicing Miscellaneous Banking Financial markets Financial markets Financial markets Stress Headline stress indices Stress 25 25 20 20 Bank wholesale funding profile % 70 % 70 60 60 Jul-10 New Zealand 15 15 Global 10 50 50 Jul-14 40 40 30 30 20 20 10 10 10 5 5 0 0 -5 1997 -5 1999 2001 bps 2003 2005 2007 2009 2011 250 ANZ CBA Westpac NAB 200 250 0 Call 2013 bps 300 Parent bank CDS spreads 300 0 bps 140 90days 1year 2year 3year 4year 5year 5year+ Hedging cost for 5-year debt 120 bps 140 120 100 100 200 80 80 NZD/USD 150 150 100 100 60 60 NZD/EUR 50 0 2011 50 0 2012 2013 2014 40 40 20 20 0 0 -20 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 -20 11 / 12 Credit ratios Asset prices Debt servicing Miscellaneous Banking Financial markets Financial markets Financial markets % 3.5 % NZ Corporate Spread to Swap (indicative) 3.5 3 Volatility 40 Volatility 40 Exchange rate volatility 3 35 2.5 30 35 2 25 1.5 20 20 1 15 15 0.5 10 10 NZD 2.5 2 1.5 1 0.5 0 -0.5 2007 2008 2009 2010 2011 2012 2013 2014 0 5 -0.5 0 2000 30 AUD USD 25 5 0 2002 2004 2006 2008 2010 2012 2014 12 / 12
Related documents