Mismatch ratios - L1

Released
02 August 2017 03:00 p.m.
Next release
31 August 2017 03:00 p.m.
Source
Reserve Bank of New Zealand
Periodicity
Monthly
Previous years: Monthly:
Jun 2015 Jun 2016 Feb 2017 Mar 2017 Apr 2017 May 2017 Jun 2017
Total funding and mismatch ($m)
Total funding 356,650 380,777 404,875 402,644 406,204 404,436 406,772
1-week mismatch 17,834 16,365 21,886 20,931 22,043 20,217 19,269
1-month mismatch 19,474 20,291 19,154 22,625 21,805 21,463 20,435
Mismatch ratio (%)
1-week mismatch 5.0 4.3 5.4 5.2 5.4 5.0 4.7
1-month mismatch 5.5 5.3 4.7 5.6 5.4 5.3 5.0

The Data: Coverage, Periodicity, and Timeliness

Coverage characteristics

Data on the value of funding are published as end of month figures in millions of New Zealand dollars. Ratios are published as percentages.

Periodicity

Monthly

Timeliness

Data is released approximately five weeks after the reference month.

Start-date of aggregate statistics

Tables L1 and L2 are compiled from data required to be reported by registered banks from April 2010, and are published from that date.

Table L3 is compiled from data required to be reported by registered banks from March 2011, and is published from that date.

List of institutions included in published liquidity statistics

All locally incorporated banks are required to provide reports on liquidity to the Reserve Bank. 

Access by the public

Statistics release calendar

The Statistics Release Calendar provides a long-term plan of scheduled releases. It is updated and released on the first working day of the month.

Integrity

Dissemination of terms and conditions under which official statistics are produced, including confidentiality of individual responses

The information is disseminated by the Reserve Bank of New Zealand as a service to the public.

The RBNZ collects, monitors and analyses the data in undertaking its prudential supervisory functions. These operations involve liaising with and monitoring financial institutions, in order to ensure effective implementation of policy and the soundness of the financial system.

Individual bank responses are strictly confidential.

Provision of information about revisions and advance notice of major changes in methodology

Provisional data are italicised. Data are deemed provisional when a series is under review. New data, or revised data, are in bold font. This applies to the summary table only and not excel files. Revisions are generally published when the table is next due to be updated and released. Should revisions need to be made more promptly, a note is posted on the website under "Revisions to Tables".

Any major changes in methodology will be posted here on this website.

Quality

Dissemination of documentation on methodology and sources used in preparing statistics

Definitions of series are available in the Series description.

The Reserve Bank's Liquidity Policy specifies the minimum prudential standards for registered banks, addressing the degree of liquidity risk that they take on, and their approach to managing that risk.

Dissemination of statistics that support statistical cross-checks and provide assurance of reasonableness

Summary information on bank funding is published in the Standard Statistical Return monthly (See S tables).

Registered banks are required to publish Disclosure Statements quarterly. Summary information from these statements is reproduced by the Reserve Bank and available on the website.

Last updated December 2014

The definitions below are sourced directly from the Liquidity Policy.

Total funding

Total funding is the sum of all market and non-market funding. See definitions of ‘market' and ‘non-market' in L3.

1-week mismatch ($m)

The one-week mismatch dollar amount as at month end, for the purposes of calculating the one-week mismatch ratio, is calculated as:

One-week mismatch dollar amount =

  • primary liquid assets after accounting for haircuts;
  • plus contractual inflows due within one week;
  • plus 75 per cent of undrawn committed lines granted to the registered bank available within one week, up to a maximum amount from any one provider of 3 per cent of the bank's total funding, and a maximum amount from all providers together of 9 per cent of the bank's total funding;
  • minus 100 per cent of market funding withdrawable at sight or with residual contractual term within one week;
  • minus non-market funding that is withdrawable at sight or with residual contractual term within one week, applying the percentages in Table 1 of the Liquidity Policy, to such funding falling within each size band;
  • minus other contractual outflows due within one week;
  • minus 15 per cent of the undrawn balance of committed lines, other than revolving retail facilities, granted by the bank drawable within one week.

1-month mismatch ($m)

The one-month mismatch dollar amount as at month end, for the purposes of calculating the one-month mismatch ratio is calculated as:

One-month mismatch dollar amount =

  • primary liquid assets after accounting for haircuts;
  • plus secondary liquid assets after accounting for haircuts;
  • plus contractual inflows due within one month;
  • plus 75 per cent of undrawn committed lines granted to the registered bank available within one month, up to a maximum amount from any one provider of 3 per cent of the bank's total funding, and a maximum amount from all providers together of 9 per cent of the bank's total funding;
  • minus 100 per cent of market funding withdrawable at sight or with residual contractual term within one month;
  • minus non-market funding that is withdrawable at sight or with residual contractual term within one month, applying the percentages in Table 1 of the Liquidity Policy, to such funding falling within each size band;
  • minus other contractual outflows due within one month;
  • minus 15 per cent of the undrawn balance of committed lines, other than revolving retail facilities, granted by the bank drawable within one month.

1-week mismatch (%)

The one-week mismatch ratio is calculated as:

One-week mismatch ratio =

  • 100 x (One-week mismatch dollar amount / Total funding)

1-month mismatch (%)

The one-month mismatch ratio is calculated as:

One-month mismatch ratio =

  • 100 x (One-month mismatch dollar amount / Total funding)

The new format for our Excel data files will be rolled out to the Liquidity tables (L1, L2 and L3) on 2 Aug 2017.

The most notable changes in the Excel data files will be:

  • No extra columns, bold numbers, merged cells or any other formatting. This will make it easier for data users to transform the file into other ‘machine friendly’ formats such as .csv.
  • Two extra tabs – ‘Table Description’ and ‘Series Definitions’ that will contain supplementary information about the table and the data.
  • The data tab will have two extra rows: unit and series ID linked to the Series Definitions.

There will be no change to the presentation of summary data in the summary tab.

Symbols and conventions for summary table

0 Value rounded to zero
- Zero or not applicable
.. Not available
bold Revised/new
italics Provisional
light red background Historical

General notes

  • Individual figures may not sum to the totals due to rounding
  • Percentage changes are calculated on unrounded numbers
  • You are free to copy, distribute and adapt these statistics subject to the conditions listed on our copyright page.