Banks: Mismatch ratios (L1)

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

We release data approximately five weeks after the reference month.

Start-date of aggregate statistics

We compile tables L1 and L2 from data required to be reported by registered banks from April 2010, and these are published from that date.

We compile table L3 from data that registered banks are required to report by from March 2011, and it 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 us.

Access by the public

Statistics release calendar

The statistics release calendar provides a long-term plan of scheduled releases. We update and release it on the first working day of the month.

View the statistics release calendar

Integrity

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

We provide this information as a service to the public.

We collect, monitor and analyse the data in undertaking our prudential supervisory functions. These operations involve liaising with and monitoring financial institutions 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. New data, or revised data, are in bold font. Data are deemed provisional when a series is under review. This applies to the summary table only and not Excel files. We generally publish revisions when we are next due to update and release the table. Should we need to make revisions more promptly, we will post a special note. We post any major changes in methodology as a special note.

Quality

Dissemination of documentation on methodology and sources used in preparing statistics

Definitions of series are available in the Series description.

Our 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.

View the Liquidity Policy

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

We publish summary information on bank funding in the Standard Statistical Return monthly (see S tables).

Registered banks are required to publish Disclosure Statements quarterly. We reproduce summary information from these statements.

View the list of registered banks

Last updated December 2014

The definitions below are sourced directly from the Liquidity Policy.

View 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 table 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% of undrawn committed lines granted to the registered bank available within one week, up to a maximum amount from any one provider of 3% of the bank's total funding, and a maximum amount from all providers together of 9% of the bank's total funding
• minus 100% 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% 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% of undrawn committed lines granted to the registered bank available within one month, up to a maximum amount from any one provider of 3% of the bank's total funding, and a maximum amount from all providers together of 9% of the bank's total funding
• minus 100% 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% 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)

Symbols and conventions for summary table

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.