2013年-IMF国际货币组织全球_New_Zealand_Banks’_Vulnerabilities_and_Capital_Adequacy_23页_1mb

Summary of New Zealand Banks' Vulnerabilities and Capital Adequacy

Core Content

This working paper by Byung Kyoon Jang and Masahiko Kataoka analyzes the vulnerabilities and capital adequacy of New Zealand banks in the context of the global financial crisis. It highlights the impact of New Zealand's conservative implementation of the Basel II framework on their capital ratios and assesses their resilience to shocks in residential mortgages and corporate lending.

Main Points

New Zealand Banking Sector Overview

• The New Zealand banking sector is dominated by four large Australian-owned banks, which account for nearly 90% of total banking sector assets and about 95% of the residential mortgage market.
• These banks have shown resilience to recent global financial market turbulence.
• Their combined assets are close to 160% of GDP, indicating a high concentration in the sector.
• Bank profits are strong, and nonperforming loans are less than 2% of total loans, which is low by advanced country standards.

Capital Adequacy and Regulatory Approach

• New Zealand banks have headline capital ratios below the global average for large banks in advanced and emerging market economies.
• The conservative approach in Basel II implementation, particularly in loss given default (LGD) and probability of default (PD), leads to higher risk-weighted assets and thus lower headline capital ratios.
• The Reserve Bank of New Zealand (RBNZ) requires higher LGD and PD for residential mortgages compared to other countries, resulting in higher capital requirements.
• The capital quality is high, with a significant portion being tangible common equity (TCE), which is reflected in higher TCE ratios compared to Tier 1 and total capital ratios.

Vulnerabilities

• High exposure to residential mortgages and the agriculture sector.
• High household debt, exceeding 140% of disposable income.
• A large portion of residential mortgages are at high risk due to overvaluation and potential sharp declines in house prices.
• Banks have significant short-term offshore funding needs, which increase their vulnerability to global financial market disruptions.

Stress Test Results

• The four large New Zealand banks can withstand sizable stand-alone shocks to residential mortgages or corporate lending.
• However, combined shocks to both sectors would significantly pressure their capital.
• The paper suggests that higher minimum capital requirements for systemically important banks could be beneficial, especially given the high concentration of the banking sector and large offshore funding needs.

Key Figures and Tables

• Figure 1: Shows that New Zealand's total capital ratio is below the average of 30 advanced countries.
• Figure 2: Highlights the market share of the four largest banks in New Zealand.
• Figure 3 and 4: Illustrate the Tier 1 capital ratio and risk weight for the four large banks.
• Figure 5 and 6: Compare the combined assets of the four largest banks to GDP and total banking sector assets in selected countries.
• Figure 7 and 8: Display the composition of bank assets and household debt.
• Figure 9 and 10: Show central bank balance sheet sizes and government guaranteed debt.
• Figure 11: Indicates the level of short-term external debt in New Zealand.
• Figure 12: Reflects the loan-to-deposit ratios.
• Figure 13 and 14: Compare capital adequacy ratios across countries.
• Figure 15 and 16: Highlight the TCE to risk-weighted assets and TCE to tangible assets ratios.
• Figure 17: Compares nonperforming housing loan ratios in New Zealand, Australia, and Canada.
• Figure 18 and 19: Show the impact of LGD and PD on capital ratios.
• Figure 20 and 21: Compare the PD range and average risk weights for residential mortgages across countries.
• Table 1: Provides financial soundness indicators for the four large banks in New Zealand.
• Table 2: Lists the risk weights for residential mortgages under Basel II in New Zealand and Australia.
• Table 3: Shows the impact of different LGD assumptions on capital adequacy ratios.
• Table 4: Compares the impact of different risk weights on capital ratios.
• Table 5: Details ANZ's credit risk exposure for residential mortgages and other lending categories.

Conclusion

The paper concludes that while New Zealand banks have strong capital buffers and are resilient to individual shocks, their conservative Basel II implementation and high exposure to certain sectors make them vulnerable to combined shocks. It recommends considering higher minimum capital requirements for systemically important banks to enhance loss absorbency and financial stability, especially in times of market uncertainty.