Dear B Johnson

The Reserve Bank of New Zealand has received your request, made under the terms of section 12 of the Official Information Act (the OIA), seeking:
the details of what was requested from banks during the most recent stress tests:
- time series of the macroeconomic variables that was provided under each scenario
- commentary relating to the scenarios
- specifics of what data and in what format the banks were required to provide
- details on any sensitivity tests that were required on the underlying macroeconomic variables and the results of these tests
- default rates, loss rates, net interest income, asset growth outcomes under each scenario by asset group (mortgages, agri, business/corporate, cards, other retail) for both phase one and phase two. Please provide the maximum and minimum outcomes together with the aggregated data in order to provide a picture of the variability of outcomes.
- CET1, Tier 2 and total capital ratios under each scenario for both phase 1 and phase 2, pre- and post mitigation. Please provide the maximum and minimum results together with the aggregated in order to provide a picture of the variability of outcomes.
- Details of the actions taken by the banks to mitigate the stress scenario.

Subject to the provisions of the OIA, you will be notified of the outcome of your request as soon as practicable, but not later than 20 working days after the date of receipt.

The Reserve Bank is resourced to meet disclosure obligations for a reasonable level of information requests and generally will not impose charges for small, simple or infrequent requests. However, the OIA allows us to charge for preparing responses to requests and the Reserve Bank believes that requesters should bear some of the costs when requests are made for large amounts of information, where a response to a request is particularly complex, or where individuals or organisations make frequent requests. If our initial assessment of your request finds that the work involved in responding to your request is likely to be chargeable, then the Reserve Bank will contact you to discuss refining the request to a smaller scale or scope that is less likely to involve charges. Further information is available on our website, here www.rbnz.govt.nz/research-and-publicatio...

Regards
Angus Barclay
External Communications Advisor | Reserve Bank of New Zealand | Te Pūtea Matua
2 The Terrace, Wellington 6011 | P O Box 2498, Wellington 6140
DDI +64 4 471 3698 | Mobile +64 27 337 1102
Email: [email address]  | www.rbnz.govt.nz

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Dear B Johnson

 

On 7 December 2017 you made a request via email and pursuant to section 12
of the Official Information Act 1982 (the OIA) asking for:

 

the details of what was requested from banks during the most recent stress
tests:

- time series of the macroeconomic variables that was provided under each
scenario

- commentary relating to the scenarios

- specifics of what data and in what format the banks were required to
provide

- details on any sensitivity tests that were required on the underlying
macroeconomic variables and the results of these tests

- default rates, loss rates, net interest income, asset growth outcomes
under each scenario by asset group (mortgages, agri, business/corporate,
cards, other retail) for both phase one and phase two. Please provide the
maximum and minimum outcomes together with the aggregated data in order to
provide a picture of the variability of outcomes.

- CET1, Tier 2 and total capital ratios under each scenario for both phase
1 and phase 2, pre- and post mitigation. Please provide the maximum and
minimum results together with the aggregated in order to provide a picture
of the variability of outcomes.

- Details of the actions taken by the banks to mitigate the stress
scenario.

 

Decision

 

The Reserve Bank is declining your request, as allowed by section 18(d) of
the OIA, because the information requested will soon be publicly
available. The Reserve Bank intends to publish an article soon about
stress testing of banks. We anticipate publishing in March. Most of the
information you’re seeking will be included in the substance of that
article, and some will be in appendices to the article.

 

The Reserve Bank will inform you when the article is published.

 

Other matters

 

Under section 28 of the OIA, you have the right to seek a review of the
Reserve Bank’s decisions in relation to your request.

 

Regards

Angus Barclay

External Communications Advisor | Reserve Bank of New Zealand | Te Pûtea
Matua

2 The Terrace, Wellington 6011 | P O Box 2498, Wellington 6140

DDI +64 4 471 3698 | Mobile +64 27 337 1102

Email: [1][email address]  | [2]www.rbnz.govt.nz

 

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"This message (and any files transmitted with it) are confidential and
may be legally privileged. If you are not the intended recipient please
notify the sender immediately and delete this message from your system.

This message does not necessarily reflect the views of the
Reserve Bank of New Zealand. If the recipient has any concerns about
the content of this message they should seek alternative confirmation
from the Reserve Bank of New Zealand."

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