26 January 2018
Email: [FYI request #6954 email]
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.
The Reserve Bank is declining your request, as al owed by section 18(d) of the OIA, because the
information requested wil 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 wil be in
appendices to the article.
2 The Terrace, PO Box 2498, Wellington 6140, New Zealand
Telephone 64 4 472 2029 Online at www.rbnz.govt.nz
The Reserve Bank wil inform you when the article is published.
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.
External Communications Adviser
Ref #7376235 v1.0