Information release: Capital Review proposals

The Reserve Bank has released papers that were used as inputs into the Capital Review Paper 4: How much capital is enough? (PDF 545KB) proposals, following requests under the Official Information Act 1982. An additional document was added Explanatory note on portfolio risk modelling in the New Zealand context (PDF 393KB), which provides more details on the Reserve Bank’s modelling approach in estimating the desired level of capital for New Zealand.

The Reserve Bank invites submissions on the Capital Review Paper 4 Consultation by 5 pm on 3 May 2019.

Date Document Description Redactions

14 Mar 2016

A monkey on our back? (PDF 527KB)

An information paper on the evolution of NZ prudential framework (incl. capital adequacy framework), and the trade-offs between the nature of prudential framework, supervisory approach, and RBNZ’s level of resourcing

None

18 May 2016

Capital Review: components and timelines (PDF 329KB)

An information paper on the scope of the Capital Review (background, problem definition, and timeline)

None

30 Aug 2016

Modelling the costs and benefits of higher capital ratios (PDF 1.1MB)

An internal write-up on modelling the costs and benefits of higher capital ratios

None

7 Sep 2016

Three papers on the level of bank capital (PDF 285KB)

An information paper summarising the content of three Capital Review background papers

None

7 Sep 2016

Literature review of optimal levels of bank capital (PDF 842KB)

An information paper that summarises literature findings on the relationship between bank capital, lending costs, output, and optimal capital ratios

None

7 Sep 2016

Capital review: current standard and international comparisons (PDF 175KB)

An information paper that compares capital levels of NZ banks against international peers, and discusses the limitations of international comparisons of capital adequacy

Information withheld on the grounds of Reserve Bank of New Zealand Act 1989 (RBNZ) s105

12 Sep 2016

An updated version of the Harrison model for calculating a bank capital ratio (corrected) (PDF 556KB)

An information paper that evaluates the costs and benefits of higher capital ratios

None

19 Sep 2016

A model to calculate the net benefits of changing bank capital requirements (PDF 365KB)

An internal write-up on modelling the net benefits of changing bank capital requirements

None

2 Nov 2016

Capital Review Principles (PDF 244KB)

A decision paper on the principles to apply in reviewing NZ’s capital adequacy framework

Information withheld on the grounds of Official Information Act 1982 (OIA) s6(a)

7 Mar 2017

Speech: Review of bank capital requirements

A speech delivered to NZBA that details the scope of the Capital Review

None

15 May 2017 PSD: Monkeys, FSAPs, Philosophy and Resourcing. A tractable approach to a complex process (PDF 68KB)
An information paper that discusses the Reserve Bank’s preferred approach to regulation and supervision, and the resulting resource implications
None

19 May 2017

The countercyclical capital buffer strategy (PDF 772KB)

An information paper that discusses different approaches to setting the countercyclical capital buffer

None

2 Aug 2017

Speech: Banking regulation: Where to from here?

A speech delivered to KangaNews NZ Debt Capital Markets Summit which provides an update on the Capital Review

None

28 Aug 2017

Implications of stress tests for calibration of capital requirements (PDF 252KB)

An information paper that discusses the limitations of stress tests and implications for system capital requirements

Information withheld on the grounds of RBNZ s105

12 Sep 2017

Next steps for the definition of capital (PDF 356KB)

A decision paper that discusses the next steps for changing the definition of capital in the framework

Information withheld on the grounds of RBNZ s105

4 Nov 2017

What's the use of the countercyclical capital buffer? (PDF 975KB)

An information paper that argues for an ‘early’ strategy for setting the countercyclical capital buffer

None

17 Nov 2017

Next steps for the capital definition (PDF 123KB)

A decision paper that recommends in-principle decisions on changing the definition of capital

Information withheld on the grounds of RBNZ s105

17 Nov 2017

The role of preference shares in the capital regime (PDF 704KB)

A decision paper that recommends treatment of preference shares in the capital framework

None

20 Nov 2017

A common equity instrument for mutual society banks (PDF 171KB)

A decision paper that argues for development of a common equity capital instrument for mutual societies

Information withheld on the grounds of RBNZ s105

28 Nov 2017

Requiring banks to list shares locally (PDF 833KB)

A decision paper that discusses the merits of requiring banks to partially list shares in NZ for financial stability reasons and to facilitate capital market development

None

6 Dec 2017

International comparison of capital ratios (PwC report) (PDF 140KB)

An information paper that discusses the findings of PwC’s comparison of NZ banks’ capital adequacy compared to international peers

Information withheld on the grounds of RBNZ s105

8 May 2018

2017 PwC (NZ) study (PDF 246KB)

An information paper that contains more details of the RBNZ assessment of the PwC report

Information withheld on the grounds of RBNZ s105

19 Jun 2018

Bringing the components of the Capital Review together (PDF 293KB)

A decision paper that argues for additional constraints on internal capital models and proposes a framework for calibrating capital requirements

Information withheld on the grounds of RBNZ s105

19 Jun 2018

In-principle decisions on the denominator framework (PDF 1.3MB)

A decision paper that recommends changes to the risk-weighted assets framework

None

19 Jun 2018

Capital Review (PDF 1.6MB)

A presentation that accompanies two decision papers on changes to the risk-weighted assets framework

None

24 Jul 2018

Capital Review: Quantitative Impact Study (91KB)

An information paper that discusses the scope and timeline of the Quantitative Impact Study

Information withheld on the grounds of RBNZ s105

25 Jul 2018

Background notes on Capital Review (PDF 275KB)

An internal memo for the Governor that provides background information on the Capital Review

None

24 Aug 2018

Inclusion of leverage ratio requirements in Ratio Paper (PDF 404KB)

A decision paper that argues for leverage ratio disclosure and minimum requirements

Information withheld on the grounds of RBNZ s105

24 Aug 2018

Leverage Ratio in the Capital Review (PDF 1MB)

A presentation that accompanies a decision paper on Leverage Ratio

Information withheld on the grounds of RBNZ s105

27 Sep 2018

Capital Disclosure (PDF 494KB)

An information paper that summarises APRA’s proposals regarding ‘internationally harmonised’ capital ratios

Information withheld on the grounds of OIA s9(2)(ba)(ii)

27 Sep 2018

APRA’s Capital Disclosure (PDF 568KB)

A presentation that accompanies an information paper on APRA’s Capital Disclosure proposals

None

11 Oct 2018

Total Loss Absorbing Capacity (‘TLAC’) (PDF 165KB)

A decision paper that argues against the adoption of TLAC policy

Information withheld on the grounds of OIA s6(a)

19 Oct 2018

Design options for an output floor for IRB banks (PDF 175KB)

A decision paper that argues for the design of output floor and retention of scalar

Information withheld on the grounds of RBNZ s105

19 Oct 2018

The use of buffers in the Capital Review (PDF 189KB)

A presentation that discusses the role of capital buffers

Information withheld on the grounds of OIA s6(a)

7 Nov 2018

Capital requirements for sovereign, bank and externally rated corporate exposures in the IRB approach (PDF 86KB)

A decision paper that argues for the capital treatment of sovereign, bank, and externally rated corporate exposures in the IRB approach

Information withheld on the grounds of OIA s9(2)(ba)(i) and RBNZ s105

 

7 Nov 2018

Setting an output floor for the IRB approach (PDF 193KB)

A presentation that argues for increasing the scalar used in the IRB approach

Information withheld on the grounds of RBNZ s105

7 Nov 2018

Role of buffers in capital framework (PDF 248KB)

A decision paper that argues for increasing the size of capital buffers over increasing minimum capital requirements

Information withheld on the grounds of OIA s9(2)(ba)

7 Nov 2018

Risk Appetite framework used to set capital requirements (PDF 425KB)

A decision paper that recommends the use of risk appetite framework as input for calibrating capital ratios

None

7 Nov 2018

The Risk Appetite Framework: A framework for setting capital requirements (PDF 180KB)

A presentation that accompanies a decision paper on the risk appetite framework

Information withheld on the grounds of RBNZ s105

7 Nov 2018

Role of the countercyclical capital buffer in the capital framework (PDF 400KB)

A decision paper that recommends an ‘early strategy’ for setting countercyclical capital buffer

None

13 Nov 2018

Speech: Financial stability – ‘risky, safe, or just right?’

A speech delivered to UBS Australasia Conference that introduces the concept of risk appetite framework

None

20 Nov 2018

Capital Ratio calibration (PDF 1.1MB)

A decision paper that recommends a range of target Tier 1 capital ratio

None

20 Nov 2018

Setting the capital ratio (PDF 666KB)

A presentation that accompanies a decision paper on capital ratio calibration

None

30 Nov 2018

Speech: Higher capital better for banking system and New Zealand

Notes from an address delivered to Business NZ CEO Forum that argues for higher capital requirements

None

5 Dec 2018

Capital buffering (PDF 713KB)

A presentation that recommends the composition of the prudential capital buffer

None

5 Dec 2018

Calibration of Leverage Ratio (PDF 137KB)

A decision paper that recommends the calibration of minimum leverage ratio requirements

Information withheld on the grounds of RBNZ s105

5 Dec 2018

Capital ratio consultation (PDF 416KB)

A presentation that seeks decisions on outstanding issues in the Capital Review

Information withheld on the grounds of RBNZ s105

10 Jan 2019 Letter in response to news article (PDF 360KB)
Correspondence on Capital Review commentary Information withheld on the grounds of OIA s9(2)(a)

25 Jan 2019

Explanatory note on portfolio risk modelling in the New Zealand Context (PDF 393KB)

A note that provides context on VaR modelling

None

3 Apr 2019 Background paper (PDF 1.32MB) An outline of the analysis supporting the risk appetite framework None