The Government has a new security agency to focus on national and foreign security risks.

One News last night reported that the Wellington-based External Assessments Bureau - with 30 staff and an annual budget of about $3.5 million - had changed its name to the National Assessments Bureau. It will no longer be focused solely on foreign security risks, but will now also focus on national threats.

Prime Minister John Key said concerns around next year's Rugby World Cup was one reason for the change.

The change came after a review of security services by former Foreign Affairs chief Simon Murdoch, but the Government has declined a request to release that report.

It is understood the review found the security services - the Government Communications Security Bureau, which intercepts electronic data, the Security Intelligence Service and the External Assessments Bureau - were too fragmented and did not operate together as efficiently as they could.

Green MP Keith Locke told One News that it was shocking that such a large security change had gone ahead without public notification or consultation.

He said: "We are setting up a whole new spy agency, duplicating the work of the SIS and the police, and we don't know anything about it. It's just unacceptable in a democracy."