Capital Planning & Stress Testing Policy¶
| Code | CLQ-003 |
| Domain | Capital & Liquidity |
| Owner | Chief Risk Officer |
| Status | Draft |
| Applicability | Platform |
| Jurisdiction | NZ + AU |
| Business domain | BD08 |
| Review date | 2027-03-25 |
Regulations: APS 110 Capital Adequacy · Basel III / Basel IV — Capital and Liquidity Framework · RBNZ BS3B/BS3C Disclosure¶
Purpose¶
Govern the capital planning cycle, stress testing programme, recovery plan capital triggers, and ICAAP forward capital projection. Ensures that capital resources are projected and stress-tested across a range of adverse scenarios and that management actions are identified to restore capital adequacy under stress.
Scope¶
The annual capital plan, all regulatory and internal stress tests, the ICAAP document's forward capital section, and the recovery plan's capital trigger and escalation framework. Covers NZ and AU operations.
Policy statements¶
The platform SHALL maintain a capital plan covering a minimum 3-year forward projection, updated annually in conjunction with the business planning cycle and whenever a material event occurs that affects the capital outlook.
The capital plan SHALL incorporate the results of the stress testing programme, the ICAAP capital assessment, and the identified management actions available to restore capital under stress.
The platform SHALL run a stress testing programme covering at minimum the following scenarios: a severe domestic economic downturn, a credit risk shock (elevated default rates and LGD), a combined credit and liquidity stress, and an idiosyncratic scenario specific to the platform's business model. The Board Risk Committee SHALL approve the stress scenarios annually.
All stress test calculations SHALL be performed using the governed Snowflake risk engine (MOD-034). Manual stress test calculations are prohibited for scenarios submitted to regulators, the Board, or included in the ICAAP.
Stress test results SHALL be presented to the Board Risk Committee and used to calibrate the management buffer above regulatory capital minimums. Where stress results indicate projected capital falling below regulatory minimums, a management actions plan SHALL be prepared, documented, and reviewed by the Board.
The capital plan SHALL identify all material capital actions (new issuances, instrument redemptions, distributions) over the projection horizon and assess their impact on projected ratios under both base case and stress scenarios.
Recovery plan capital triggers SHALL be defined in the recovery plan and linked to the capital ratio monitoring in MOD-033. A breach of a recovery plan capital trigger SHALL activate the recovery plan process.
The ICAAP document SHALL be completed annually, reviewed by the Board, and submitted to RBNZ and APRA within the timeframe specified in the applicable prudential standard.
All stress test outputs, capital plan documents, Board approval records, and ICAAP submissions SHALL be retained for 7 years.
Satisfying modules¶
| Module | Name | Mode | Description |
|---|---|---|---|
| MOD-034 | Stress testing scenario engine | CALC |
Stress test outputs documented and auditable — scenario inputs, model version, and results all logged |
| MOD-086 | Funds transfer pricing engine | CALC |
The TP rate grid encodes the liquidity premium charged to each tenor bucket — the FTP engine ensures every product price embeds the cost of holding that liquidity position. |
| MOD-161 | Transfer pricing | CALC |
treasury.tp_rates retains a full version history with effective date, curve source version, and liquidity premium basis points — providing the immutable Postgres audit trail required for capital stress scenario reconstruction under RBNZ and APRA review. |
Part of Capital & Liquidity · Governance overview
Compiled 2026-05-22 from source/entities/policies/CLQ-003.yaml