Internal Capital Adequacy Assessment Process (ICAAP) Policy¶


Code	`CLQ-005`
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 · DTA Capital Standard · Basel III / Basel IV — Capital and Liquidity Framework ¶

Purpose¶

Govern the Internal Capital Adequacy Assessment Process (ICAAP). Defines the framework for assessing the platform's overall capital adequacy relative to all material risks — including those not fully captured in Pillar 1 — and for demonstrating to RBNZ and APRA that capital is adequate to support current and planned activities under both base case and stress conditions.

Scope¶

The annual ICAAP document, all Pillar 2 risk assessments, stress-tested capital projections, and the submission of the ICAAP to RBNZ and APRA. Covers all material risks faced by the NZ banking entity and AU operations.

Policy statements¶

The platform SHALL produce an ICAAP document at least annually. The ICAAP SHALL cover all material Pillar 2 risks including at minimum: credit risk concentration, IRRBB, operational risk, liquidity risk, strategic and business risk, reputational risk, and any residual risks not fully captured in the Pillar 1 minimum capital calculation.

The ICAAP SHALL be reviewed and approved by the Board before submission to RBNZ or APRA. The Board approval SHALL confirm that management has identified all material risks, the capital assessment methodology is sound, and the capital outcome is adequate.

The ICAAP capital requirement — the total internal capital requirement covering Pillar 1 and Pillar 2 risks — SHALL be compared against available capital resources. Where the ICAAP capital requirement exceeds available capital, a capital remediation plan SHALL be activated immediately and presented to the Board.

All quantitative capital assessments in the ICAAP SHALL use outputs from the governed risk engines (MOD-033 for capital ratios and RWA; MOD-034 for stress testing; MOD-035 for IRRBB). Manual risk weight assessments or stress calculations used in the ICAAP submission are prohibited.

Stress test results used in the ICAAP SHALL be sourced from the stress testing programme governed by CAP-003.

The ICAAP SHALL explicitly document the methodologies used for each Pillar 2 risk assessment, the assumptions applied, and the sensitivity of the capital outcome to key assumptions.

The CRO SHALL own the ICAAP risk assessment process. The CFO SHALL own the capital supply projection. Both SHALL sign off the ICAAP before Board presentation.

The ICAAP document SHALL be submitted to RBNZ and APRA within the timeframe required by the applicable prudential standard. Where a regulator provides feedback on the ICAAP, the platform SHALL respond within the required timeframe and update the ICAAP as directed.

The ICAAP process, including risk identification, methodology, and outcomes, SHALL be subject to periodic internal audit review per GOV-006.

All ICAAP documents, supporting data packs, Board approval records, and regulatory submissions SHALL be retained for 7 years.

Satisfying modules¶

Module	Name	Mode	Description
MOD-034	Stress testing scenario engine	`CALC`	ICAAP stress test section populated from engine output — no manually assembled spreadsheet

Part of Capital & Liquidity · Governance overview Compiled 2026-05-22 from source/entities/policies/CLQ-005.yaml