RBNZ Banking Supervision Handbook: BS17 Open Bank Resolution Pre-Positioning¶


Regulator	Reserve Bank of NZ
Jurisdiction	NZ
Status	live
Applicability	Platform

BS17 is the RBNZ Banking Supervision Handbook standard governing interest rate risk in the banking book (IRRBB) for registered banks. It requires banks to measure and manage the risk that changes in market interest rates will adversely affect the economic value of equity (EVE) or net interest income (NII) from their banking book positions.

Key measurement requirements include: applying a parallel upward and downward 200 basis point interest rate shock to the banking book; running twist scenarios (short-rate up / long-rate down, and vice versa); computing the resulting change in EVE as a percentage of Tier 1 capital; and measuring NII sensitivity over a 12-month horizon. Banks must report these metrics to the RBNZ and disclose them in quarterly disclosure statements.

BS17 is being superseded by the DTA IRRBB Standard, which introduces additional scenario requirements and aligns with the Basel Committee on Banking Supervision's IRRBB framework. Until the DTA standard takes effect, BS17 remains the operative IRRBB requirement for registered banks.

Compliance register¶

This register maps every material obligation under BS17 to the platform control or institutional process that satisfies it. It is the static traceability layer for the Totara compliance report — dynamic data (module build status, test evidence, control test dates) is overlaid at runtime.

Scope legend¶

Symbol	Meaning
🤖 Automated	Platform enforces or performs the obligation. Primary control mode is GATE, AUTO, CALC, or ALERT. Human action is not required in the normal case.
📊 Evidenced	Platform captures the evidence trail automatically. Human compliance decision sits on top. Primary control mode is LOG.
🏛 Institutional	Obligation is met by a process entirely outside the platform — ALCO, treasury, board governance. Platform may generate evidence inputs but does not own the process.
N/A	Obligation does not apply to this deployment configuration.

Build legend¶

Symbol	Meaning
✅	Module built and deployed
🔨	Module planned — not yet built (`build_status: Not started`)
❌	Uncontrolled gap — no module attributed

EVE measurement¶

Ref	Obligation	Scope	Policy	Platform controls	Build
BS17 §4	Apply parallel +200bps interest rate shock to the banking book and compute resulting change in EVE	🤖 Automated	CLQ-004	MOD-035 (CALC) — +200bps parallel shock scenario applied to all rate-sensitive banking book positions using current swap and OIS curves from MOD-085; EVE change computed continuously, not as a quarterly exercise	🔨
BS17 §4	Apply parallel −200bps interest rate shock to the banking book and compute resulting change in EVE	🤖 Automated	CLQ-004	MOD-035 (CALC) — −200bps parallel shock scenario run in the same engine pass as the upward shock; floor applied where rates would go negative per BS17 specification	🔨
BS17 §4	Apply twist scenarios — short rates up/long rates down and vice versa — and compute EVE change	🤖 Automated	CLQ-004	MOD-035 (CALC) — twist scenario configurations loaded from regulatory parameter set; all scenarios run simultaneously using the same balance sheet data	🔨
BS17 §5	Express EVE change as a percentage of Tier 1 capital and compare against internal limit	🤖 Automated	CLQ-004	MOD-035 (CALC) — Tier 1 capital sourced from MOD-033; EVE/Tier 1 ratio computed automatically; MOD-035 (ALERT) — ALERT fires when EVE sensitivity breaches the internal limit, routing to ALCO and CRO	🔨

NII sensitivity¶

Ref	Obligation	Scope	Policy	Platform controls	Build
BS17 §6	Compute NII sensitivity over a 12-month horizon under the prescribed rate shock scenarios	🤖 Automated	CLQ-004	MOD-035 (CALC) — NII sensitivity computed over the 12-month horizon using repricing schedules for all rate-sensitive assets and liabilities; no manual modelling	🔨
BS17 §6	Model assumptions for non-maturity deposits (NMDs) and prepayment behaviour — document and validate regularly	📊 Evidenced	CLQ-004	MOD-035 (CALC) — NMD and prepayment model parameters configured with version control; assumption changes logged with effective date and modeller identity. Model validation decision is institutional.	🔨
BS17 §6	Separate pipeline and core deposit behavioural assumptions from contractual repricing	🤖 Automated	CLQ-004	MOD-035 (CALC) — behavioural assumption layer applied on top of contractual cash flows; assumptions are configuration-managed separately from the scenario engine	🔨

Banking book position management¶

Ref	Obligation	Scope	Policy	Platform controls	Build
BS17 §7	Maintain IRRBB exposure within board-approved limits — EVE sensitivity and NII sensitivity	🤖 Automated	CLQ-004	MOD-035 (ALERT) — continuous monitoring; ALERT fires before internal limit is breached; ALCO escalation path configured in alert routing	🔨
BS17 §7	ALCO oversight of banking book interest rate risk — review IRRBB metrics at each ALCO meeting	🏛 Institutional	CLQ-004	MOD-035 and MOD-150 provide the IRRBB metrics for ALCO. ALCO meeting cadence and decision-making are institutional.	—
BS17 §8	Hedging strategy for banking book IRRBB — use of interest rate swaps or other instruments to manage EVE sensitivity	🏛 Institutional	CLQ-004	Hedging strategy is approved by ALCO and executed by treasury. MOD-082 (CALC) — nostro and FX treasury module captures swap positions; MOD-035 (CALC) — hedge effectiveness reflected in EVE calculation.	🔨

Reporting and disclosure¶

Ref	Obligation	Scope	Policy	Platform controls	Build
BS17 §9	Report IRRBB metrics (EVE change, NII sensitivity) to RBNZ on the prescribed schedule	🤖 Automated	CLQ-004	MOD-036 (AUTO) — RBNZ BS IRRBB return populated from MOD-035 output; consistent with internal ALCO reporting figures	🔨
BS17 §9	Disclose IRRBB metrics in quarterly disclosure statements (BS3B/BS3C)	🤖 Automated	CLQ-004	MOD-036 (AUTO) — IRRBB disclosure tables populated from MOD-035 via the return data pipeline	🔨

ALCO and board governance¶

Ref	Obligation	Scope	Policy	Platform controls	Build
BS17 §10	Board approval of IRRBB risk appetite and limits	🏛 Institutional	CLQ-004	IRRBB limits are configured in MOD-035. Board approval of the risk appetite and limit values is institutional.	—
BS17 §10	Annual review of IRRBB model assumptions and validation	🏛 Institutional	CLQ-004	MOD-035 provides the assumption log and model version history for the validation review. Validation execution and sign-off is institutional (CRO / Model Risk).	—

Institutional obligations (not platform scope)¶

Obligation	Owner	Platform evidence input
ALCO review of IRRBB metrics — each ALCO meeting	ALCO / CRO	MOD-035 provides live EVE sensitivity, NII sensitivity, and limit utilisation
Board approval of IRRBB risk appetite and EVE limits	Board / ALCO	MOD-035 provides the metrics; limit configuration requires board sign-off
Hedging strategy design and execution	Head of Treasury / ALCO	MOD-035 provides hedge effectiveness metrics; MOD-082 captures swap positions
Model validation — NMD and prepayment assumptions	CRO / Model Risk Committee	MOD-035 provides the model version log and assumption history
External auditor review of IRRBB disclosure	External Auditor	MOD-036 provides data lineage; MOD-035 provides the calculation audit trail

Coverage summary¶

Area	Total obligations	Platform automated 🤖	Platform evidenced 📊	Institutional 🏛	N/A
EVE measurement	4	4	0	0	0
NII sensitivity	3	2	1	0	0
Banking book management	3	1	0	2	0
Reporting and disclosure	2	2	0	0	0
ALCO and board governance	2	0	0	2	0
Total	14	9 (64%)	1 (7%)	4 (29%)	0 (0%)

All attributed modules are currently build_status: Not started. The DTA IRRBB Standard supersedes BS17 — see nz-dta-irrbb for the forward obligation register.

Policy	Title
CLQ-004	Interest Rate Risk in the Banking Book (IRRBB) Policy

See D01 Capital & Liquidity for the full risk domain.

Official documentation¶

Policies referencing this standard¶

(None yet)

Compiled 2026-05-22 from source/entities/regulations/nz-bs17.yaml