RBNZ Banking Supervision Handbook: BS2A and BS2B Capital Adequacy Framework
|
|
| Regulator |
Reserve Bank of NZ |
| Jurisdiction |
NZ |
| Status |
live |
| Applicability |
Platform |
BS2A and BS2B are the RBNZ Banking Supervision Handbook standards governing market risk capital
for registered banks. BS2A covers the standardised measurement approach for trading book risk,
including interest rate risk, FX risk, equity risk, and commodity risk. BS2B provides the
framework for banks accredited to use internal model approaches (IMA), available only to those
banks with RBNZ approval.
Market risk capital obligations under BS2A/BS2B cover the trading book. Interest rate risk in
the banking book is addressed separately by BS17, which is being superseded by the
DTA IRRBB Standard.
BS2A/BS2B are being superseded by the DTA Capital Standard, which takes effect 1 December 2028
and replaces the entire capital adequacy framework including market risk. Until that date, BS2A
and BS2B remain operative for registered banks with trading books.
Compliance register
This register maps every material obligation under BS2A/BS2B 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 — treasury, ALCO, 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 |
BS2A — Standardised approach: trading book capital
| Ref |
Obligation |
Scope |
Policy |
Platform controls |
Build |
| BS2A §3 |
Calculate capital charge for interest rate risk in the trading book — specific and general risk |
🤖 Automated |
CRE-001 |
MOD-035 (CALC) — market risk engine computes interest rate position risk charges under the standardised approach continuously |
🔨 |
| BS2A §4 |
Calculate capital charge for FX risk — net open position across all currencies |
🤖 Automated |
CRE-001 |
MOD-035 (CALC) — FX net open positions calculated across all currency books; capital charge applied at prescribed rate |
🔨 |
| BS2A §5 |
Calculate capital charge for equity risk in the trading book |
N/A |
— |
Totara Bank does not hold trading book equity positions. This obligation is not applicable to the current deployment configuration. |
— |
| BS2A §6 |
Calculate capital charge for commodity risk |
N/A |
— |
Totara Bank does not hold commodity positions. This obligation is not applicable to the current deployment configuration. |
— |
| BS2A §7 |
Apply prescribed risk weights and netting rules to arrive at total market risk RWA |
🤖 Automated |
CRE-001 |
MOD-035 (CALC) — total market risk capital charge aggregated and fed to MOD-033 for inclusion in total RWA |
🔨 |
| BS2A §8 |
Maintain trading book positions within approved limits; report limit breaches |
🤖 Automated |
CRE-001, CRE-005 |
MOD-035 (ALERT) — trading book limit breaches detected and alerted automatically; no reliance on manual end-of-day review |
🔨 |
BS2B — Internal model approach (IMA)
| Ref |
Obligation |
Scope |
Policy |
Platform controls |
Build |
| BS2B §3 |
Obtain RBNZ accreditation before using IMA for market risk capital |
N/A |
— |
Totara Bank will use the standardised approach under BS2A. IMA accreditation is not part of the current programme. |
— |
| BS2B §4 |
Maintain an approved internal market risk model with documented assumptions, validation, and back-testing |
N/A |
— |
Not applicable — standardised approach only. |
— |
| BS2B §5 |
Report VaR / stressed-VaR figures daily; trigger multiplier adjustment if back-test exceptions exceed threshold |
N/A |
— |
Not applicable — standardised approach only. |
— |
Market risk reporting and disclosure
| Ref |
Obligation |
Scope |
Policy |
Platform controls |
Build |
| BS2A §9 |
Report market risk capital charges to RBNZ in the prescribed prudential return |
🤖 Automated |
CRE-001 |
MOD-036 (AUTO) — RBNZ BS return populated with market risk capital charge from MOD-035 output; no separate manual extraction |
🔨 |
| BS2A §9 |
Disclose market risk capital information in quarterly disclosure statements |
🤖 Automated |
CRE-001 |
MOD-036 (AUTO) — disclosure figures sourced from MOD-035 via the same return data pipeline |
🔨 |
Relationship to banking book IRRBB
Interest rate risk in the banking book (IRRBB) is governed by BS17 and its successor the
DTA IRRBB Standard. MOD-035 computes both trading book market risk
(under BS2A) and banking book IRRBB metrics (under BS17 / DTA IRRBB), using shared
interest rate scenario infrastructure. See nz-bs17 for the banking book
obligation register.
| Obligation |
Owner |
Platform evidence input |
| ALCO approval of trading book limits and market risk appetite |
ALCO / Board |
MOD-035 provides live limit utilisation and breach alerts |
| Annual review of market risk methodology |
CRO / Head of Treasury |
MOD-035 model version and assumption documentation |
| External audit of market risk capital disclosure |
External Auditor |
MOD-036 provides data lineage from positions to return |
Coverage summary
| Area |
Total obligations |
Platform automated 🤖 |
Platform evidenced 📊 |
Institutional 🏛 |
N/A |
| Standardised approach — calculation |
6 |
4 |
0 |
0 |
2 |
| Internal model approach |
3 |
0 |
0 |
0 |
3 |
| Reporting and disclosure |
2 |
2 |
0 |
0 |
0 |
| Total |
11 |
6 (55%) |
0 (0%) |
0 (0%) |
5 (45%) |
All attributed modules are currently build_status: Not started. The DTA Capital Standard
(effective 1 December 2028) supersedes BS2A/BS2B — see nz-dta-capital for
the forward obligation register.
| Policy |
Title |
| CRE-001 |
Credit Risk Management Policy |
| CRE-005 |
Concentration Risk Policy |
See D02 Credit Risk for the full risk domain.
Official documentation
Policies referencing this standard
- CRE-001 — Credit Risk Management Policy
- CRE-005 — Concentration Risk Policy
- DT-005 — Model Risk Management Policy
- DT-013 — Model Validation & Audit Policy
Compiled 2026-05-22 from source/entities/regulations/nz-bs2a-bs2b.yaml