NZ: DTA IRRBB Standard (superseded — incorporated into Capital Standard)
|
|
| Regulator |
RBNZ |
| Jurisdiction |
NZ |
| Status |
superseded |
| Applicability |
Platform |
SUPERSEDED. The IRRBB Standard has been incorporated into the Deposit Takers (Capital) Standard 2027 (Tranche 3) as a Pillar 1 capital requirement. IRRBB is no longer a separate non-core standard. It applies to all locally-incorporated deposit takers (NZ-G1, NZ-G2, NZ-G3) with proportionate methodology requirements by group. This page is retained for historical reference. The binding obligation is now tracked under nz-dta-capital.
Draft standard under the Deposit Takers Act 2023, replacing BS16. It will require deposit takers
to measure and manage interest rate risk in the banking book (IRRBB) using Economic Value of
Equity (EVE) and Net Interest Income (NII) sensitivity metrics. Aligns with the Basel Committee
on Banking Supervision IRRBB standards (2016).
This register covers proposed obligations based on the exposure draft. All attributed controls
are contingent on the final standard. Mark any pre-emptive compliance work as contingent until
the standard is finalised.
Compliance register
This register maps every material obligation under the draft standard to the platform control or
institutional process that is expected to satisfy it. Controls marked are contingent on the
final standard.
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 — board governance, ALCO, legal. 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 and NII measurement
| Ref |
Obligation (proposed) |
Scope |
Policy |
Platform controls |
Build |
| EVE sensitivity |
Measure and report Economic Value of Equity sensitivity to prescribed interest rate shock scenarios (parallel up/down, steepener, flattener, short rate shock) |
🤖 Automated |
CLQ-004, REP-002 |
MOD-035 (CALC) — IRRBB metrics computed from live balance sheet positions; not a quarterly exercise; interest rate shock scenarios run from current swap and OIS curves ingested from market rates |
🔨 |
| NII sensitivity |
Measure and report Net Interest Income sensitivity over a 12-month horizon under prescribed rate scenarios |
🤖 Automated |
CLQ-004, REP-002 |
MOD-035 (CALC) — NII sensitivity computed from live rate-sensitive balance sheet data alongside EVE; both metrics produced in the same calculation pipeline |
🔨 |
| EVE limit breach |
Escalate to RBNZ if ΔEVE exceeds prescribed percentage of Tier 1 capital (outlier test) |
🤖 Automated |
CLQ-004, GOV-002 |
MOD-035 (ALERT) — EVE sensitivity breach of limit triggers automatic alert to ALCO and CRO; breach threshold is a configuration parameter calibrated to the RBNZ outlier test level |
🔨 |
| IRRBB disclosure |
Include IRRBB metrics in prudential returns and (when finalised) DTA Disclosure Statement |
🤖 Automated |
CLQ-004, REP-002 |
MOD-035 (CALC) — IRRBB disclosures populated from model output; consistent with internal monitoring; no separate data extraction or reconciliation required |
🔨 |
| CSRBB |
Identify and monitor Credit Spread Risk in the Banking Book as a component of IRRBB |
📊 Evidenced |
CLQ-004 |
MOD-035 (CALC) — CSRBB modelled as a component of the IRRBB calculation; spread inputs sourced from MOD-085 market rates ingestion; monitoring output reviewed by ALCO |
🔨 |
Board governance and ALCO oversight
| Ref |
Obligation (proposed) |
Scope |
Policy |
Platform controls |
Build |
| Board risk appetite for IRRBB |
Document board-approved limits on EVE and NII sensitivity |
🏛 Institutional |
CLQ-004, GOV-002 |
MOD-035 and MOD-150 provide the EVE/NII metrics and RAF alerts; ALCO oversight of IRRBB is an institutional governance process; board approval of IRRBB risk appetite is institutional. |
— |
| Annual IRRBB review |
Board or ALCO reviews IRRBB position, model assumptions, and risk appetite at least annually |
🏛 Institutional |
CLQ-004 |
MOD-035 provides the IRRBB outputs and trending data for ALCO review; model assumption review and ALCO governance are institutional. |
— |
| Obligation |
Owner |
Platform evidence input |
| ALCO governance of IRRBB limits and breaches |
ALCO / Board Risk Committee |
MOD-035 and MOD-150 provide the EVE/NII metrics and breach alerts; committee governance is institutional |
| Board approval of IRRBB risk appetite statement |
Board / Chief Financial Officer |
MOD-150 RAF dashboard provides the data inputs; board approval is institutional |
| Annual review of IRRBB model assumptions |
Chief Financial Officer / Chief Risk Officer |
MOD-035 model outputs provide the evidence base; assumption review is institutional |
Coverage summary
| Area |
Total obligations |
Platform automated 🤖 |
Platform evidenced 📊 |
Institutional 🏛 |
N/A |
| EVE and NII measurement |
5 |
4 |
1 |
0 |
0 |
| Board governance and ALCO oversight |
2 |
0 |
0 |
2 |
0 |
| Total |
7 |
4 (57%) |
1 (14%) |
2 (29%) |
0 |
Of the 5 platform obligations, all have attributed controls. All attributed modules are currently
build_status: Not started. Standard is draft — compliance position is contingent on finalisation.
| Policy |
Title |
| CLQ-004 |
Interest Rate Risk in the Banking Book (IRRBB) Policy |
| REP-002 |
Prudential Reporting Policy |
See D01 Capital & Liquidity for the full risk domain.
Official documentation
Policies referencing this standard
- REP-002 — Prudential Reporting Policy
Compiled 2026-05-22 from source/entities/regulations/nz-dta-irrbb.yaml