NZ: RBNZ Foreign Exchange Risk Management Guidelines
|
|
| Regulator |
Reserve Bank of NZ |
| Jurisdiction |
NZ |
| Status |
live |
| Applicability |
Platform |
The RBNZ Foreign Exchange Risk Management Guidelines set out the Reserve Bank's
expectations for how deposit takers manage foreign exchange (FX) risk. The guidelines
require banks to maintain a written FX risk policy, set and monitor open position limits
(including intraday limits), stress-test FX exposures, and report FX exposures to RBNZ
in prudential returns.
The guidelines apply to all registered banks with material FX exposures. For Totara
Bank, the primary FX exposure arises from the NZD/AUD cross-currency model (NZ
customers transacting in AUD and vice versa), nostro account positions, and treasury
investment portfolios. The RBNZ expects FX risk to be managed within board-approved
risk appetite limits and supervised through the ALCO governance process.
FX exposure is captured in the market risk framework. Position limit breaches must be
reported to the Board Risk Committee and ALCO without delay.
Compliance register
This register maps every material obligation under the Guidelines 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 — board governance, treasury, ALCO. 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 |
FX position monitoring and limit management
| Ref |
Obligation |
Scope |
Policy |
Platform controls |
Build |
| FX-1 |
Monitor FX open positions in real time against board-approved position limits |
🤖 Automated |
PAY-004 |
MOD-082 (AUTO) — nostro and FX treasury management module maintains real-time nostro account balances across all correspondent relationships; triggers funding transfers when balances fall below configured thresholds |
🔨 |
| FX-2 |
Alert treasury and ALCO automatically on position limit breach |
🤖 Automated |
PAY-004 |
MOD-082 (ALERT) — intraday FX position breach triggers automatic alert to treasury and ALCO without human SOC involvement |
🔨 |
| FX-3 |
Include FX exposure in the market risk framework (EVE/NII) |
🤖 Automated |
PAY-004 |
MOD-035 (CALC) — IRRBB/EVE/NII model includes FX position in the market risk calculation; FX exposures form part of the EVE sensitivity metric |
🔨 |
| FX-4 |
Record every NZD/AUD conversion with a complete audit trail |
📊 Evidenced |
PAY-004 |
MOD-004 (LOG) — every NZD/AUD conversion recorded as a matched pair through the FX nostro account in the multi-currency ledger; MOD-025 (LOG) — FX rate applied to each conversion is locked and recorded — no post-hoc rate adjustment possible |
🔨 |
| FX-5 |
Disclose FX rate and spread to customers before cross-border transfer execution |
🤖 Automated |
PAY-004 |
MOD-050 (GATE) — FX rate and spread shown and acknowledged before any cross-border transfer is executed; customer cannot proceed without acknowledging the disclosed rate |
🔨 |
RBNZ reporting
| Ref |
Obligation |
Scope |
Policy |
Platform controls |
Build |
| FX-R1 |
Report FX exposures in prudential returns to RBNZ on the prescribed schedule |
🤖 Automated |
REP-002, PAY-004 |
MOD-036 (AUTO) — prudential return builder sources FX exposure data automatically from MOD-082 (nostro positions) and MOD-035 (market risk engine) and populates RBNZ return templates |
🔨 |
| FX-R2 |
Reconcile nostro account positions against correspondent bank statements on every settlement cycle |
🤖 Automated |
PAY-004 |
MOD-082 (AUTO) — nostro reconciliation is automated against correspondent statements on every settlement cycle; discrepancies are flagged automatically for treasury review |
🔨 |
| Obligation |
Owner |
Platform evidence input |
| FX risk policy — board approval and annual review |
Board / Head of Treasury |
MOD-082 and MOD-035 provide the quantitative risk data that informs the policy review |
| Open position limit setting and approval |
ALCO / Board Risk Committee |
MOD-082 monitors against configured limits; limit values are an institutional governance decision |
| ALCO oversight of FX risk |
ALCO / Chief Risk Officer |
MOD-150 RAF dashboard includes FX market risk metrics; MOD-035 ALERT routes EVE/NII breaches to ALCO |
| Stress testing of FX exposures |
Chief Risk Officer / Head of Treasury |
MOD-035 provides the model infrastructure; stress scenario design and sign-off are institutional |
| Regulatory examination correspondence on FX risk |
Chief Risk Officer |
MOD-036 return history and MOD-082 position logs provide examination evidence |
Coverage summary
| Area |
Total obligations |
Platform automated 🤖 |
Platform evidenced 📊 |
Institutional 🏛 |
N/A |
| FX position and limit management |
5 |
4 |
1 |
0 |
0 |
| RBNZ reporting |
2 |
2 |
0 |
0 |
0 |
| Total |
7 |
6 (86%) |
1 (14%) |
0 (0%) |
0 (0%) |
All attributed modules are currently build_status: Not started — the compliance position
will update as modules are built and deployed.
| Policy |
Title |
| PAY-004 |
Cross-Border Payments & FX Policy |
| REP-002 |
Prudential Reporting Policy |
Official documentation
Policies referencing this standard
- PAY-004 — Cross-Border Payments & FX Policy
Compiled 2026-05-22 from source/entities/regulations/nz-rbnz-fx.yaml