Banking app detects previous root
If the App is using SafetyNet it also detects that your Bootloader is unlocked. So if your BL is still unlocked you will need to Lock it for the App to work.

I dont have a Xperia Z but this seems to explain how to do that:
Link to xda


Download the latest Flashtool ( found in OG android development forum) 
Install the Flashtool drivers found in the drivers folder
Connect phone in Flash-mode (phone shut down, volume down + power)
Press the BLU button
Press the relock option
Put a stock .tft firmware in the Flashtool firmwares folder (this is required!!)
Flash the firmware (this is required!!)
Done