Document ID: chunk:federal_register_of_legislation:F2024L01182:body:0:p7
Version: federal_register_of_legislation:F2024L01182
Segment Type: other
Provision Reference: 
Character Range: 16822–20123

reporting will at a minimum, include:
         1.           balance sheet management strategy (including maturity profile for shareholders' equity) with appropriate risk metrics that measure this strategy;
         2.           material changes to the ADI's banking book profile or exceptions from established policies that could have an impact on the operation of the risk management framework for IRRBB, including the IRRBB capital charge; and
         3.           significant assumptions of the measurement system and how those assumptions affect any significant IRRBB hedging strategies the ADI undertakes.
 6.          An ADI must have in place an executive committee, with appropriate representation from across the ADI, which focuses on the management and measurement of IRRBB. The executive committee must hold regular meetings to discuss matters including the performance of the framework, areas requiring improvement and the status of efforts to address previously identified deficiencies.

IRRBB risk management
 1.          In meeting its risk management requirements under CPS 220 for IRRBB, an ADI must:
         1.           have reporting lines and responsibilities that are independent of the activities that contribute to the ADI's IRRBB profile and must provide access for the risk management function to the executive committee referred to in paragraph 42 of this Prudential Standard;
         2.           ensure that roles and responsibilities of personnel and functions involved in the management of IRRBB are clearly defined and documented;
         3.           have responsibility for the design and maintenance of an ADI's risk management framework for IRRBB;
         4.           continuously monitor the ADI's compliance with the risk management framework for IRRBB, and produce and analyse regular reports on the output of the IRRBB measurement system, including any approved IRRBB model; and
         1.           provide challenge of the balance sheet management strategy (including the maturity profile for shareholders' equity and balance sheet risk-taking).

New products
 1.          Prior to introducing a new product, instrument type or activity, an ADI must assess and understand the IRRBB characteristics and have adequate operational procedures and risk control systems in place.

IRRBB measurement system
 1.          In relation to an ADI's IRRBB measurement system, the system must:
         1.           be conceptually sound, comprehensive, consistently implemented and transparent;
         2.           be sufficiently comprehensive to capture all material sources of IRRBB across the ADI including, for an ADI with model approval, those events that can lead to rare and severe losses; and
         3.           capture reliable and accurate data about exposures in a timely fashion, and the effectiveness and accuracy of this process must be periodically tested.
 2.          In relation to an ADI's IRRBB measurement system, the ADI must:
         1.           regularly monitor its IRRBB profile in terms of both earnings at risk and economic value sensitivity;[2]
         2.           periodically review the assumptions made in the system, and the materiality of any IRRBB not captured by the system; and
         3.           perform periodical