Document ID: chunk:federal_register_of_legislation:F2024L01182:body:0:p9
Version: federal_register_of_legislation:F2024L01182
Segment Type: other
Provision Reference: 
Character Range: 22835–25923

have in place a process for ensuring that the ADI's Board, or Board committee, and senior management are able to respond appropriately to the information contained in IRRBB management reports. This process must include escalation procedures for key IRRBB issues to facilitate appropriate action between formal reporting cycles.
 4.          Senior management must notify the Board and APRA if its embedded gain is material in size relative to the remainder of its IRRBB capital charge, as set out in Attachment A to this Prudential Standard. This notification must include how the ADI is mitigating risks associated with this material embedded gain.

Integration of IRRBB measurement system into day-to-day risk management
 1.          An ADI's IRRBB measurement system must be closely integrated into the ADI's risk management processes. This requires that the inputs and outputs of the ADI's IRRBB measurement system, as relevant, play an integral role in the ADI's decision-making, corporate governance, risk management and internal capital allocation processes.
 2.          For an ADI that has IRRBB model approval, the ADI's IRRBB economic value exposure limits must include limits that are related to the approved IRRBB model in a manner that is consistent over time and well understood by senior management.

Data
 1.          An ADI must have transparent and verifiable processes for collecting and testing relevant data inputs to its IRRBB measurement system (e.g. exposure information, details about customer behaviour and product and wholesale rate histories). These processes must be consistent, timely and comprehensive across the ADI.
 2.          An ADI's IRRBB exposure data must comprehensively capture all material exposures from relevant business activities, banking book items and geographic locations. An ADI must be able to demonstrate that any excluded exposures, both individually and in aggregate, would not have a material impact on the overall estimate of its IRRBB capital charge.
 3.          An ADI must document its IRRBB data management policies and procedures. These policies and procedures must, at a minimum, cover:
         1.           the collection of data;
         2.           processes for ensuring integrity, completeness, consistency and accuracy;
         3.           data storage;
         4.           application purposes; and
         5.           an outline of all data flows between systems, including whether any manual processes are involved in such flows.

Independent review of risk management framework for IRRBB
 1.          For the purposes of the review of the risk management framework in relation to IRRBB in CPS 220, such reviews must be conducted by functionally independent, appropriately trained and competent personnel and must cover both the activities of relevant business units and the IRRBB management function.
 2.          For an ADI with an approved IRRBB model, such reviews must take place at the time of IRRBB model approval and thereafter at least once every three years and when a material change is made to