Document ID: chunk:federal_register_of_legislation:F2024L01182:body:0:p6
Version: federal_register_of_legislation:F2024L01182
Segment Type: other
Provision Reference: 
Character Range: 14000–17145

timing of the extension of the approved IRRBB model to cover all material business activities.
 6.          APRA will approve permanent partial use only in exceptional circumstances and where an ADI is able to demonstrate to APRA's satisfaction that the business activities not covered by the approved IRRBB model are immaterial in aggregate in terms of size and perceived risk profile. APRA may specify an amount to be added to the IRRBB capital charge in respect of business activities that are not covered.

IRRBB management framework
 1.          As part of its risk management framework required under CPS 220, an ADI must develop and maintain:
         1.           an assessment of the ADI's IRRBB profile with a defined risk appetite statement articulated in terms of the risk to both economic value and earnings and must specify limits on both those risks[1];
         2.           clearly articulated responsibilities of, and reporting relationships to, the Board and where applicable, the Board committee; and
         3.           accountabilities for monitoring an ADI's exposures against limits, approving variation on limits, and responding to and escalating any breaches of IRRBB limits to the Board and/or senior management as appropriate.
 2.          An ADI must notify APRA prior to making any material change to its IRRBB management framework.

Responsibilities of the Board of directors
 1.          An ADI's Board, or Board committee, must regularly (at least semi-annually) review IRRBB management reports (refer to paragraphs 50 to 53 of this Prudential Standard) and satisfy itself that IRRBB is appropriately managed.

Responsibilities of senior management
 1.          Senior management responsible for the implementation of the ADI's IRRBB management framework must be actively involved and ensure its effective operation.
 2.          Where an ADI assumes a maturity profile for shareholders' equity, its senior management must set and approve a strategy consistent with the IRRBB risk appetite set by the Board, including the scope of any delegated powers to materially vary from that maturity profile.
 3.          Significant hedging, risk-taking or risk management initiatives in relation to IRRBB must be approved by senior management prior to implementation. Senior management must ensure that they receive and monitor reports on the actual variation of exposures.
 4.          Senior management in conjunction with the IRRBB risk management function referred to in paragraph 43 of this Prudential Standard, must develop and implement appropriate policies relating to the IRRBB management framework.
 5.          Senior management must ensure that reporting to the Board or Board Committee enables the Board or Board committee to satisfy itself that IRRBB is appropriately managed. The 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