Benchmarking of Internal Approaches

Part

Printed on: 29/04/2024

Rulebook at: 01/01/2014

PS7/13 - Strengthening capital standards: implementing CRD IV, feedback and final rules	https://www.bankofengland.co.uk/prudential-regulation/publication/2013/strengthening-capital-standards-implementing-crd-4
Legislation.gov.uk	http://www.legislation.gov.uk/
Eur-Lex	http://eur-lex.europa.eu/en/index.htm
SS9/13 – Securitisation	http://www.bankofengland.co.uk/pra/Pages/publications/securitisation.aspx
SS10/13 – Standardised approach	http://www.bankofengland.co.uk/pra/Pages/publications/standardappr.aspx
SS11/13 – Internal ratings based approaches	http://www.bankofengland.co.uk/pra/Pages/publications/internalratings.aspx

1 Application and Definitions
2 Supervisory Benchmarking of Internal Approaches for Calculating Own Funds Requirements

1.1

This Part applies to every firm that is a CRR firm.

1.2

Unless otherwise defined, any italicised expression used in this Part and in the CRD has the same meaning as in the CRD.

2.1

Except for operational risk, a firm that is permitted to use internal approaches for the calculation of risk weighted exposure amounts or own funds requirements must report annually to the PRA:

(1) the results of the calculations of their internal approaches for their exposures or positions that are included in the benchmark portfolios; and
(2) an explanation of the methodologies used to produce those calculations.