Benchmarking of Internal Approaches

Export part as


Application and Definitions


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


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


Supervisory Benchmarking of Internal Approaches for Calculating Own Funds Requirements


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