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.