Benchmarking of Internal Approaches

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. (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.