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    2016-07-17

IFPRU 1.3 Supervisory benchmarking of internal approaches for calculating own funds requirements

IFPRU 1.3.1RRP

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

  1. (1)

    the results of the calculations of its internal approaches for its exposures or positions that are included in the benchmark portfolios; and

  2. (2)

    an explanation of the methodologies used to produce those calculations in (1).

[Note: article 78(1) of CRD]

IFPRU 1.3.2GRP

A firm must submit the results of the calculations referred to in IFPRU 1.3.1 R (1), in line with the template set out in the Commission Regulation adopted under article 78(8) of CRD, to the FCA and to EBA.

IFPRU 1.3.3RRP

Where the FCA has chosen to develop specific portfolios in accordance with article 78(2) of CRD, a firm must report the results of the calculations separately from the results of the calculations for EBA portfolios.

[Note: article 78(2) of CRD]