IFPRU 1.3 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 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).

Where the FCA has chosen to develop specific portfolios1, a firm must report the results of the calculations separately from the results of the calculations referred to in IFPRU 1.3.1R1.