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    2021-11-30

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 CRD ITS on templates, definitions and IT-solutions1.

IFPRU 1.3.3RRP

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.

[Note: article 78(2) of CRD]