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    PRA Issues Statement on Internal Model Benchmarking Exercise

    May 18, 2021

    PRA published a statement that sets out the post-Brexit approach for the supervisory benchmarking exercise for internal models, for credit institutions that have been in scope of the associated reporting requirements. PRA intends to prepare and consult on new UK standards for benchmarking purposes. The specifications to report the benchmarking information were included in Commission Implementing Regulations; such technical standards in relation to market risk are now outdated and no longer applicable under the UK law. Since PRA intends to consult on new UK standards for benchmarking purposes, firms will not be required or expected to submit any data for the 2022 and 2023 benchmarking exercise. This includes credit risk, market risk, and IFRS 9 data. For IFRS 9, it reflects the fact that no requirement to submit this information has been brought into UK law. Firms should expect the market risk benchmarking exercise to resume in line with the UK implementation of the Fundamental Review of the Trading Book (FRTB) and the credit risk benchmarking exercise to resume in 2024.

    Related Link: PRA Statement

     

    Keywords: Europe, UK, Banking, Internal Models, Supervisory Benchmarking, Market Risk, Credit Risk, IFRS 9, Reporting, Brexit, PRA

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