On 18 May 2021, the PRA issued a statement on its website that addresses the 2022 and 2023 supervisory benchmarking exercise for capital internal models (benchmarking exercise). It is relevant to those credit institutions that have been in scope of the associated reporting requirements.
The statement provides that:
- Relevant firms are required to annually report information on their internal approaches to the PRA. The specifications to report this information were included in Commission Implementing Regulations. However, such technical standards are outdated and in relation to market risk are no longer applicable under UK law. The PRA intends to prepare and 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.
The PRA will set out any future proposals for a benchmarking exercise in a consultation paper in due course. Firms should expect the market risk benchmarking exercise to resume in line with the UK implementation of the Fundamental Review of the Trading Book, and the credit risk benchmarking exercise to resume in 2024
