Prudential Regulation Authority Rulebook

12.1

Subject to 12.2, this Chapter applies to the valuation of investments comprising securities and beneficial interests in limited partnerships.

12.2

This Chapter does not apply to the valuation of securities which are:

1. (1) derivatives;
2. (2) units or other beneficial interests in collective investment schemes; or
3. (3) contracts or assets having the effect of derivatives.

12.3

Subject to 12.6, the value of an investment to which this Chapter applies must be:

1. (1) where the investment is transferable and 12.4 does not apply, the market value;
2. (2) where the investment is transferable and 12.4 applies, the lower of:
1. (a) the market value; and
2. (b) the amount which would reasonably be expected to be received by way of consideration for an assignment or transfer of the investment at a date not later than twelve months after the relevant date, it being assumed that negotiations for the assignment or transfer commenced on the relevant date and the assignment or transfer was made other than to the issuer or to an associate of the issuer or of the firm; or
3. (3) where the investment is not transferable:
1. (a) the amount payable on redemption on the relevant date or the most recent date before the relevant date on which the issuer of the investment could have been required to redeem the investment; or
2. (b) where the investment cannot be redeemed, the amount which would reasonably be paid by way of compensation for the surrender of the interest in the investment.

12.4

Subject to 12.5, this Chapter applies where it is not reasonable to assume that, had negotiations for the assignment or transfer of the investment commenced not more than seven working days before the relevant date, the investment could have been assigned or transferred on the relevant date for an amount not less than 97.5% of the market value other than to the issuer or to an associate of the issuer or of the firm.

12.5

12.4 does not apply where it would otherwise apply because:

1. (1) the listing or admission to trading of the investment has been temporarily suspended following receipt of price sensitive information by the stock exchange on which the investment is listed, or admitted to trading or the regulated market on which facilities for dealing have been granted; or
2. (2) the extent of the holding would prevent an orderly disposal of the investment for an amount equal to or greater than 97.5% of the market value.

12.6

Where a firm has made more than one investment (including loans) that is not listed (other than a number of investments exclusively comprising loans) and the value of such investments when taken together is greater than the aggregate of the values of each investment valued separately, then such higher value may be ascribed to the investments if it is reasonable to assume that none of the investments would be assigned or transferred separately.