Prudential Regulation Authority Rulebook

25.1

1. (1) Subject to 25.2 to 25.4, the value of all investments (determined in accordance with 12) issued by any one counterparty and the value of all rights (determined in accordance with 9 and 16) against that counterparty, in each case up to the amount of the appropriate permitted asset exposure limit, must be aggregated.
2. (2) For the purposes of (1), where the counterparty is an issuer of a collective investment scheme falling within 13.1(3), the value of units or other beneficial interest in the collective investment scheme must be included.

25.2

Where a firm has rights in respect of a secured obligation to be fulfilled by a counterparty:

1. (1) which:
1. (a) is secured by cash deposited with, or a letter of credit established with, or securities issued by, or a guarantee provided by, a CRD credit institution or an approved financial institution; and
2. (b) is due to be fulfilled within 12 months of the relevant date; or
2. (2) which is secured by listed securities which are readily realisable or by approved securities which in either case:
1. (a) have been deposited with a CRD credit institution, an approved financial institution or a MiFID investment firm; and
2. (b) are beneficially owned by the counterparty but will not be available for the benefit of creditors generally in the event of the winding-up of the counterparty,
3. the aggregation required by 25.1 need not include the value of such rights.

25.3

If the firm has liabilities to the counterparty which may be offset against the assets in 25.1 in accordance with generally accepted accounting practice or other generally accepted methods appropriate for friendly societies, then such liabilities may be offset for the purposes of the aggregation required by 25.1.

25.4

Subject to 25.5, the amount arrived at under 25.1 to 25.4 must be increased by the amount by which any dependant of the firm is exposed to the same counterparty.

25.5

In relation to a dependant:

1. (1) which is an insurance undertaking; or
2. (2) in respect of which 17.2(1) to (3) have (notwithstanding 5.4(1)) been applied when valuing the assets selected under 5.3(1),

25.4 applies only in relation to the dependant’s surplus assets (or proportional share).