Prudential Regulation Authority Rulebook

4.1

1. (1) Subject to (2), any asset to which this Part applies, for the valuation of which no provision is made in this Part, must be left out of account for the purposes specified in 1.2.
2. (2) (1) does not apply to cash.

4.2

Where in all the circumstances of the case it appears that any asset is of a lesser value than the amount calculated in accordance with this Part, such lesser value must be taken to be the value of the asset.

4.3

For the purposes of 4.2, in determining whether it appears that an asset is of a lesser value than the amount calculated in accordance with this Part, regard must be had to:

1. (1) the underlying security; and
2. (2) in the case of bonds, debt securities and other money and capital market instruments, the credit rating of the issuer.

4.4

1. (1) In relation to an actuarial investigation of its long-term insurance business, a firm may, subject to the conditions set out in (2), elect to assign to any of its assets the value given to the asset in question in the books or other records of the firm.
2. (2) The conditions referred to in (1) are:
1. (a) that the election must not enable the firm to bring into account any asset for the valuation of which no provision is made in this Part; and
2. (b) that the value assigned to the aggregate of the assets must not be higher than the aggregate of the value of those assets as determined in accordance with this Part.

4.5

1. (1) Where a firm has entered into a contract for the conversion of currency which satisfies the conditions set out in (2), then for any of the purposes of this Part, the firm must treat the conversion as having been made on the relevant date.
2. (2) The conditions referred to in (1) are that:
1. (a) the contract provides for either;
1. (i) the conversion into another currency of an amount representing the sale of an asset which has, on the relevant date, been sold but not delivered; or
2. (ii) the purchase of currency for the purpose of settling the purchase of an asset which has, on the relevant date, been purchased but not delivered;
2. (b) the conversion referred to in (1) is to take place during a period which is:
1. (i) where the contract is in connection with the delivery of a listed security or a security admitted to trading, a period commencing on the date of the contract and extending for the usual period of settlement as laid down by the rules of the relevant stock exchange or regulated market; or
2. (ii) where the contract is in connection with the delivery of any other asset, a period commencing on the date of the contract and extending for 20 working days thereafter; and
3. (c) the contract is listed or has been entered into with an approved counterparty.

4.6

A firm must derecognise any defined benefit asset.