Prudential Regulation Authority Rulebook

10.1

A firm must actively manage its asset encumbrance position.

10.2

For the purpose of 10.1 a firm must ensure that:

1. (1) its risk management policies take into account:
1. (a) the firm’s business model;
2. (b) the countries in which it operates;
3. (c) the specificities of the funding markets; and
4. (d) the macroeconomic situation; and
2. (2) its management body receives timely information on:
1. (a) the current and expected level and types of asset encumbrance and related sources of encumbrance, such as secured funding or other transactions;
2. (b) the amount, expected level and credit quality of unencumbered assets that are capable of being encumbered, specifying the volume of assets available for encumbrance; and
3. (c) the expected amount, level and types of additional encumbrance that may result from stress scenarios.

10.3

For the purpose of this Chapter a firm must treat an asset as encumbered if it is subject to any form of arrangement to secure, collateralise or credit enhance any transaction.