Prudential Regulation Authority Rulebook

8.1

A firm with a matching adjustment permission must identify all sources of uncertainty regarding the timing and amount of cash-flows from any asset in the relevant portfolio of assets with cash-flows that are highly predictable.

8.2

A firm must add to the fundamental spread an amount that reflects the risks arising from the uncertainties identified in accordance with 8.1 to ensure that the fundamental spread reflects risks retained by the firm in accordance with 4.6.