• Standard Collective Investment Fund look through method: General

    • PRU A6.7.8

      In the case of an Authorised Person being aware of the underlying assets or Investments of the Fund on a daily basis, the Authorised Person may look through to those underlying Investments in order to calculate the Market Risk Capital Requirement (General Market Risk and Specific Risk) for those positions in accordance with the methods set out in the relevant Section of Chapter 5 for calculating the relevant Market Risk Capital Requirement.

    • PRU A6.7.9

      In this method, positions in Funds must be treated as positions in the underlying Investments of the Fund. Netting is permitted between positions in the underlying Investments of the Fund and other positions held by the Authorised Person, as long as the Authorised Person holds a sufficient quantity of Units to allow for redemption/creation in exchange for the underlying Investments.