PRU 3.14.8

(1) For the purposes of Rule 3.14.4(c), an Authorised Person must calculate the applicable amount to be deducted by multiplying the amount referred to in (a) by the factor derived from the calculation referred to in (b):
(a) the amount referred to in Rule 3.13.16(1)(a);
(b) the amount of direct and indirect holdings by the Authorised Person of the AT1 Capital instruments of Relevant Entities divided by the aggregate amount of all direct and indirect holdings by the Authorised Person of the CET1, AT1 and T2 Capital instruments of those Relevant Entities.
(2) An Authorised Person must exclude Underwriting positions held for five working days or fewer from the amount referred to in Rule 3.13.16(1)(a) and from the calculation of the factor referred to in (1)(b).
(3) An Authorised Person must determine the portion of holdings of AT1 Capital instruments that is to be deducted pursuant to (1) by dividing the amount specified in (a) by the amount specified in (b):
(a) the amount of holdings required to be deducted pursuant to (1)(a);
(b) the aggregate amount of direct and indirect holdings by the Authorised Person of all the capital instruments of Relevant Entities in which the Authorised Person does not have a significant investment.