Policy clause
"Securities lending no more than 20% of the portfolio": how to write it, test it and evidence it
A securities-lending cap limits how much of the portfolio is out on loan at any time. It becomes testable once the policy names the lendable assets and the value counted: the securities lent, not the collateral. Acclimetry reads each holding's on-loan value from a governed field and divides the total by net value.
No more than 20% of the portfolio's assets may be on loan at any one time.
collateral_exposureQuestions to settle before it can be tested
- Value counted: the market value of securities lent, or the collateral received? The two differ, so name one.
- Which assets: equities and government bonds only? The rule measures the classes it names.
- Missing amounts: a lendable holding with no stated on-loan value is a data gap, so state zero for holdings not lent.
- Cash collateral: if it is reinvested, its risk needs its own limit.
As a testable rule
Collateral, margin, repo and stock-loan template, measure securities lending, field ON_LOAN_VALUE, classes Equities and Government bonds. Hard maximum 20%, warning maximum 18%: absolute on-loan values over the portfolio's net market value. A lendable holding with no stated amount is a data gap, not a zero.
A testable wording
The market value of securities on loan may not exceed 20% of the portfolio's market value at any time. Only equities and government bonds may be lent, and the lending agent reports each holding's on-loan value daily.
See collateral, margin, repo and securities-lending limits and fund investment restrictions.
Worked example
Securities on loan are 1.75m of the 10m portfolio, 17.5%: compliant, with 2.5 points of headroom to the cap.
Rule template:collateral_exposure measure: securities_lendingfieldCode: ON_LOAN_VALUEclassNames: Equities, Government bondsrequireAmount: true
Bounds: warn max 18% · hard max 20%
| Holding | Class | Market value | ON_LOAN_VALUE |
|---|---|---|---|
| UK equities | Equities | 3,500,000 | 800000 |
| US equities | Equities | 2,500,000 | 500000 |
| UK Treasury 3.25% 2033 | Government bonds | 3,000,000 | 450000 |
| Corporate bonds | Corporate bonds | 700,000 | (blank) |
| Cash | Cash | 300,000 | (blank) |
| Group | Status | Value | Bounds | Headroom to the hard bound | Code |
|---|---|---|---|---|---|
| Securities lending | Compliant | 17.5% | ≤ 20% warning ≤ 18% | 2.5% 0.5% to warning | WITHIN_LIMITS |
WITHIN_LIMITS: The measured value sits inside every approved bound.
Largest contributors: Securities lending → UK equities 8%, US equities 5%, UK Treasury 3.25% 2033 4.5%
Computed at build time by the Acclimetry rule engine (backend commit 8197063); the same code runs in the product.
What each monitoring run records
Each run stores the on-loan ratio, its state, headroom and the holdings on loan as contributors, with a count of the amounts read. A missing amount produces a not-evaluated result naming the gap. A breach opens a case, resolved by recalling loans.