The UK Financial Services Authority (FSA) has finalised its Rules for aggregating exposures to 'connected counterparties', and has set out new Guidance on the treatment of exposures to structured finance vehicles. Two key limbs to the test of whether a sponsoring bank's structured finance vehicle forms a 'connected counterparty' concern: (i) the potential 'control' relationship between the bank and vehicle that would result in them posing a 'single risk'; and (ii) the economic interconnectedness between them. SPEs may be 'connected' both to their sponsoring banks as well as to other SPEs, to become a 'group of connected clients', and the Guidance notes that banks should assess all of their vehicles to determine the relevant connections. In relation to specific vehicle types, while the FSA notes that each vehicle should be considered on a case-by-case basis (and sets out its analysis of standalone RMBS, credit card and RMBS master trusts, ABCP conduits, CMBS, CLO issuing vehicles and Covered Bond LLPs), it has determined that ABCP conduits are connected clients. As a result, sponsors will need to ensure that their aggregate exposures to their ABCP conduits meet the Large Exposure limit - i.e. they do not exceed 25% of the bank's regulatory capital base.