The Accountancy and Actuarial Discipline Board said on Friday its investigation would cover PwC's conduct in preparing reports on Barclays Capital, the investment banking arm of Barclays Bank PLC, to the Financial Services Authority.
The reports related to Barclays Capital's compliance with client asset rules between 2001 and 2009, the AADB said.
In January, the FSA fined Barclays Capital £1.1m for mingling client money held in sterling money market deposits with the its own funds for 5-7 hours each trading day in that eight-year period. The amount of client money that was mixed grew to £387m in 2009 from £6m in 2002, the FSA said at the time.
"We will cooperate fully with the AADB investigation, and we will be defending our work vigorously," said a PwC spokesman.
The Financial Reporting Council, of which the AADB is a part, is also looking into Deloitte's auditing of the Royal Bank of Scotland.
Last year, the FRC asked Ernst & Young, another of the so-called "Big Four" auditors, to explain its auditing of investment bank Lehman Brothers before it went bust in 2008.