CA-15.3.3

On-balance sheet exposures include all on-balance assets in their exposure measure, including on balance sheet derivatives' collateral and collateral for Securities Financing Transactions (SFTs), with the exception of SFT assets and on-balance sheet derivatives that are covered in Paragraphs CA-15.3.13 to CA-15.3.23 and CA-15.3.24 to CA-15.3.42 respectively.

CA-15.3.4

On-balance sheet assets must be measured using their accounting balance sheet values (i.e. unweighted) less deductions for associated specific provisions. On-balance sheet, non-derivative exposures are net of specific provisions and valuation adjustments (e.g. credit valuation adjustments under IFRS).

CA-15.3.5

Items (such as goodwill) that are deducted completely from Tier One Capital must be deducted from Total Exposures.

CA-15.3.6

According to the treatment outlined in Paragraphs CA-2.4.20 to CA-2.4.24, where a financial entity is not included in the regulatory scope of consolidation in CA-B.1.2A, only the investment in the capital of such entities (i.e. only the carrying value of the investment, as opposed to the underlying assets and other exposures of the investee) is to be included in the leverage ratio exposure measure. The amount of any investment in the capital of that entity that is totally or partially deducted from CET1 or from AT1 capital of the Bahraini conventional bank licensee following the corresponding deduction approach in Paragraphs CA-2.4.20 to CA-2.4.26 must be excluded from the leverage ratio measure.

CA-15.3.7

Unless specified differently below, Bahraini conventional bank licensees must not take into account physical guarantees or credit risk mitigation techniques to reduce the leverage ratio exposure measure, nor may banks net assets and liabilities.

CA-15.3.8

Any item deducted from Tier 1 capital according to Module CA and regulatory adjustments other than those related to liabilities must be deducted from the leverage ratio exposure measure. Two examples follow:

CA-15.3.9

Gains/losses on fair valued liabilities or accounting value adjustments on derivative liabilities due to changes in the bank's own credit risk are not deducted from the leverage ratio exposure measure.

CA-15.3.10

Netting of loans and deposits is not allowed.

CA-15.3.11

For the purpose of the leverage ratio exposure measure, Bahraini conventional bank licensees using trade date accounting must reverse out any offsetting between cash receivables for unsettled sales and cash payables for unsettled purchases of financial assets that may be recognised under the applicable accounting framework, but may offset between those cash receivables and cash payables (regardless of whether such offsetting is recognised under the applicable accounting framework) if the following conditions are met:

Bahraini conventional bank licensees using settlement date accounting will be subject to the treatment set out in Paragraphs CA-15.3.43 to CA-15.3.45 and Paragraphs CA-15.5.7 to CA-15.5.16.

CA-15.3.12

For purposes of the leverage ratio exposure measure, where a cash pooling arrangement entails a transfer at least on a daily basis of the credit and/or debit balances of the individual participating customer accounts into a single account balance, the individual participating customer accounts are deemed to be extinguished and transformed into a single account balance upon the transfer provided the bank is not liable for the balances on an individual basis upon the transfer. Thus, the basis of the leverage ratio exposure measure for such a cash pooling arrangement is the single account balance and not the individual participating customer accounts. When the transfer of credit and/or debit balances of the individual participating customer accounts does not occur daily, for purposes of the leverage ratio exposure measure, extinguishment and transformation into a single account balance is deemed to occur and this single account balance may serve as the basis of the leverage ratio exposure measure provided all of the following conditions are met:

In the event the abovementioned conditions are not met, the individual balances of the participating customer accounts must be reflected separately in the leverage ratio exposure measure.