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:
a) Where a banking, financial or insurance entity is not included in the regulatory scope of consolidation as set out in Section CA-2.4, the amount of any investment in the capital of that entity that is totally or partially deducted from Common Equity Tier 1 (CET1) capital or from Additional Tier 1 capital of the bank following the corresponding deduction approach therein must also be deducted from the leverage ratio exposure measure; and
b) Prudent valuation adjustments (PVAs) for exposures to less liquid positions, other than those related to liabilities, that are deducted from Tier 1 capital as per Paragraph CA-16.1.11A must be deducted from the leverage ratio exposure measure.
Added: October 2018