Since written credit derivatives are included in the exposure measure at their effective notional amounts, and are also subject to add-on amounts for PFE, the exposure measure for written credit derivatives may be overstated. Bahraini conventional bank licensees must deduct the individual PFE add-on amount relating to a written credit derivative (which is not offset according to Paragraph CA-15.3.41 and whose effective notional amount is included in the exposure measure) from their gross add-on in Paragraphs CA-15.3.25 to CA-15.3.27.
Added: October 2018