Exceptions to the Risk Weight Floor
CA-4.3.27
Transactions which fulfil the criteria outlined in Paragraph CA-4.3.14 and are with a core market participant, as defined in Paragraph CA-4.3.15, receive a risk weight of 0%. If the counterparty to the transactions is not a core market participant the transaction should receive a risk weight of 10%.
January 2015CA-4.3.28
OTC derivative transactions subject to daily mark-to-market, collateralised by cash and where there is no currency mismatch receive a 0% risk weight. Such transactions collateralised by sovereign or PSE securities qualifying for a 0% risk weight in the standardised approach will receive a 10% risk weight.
January 2015CA-4.3.29
The 20% floor for the risk weight on a collateralised transaction will not be applied and a 0% risk weight can be applied where the exposure and the collateral are denominated in the same currency, and either:
(a) The collateral is cash on deposit as defined in Paragraph CA-4.3.1(a); or(b) The collateral is in the form of sovereign/PSE securities eligible for a 0% risk weight, and its market value has been discounted by 20%.January 2015
