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  • Exceptions to the Risk Weight Floor

    • CA-4.7.42

      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; 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%
      Amended: April 2011
      April 2008