CA-4.3.29
Past version: Effective from 01 Apr 2008 to 31 Mar 2011
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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%.
Apr 08