CA-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