BANK 4.5.12 Risk-weights less than 20%

(1) A zero per cent risk-weight may be applied to a collateralised transaction if:
(a) there is no currency mismatch; and
(b) any one of the following applies:
(i) the collateral is in the form of sovereign securities that are eligible for zero per cent risk-weight;
(ii) the collateral is in the form of cash collateral on deposit with the banking business firm; or
(iii) if the collateral is in the form of non-commercial public sector enterprise securities:
(A) the securities are eligible for zero per cent risk-weight; and
(B) the market value of the collateral has been discounted by 20%.
(2) A zero per cent risk-weight may be applied to an over the counter derivative transaction if there is no currency mismatch and the transaction is fully collateralised by cash and marked-to-market daily.
(3) A 10% risk-weight may be applied to an over the counter derivative transaction to the extent that the transaction is collateralised by sovereign or non-commercial public sector enterprise securities that are eligible for zero per cent risk-weight.
Amended by QFCRA RM/2015-3 (as from 1st January 2016).