PRU A4.3.28

If the CRW determined in accordance with A4.3.27(b)(i) is less than 20%, an Authorised Person must apply a CRW of 20% to the collateralised portion of the CR Exposure, except in the following cases:

(a) a qualifying SFT where the Counterparty in the transaction is a core market participant, in which case the Authorised Person may apply a risk weight of 0%;
(b) a qualifying SFT where the Counterparty in the transaction is not a core market participant, in which case the Authorised Person may apply a risk weight of 10%;
(c) an OTC Derivative transaction subject to daily mark-to-market that is collateralised by cash, and where there is no currency mismatch, in which case the Authorised Person may apply a risk weight of 0%;
(d) an OTC Derivative transaction subject to daily mark-to-market that is collateralised by Exposures to central governments, Central Banks or PSE or a combination thereof qualifying for a 0% risk weight in accordance with the Rules in Chapter 4, and where there is no currency mismatch, in which case the Authorised Person may apply a risk weight of 10%; and
(e) a transaction where there is no currency mismatch and the Collateral comprises -
(i) cash on Deposit as set out in Rule 4.13.5(a); or
(ii) Exposures in the central government and Central Bank asset class or in the PSE asset class or a combination thereof qualifying for a 0% risk weight under the Rules in Section 4.12, and the latest fair value of such Collateral has been discounted by 20% for the purposes of determining the value of the collateralised portion of the CR Exposure in accordance with Rule A4.3.27(a)(i), in which case the Authorised Person may apply a CRW of 0%.