ANNEX VIIICREDIT RISK MITIGATION

PART 3Calculating the effects of credit risk mitigation

1.FUNDED CREDIT PROTECTION

1.4.Financial collateral

1.4.1.Financial Collateral Simple Method

28.A risk weight of 0 % shall, to the extent of the collateralisation, be assigned to the exposure values determined under Annex III for the derivative instruments listed in Annex IV and subject to daily marking-to-market, collateralised by cash or cash‐assimilated instruments where there is no currency mismatch. A risk weight of 10 % shall be assigned to the extent of the collateralisation to the exposure values of such transactions collateralised by debt securities issued by central governments or central banks which are assigned a 0 % risk weight under Articles 78 to 83.

For the purposes of this point debt securities issued by central governments or central banks shall include: –

  1. (a)

    debt securities issued by regional governments or local authorities exposures to which are treated as exposures to the central government in whose jurisdiction they are established under Articles 78 to 83;

  2. (b)

    debt securities issued by multilateral development banks to which a 0 % risk weight is assigned under or by virtue of Articles 78 to 83; and

  3. (c)

    debt securities issued by international organisations which are assigned a 0 % risk weight under Articles 78 to 83.

Other transactions