http://www.federalreserve.gov/SECRS/2012/November/20121101/R-14
1.Support for Zero Risk-Weighting for Gold. This commentator supports a zero
-risk-weighting for gold bullion held by a banking organization. While the
NPR offers no specific basis for such a risk-weighting, a zero-risk-
weighting is appropriate for assets such as gold because gold has no
counterparty risk, provided that the banking institution holds the gold
beyond any possessory or other third party claims (addressed below at
paragraph (4)). Gold is money; more so than even federal reserve notes or
clad coinage which are often referred to as "cash."
