The amendments require AIFIs to include counterparty credit risk (CCR) exposures of all consolidated entities when calculating capital requirements on a consolidated basis. It also introduce revised add-on factors for market-related off- balance sheet items such as interest rate contracts, exchange rate contracts, equities, precious metals, and other commodities depending on residual maturity. When an AIFI acts as a clearing member of a qualified central counterparty (QCCP), a risk weight of 2% applies to trade exposures arising from derivatives and securities financing transactions.
