The amendment clarify the treatment of total Counterparty Credit Risk (CCR) exposures. It revise add-on factors for market-related off- balance sheet items across interest rate, exchange rate, equity, precious metals, and commodity contracts based on residual maturity. It introduces clarifications on residual maturity calculation for contracts that periodically reset to zero market value and prescribes a minimum add-on factor for certain interest rate contracts. When a bank 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.
