The Reserve Bank of India has today placed on its website draft guidelines for computing exposure for counterparty credit risk (CCR) arising from derivative transactions and draft guidelines on capital requirements for bank exposures to central counterparties (CCPs) for comments and feedback.
The guidelines are based on the framework finalised by Basel Committee on Banking Supervision (BCBS). The proposed revised guidelines will better capture the risk arising from over the counter (OTC) and also centrally cleared derivative transactions. After considering the comments/suggestions received, the Reserve Bank will finalise the guidelines which will be implemented from April 1, 2017.
The feedback/comments on the draft guidelines may be emailed by July 22, 2016 or be sent to:
The Principal Chief General Manager
Department of Banking Regulation
Reserve Bank of India, Central Office
June 22, 2016
The Managing Director/
Chief Executive Officer of
All Scheduled Commercial Banks
(Excluding Regional Rural Banks)
Madam / Dear Sir,
Draft Guidelines for computing exposure for counterparty credit risk arising from derivative transactions
Please refer to the paragraph 27 of the first bi-monthly monetary policy statement for 2016-17. It was indicated therein that RBI will issue draft guidelines on Standardised Approach for measuring counterparty credit risk exposures (SA-CCR) by end-May 2016. This revised method will replace the Current Exposure Method (CEM), presently being used by banks for measuring exposure for counterparty credit risk arising from derivative transactions and will be implemented from April 1, 2017.
2. The draft guidelines on SA-CCR are annexed. You may provide your feedback/comments on the provisions of the draft guidelines by July 22, 2016.
Principal Chief General Manager
Encl: as above