The Reserve Bank of India (RBI) has released draft guidelines for computing banks' counterparty credit risk (CCR) from derivative transactions and capital requirements for bank exposures to central counterparties. According to The Economic Times, these guidelines aim to align with international standards and bring Indian banking regulations in line with global practices. The central bank has invited feedback from banks, market participants, and other interested parties by July 1, 2026, with the new guidelines effective from April 1, 2027.
The draft guidelines cover comprehensive categories of transactions that give rise to CCR, including over-the-counter (OTC) derivatives, exchange-traded derivatives, securities financing transactions, and long-settlement transactions in the banking book. As reported by The Economic Times, OTC derivatives include repo-style and other transactions booked in the trading book, separate from the capital requirement for market risk. The central bank has clarified the scope of CCR across both banking and trading book exposures, addressing multiple margin agreements and multiple netting sets in line with regulatory developments.
The RBI has proposed comprehensive technical guidance including treatment for deferment of option premium and guidance on computation of effective notional for options. According to The Economic Times, the central bank has also included disclosure templates for Standardised Approach for Counterparty Credit Risk (SA-CCR) in the draft amendments. These technical provisions aim to provide clearer implementation frameworks for financial institutions managing counterparty credit risk.
The current consultation builds on previous regulatory frameworks established by the RBI. As reported by The Economic Times, in 2016, RBI issued final 'Guidelines for Computing Exposure for Counterparty Credit Risk arising from Derivative Transactions' and 'Guidelines on Capital Requirements for Bank Exposures to Central Counterparties', both based on the Standardised Approach for Counterparty Credit Risk (SA-CCR). However, the implementation of these guidelines was subsequently deferred, leading to the current amendment process with the new rules starting April 2027.
