RBI issues draft CCR framework aligned with global standards

Mumbai: Reserve Bank of India (RBI) has issued draft guidelines for computing banks' counterparty credit risk (CCR) from derivative transactions and capital requirements for bank exposures to central counterparties to bring it in line with international standards.

In draft guidelines the central bank has clarified on the scope of CCR across both banking and trading book exposures and how banks can treat multiple margin agreements and multiple netting sets in line with regulatory developments.

The categories of transactions that give rise to CCR are over the counter (OTC) derivatives, exchange-traded derivatives, securities financing transactions, and long-settlement transactions in the banking book. OTC derivatives include repo-style and other transactions booked in the trading book, separate from the capital requirement for market risk.


Banks, market participants, and other interested parties can give their feedback on the guidelines till July 1, 2026. The new guidelines will be effective from April 1, 2027.

The guidelines treatment of transactions where a bank acts as a clearing member of Sebi-recognised stock exchanges in the equity derivatives and commodity derivatives segments and also treatment for deferment of option premium. The RBI has also clarified how banks can compute effective notional for options and also given disclosure templates for standardised approach for counterparty credit risk.