RBI invites public comments on the draft circular on ‘Counterparty Credit Risk: Add-on factors for computation of Potential Future Exposure – Revised Instructions’

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....BI invites public comments on the draft circular on ‘Counterparty Credit Risk: Add-on factors for computation of Potential Future Exposure – Revised Instructions’<BR>FEMA & RBI<BR>Dated:- 21-8-2025<BR><BR>Please refer to instructions on Counterparty Credit Risk (CCR) as contained in paragraph 5.15.3 of the Master Circular DOR.CAP.REC.2/21.06.201/2025-26 dated April 1, 2025 on 'Basel III Capi....

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....tal Regulations'. Reserve Bank has released today the draft circular on Counterparty Credit Risk: Add-on factors for computation of Potential Future Exposure - Revised Instructions which modifies the aforementioned instructions. The comments on the draft circular are invited from the banks, market participants, and other interested parties till September 10, 2025. The comments/ feedback may be su....

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....bmitted through the link under the 'Connect 2 Regulate' Section available on the Reserve Bank's website or may alternatively be forwarded to The Chief General Manager-in-Charge Market Risk Group Department of Regulation, Central Office Reserve Bank of India, 12th Floor Shahid Bhagat Singh Marg Fort Mumbai - 400 001 Or by email With the subject line 'Feedback on Counterparty Credit Risk: A....

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....dd-on factors for computation of Potential Future Exposure - Revised Instructions' Background and Objective Extant instructions on capital adequacy for banks prescribe the Current Exposure Method (CEM) for computation of Counterparty Credit Risk (CCR). The Reserve Bank has reviewed these instructions to (i) clarify that banks acting as clearing members of SEBI recognised stock exchanges in the e....

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....quity derivatives and commodity derivatives segments are required to maintain capital charge for CCR; and (ii) largely align the add-on factors for calculation of Potential Future Exposure (PFE) in the CEM for 'Interest Rate Contracts' and 'Exchange Rate Contracts and Gold' with the Basel Committee on Banking Supervision (BCBS) guidelines, reflecting the development and depth of the respective mar....

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....ket segments since the guidelines were last revised in August 2008. (Puneet Pancholy)&nbsp;&nbsp; Chief General Manager<BR> News - Press release - PIB....