RBI Amends Counterparty Credit Risk Framework
- Blog|News|FEMA & Banking|
- 2 Min Read
- By Taxmann
- |
- Last Updated on 12 March, 2026
Latest from Taxmann
Press Release: 2025-2026/2243, Dated 10.03.2026
The Reserve Bank of India (RBI) has issued Amendment Directions revising the Counterparty Credit Risk (CCR) framework relating to the computation of Potential Future Exposure (PFE) under the Current Exposure Method (CEM).
The amendments introduce clarifications regarding capital requirements for banks acting as clearing members and align certain exposure calculation parameters with international regulatory standards.
1. Capital Charge for Clearing Members
The revised directions clarify that banks acting as clearing members in the equity and commodity derivatives segments of SEBI-recognised stock exchanges must maintain an appropriate capital charge for Counterparty Credit Risk (CCR).
This requirement ensures that banks adequately account for credit exposure arising from derivative transactions cleared through stock exchanges.
2. Revision of Add-on Factors for Potential Future Exposure
The amendment revises the add-on factors used for computing Potential Future Exposure (PFE) under the Current Exposure Method. These add-on factors represent the potential increase in exposure arising from market movements in derivative contracts.
Specifically, the RBI has aligned the add-on factors for interest rate contracts and exchange rate contracts with the guidelines issued by the Basel Committee on Banking Supervision (BCBS).
3. Alignment with International Standards
By aligning the PFE add-on factors with BCBS standards, the revised framework seeks to:
- Strengthen the measurement of counterparty credit risk
- Improve consistency with global prudential norms
- Enhance the resilience of banks dealing in derivative markets
4. Objective of the Amendments
The revised directions aim to ensure that banks maintain adequate capital buffers against derivative exposures, particularly where they act as clearing members in exchange-traded derivative markets. The alignment with international standards further promotes sound risk management practices in the banking system.
Click Here To Read The Full Press Release
Disclaimer: The content/information published on the website is only for general information of the user and shall not be construed as legal advice. While the Taxmann has exercised reasonable efforts to ensure the veracity of information/content published, Taxmann shall be under no liability in any manner whatsoever for incorrect information, if any.
Taxmann Publications has a dedicated in-house Research & Editorial Team. This team consists of a team of Chartered Accountants, Company Secretaries, and Lawyers. This team works under the guidance and supervision of editor-in-chief Mr Rakesh Bhargava.
The Research and Editorial Team is responsible for developing reliable and accurate content for the readers. The team follows the six-sigma approach to achieve the benchmark of zero error in its publications and research platforms. The team ensures that the following publication guidelines are thoroughly followed while developing the content:
- The statutory material is obtained only from the authorized and reliable sources
- All the latest developments in the judicial and legislative fields are covered
- Prepare the analytical write-ups on current, controversial, and important issues to help the readers to understand the concept and its implications
- Every content published by Taxmann is complete, accurate and lucid
- All evidence-based statements are supported with proper reference to Section, Circular No., Notification No. or citations
- The golden rules of grammar, style and consistency are thoroughly followed
- Font and size that’s easy to read and remain consistent across all imprint and digital publications are applied
Everything on Tax and Corporate Laws of India
To subscribe to our weekly newsletter please log in/register on Taxmann.com
CA | CS | CMA
