RBI Proposes SA-CCR Framework for Counterparty Credit Risk

The Reserve Bank of India (RBI) has released Draft Amendment Directions on the Standardised Approach for Counterparty Credit Risk (SA-CCR) and invited comments from regulated entities, market participants and other stakeholders until 1 July 2026.

The proposed framework seeks to replace the existing Current Exposure Method (CEM) used for measuring counterparty credit risk arising from derivative transactions and align India’s regulatory framework with evolving international standards.

1. SA-CCR to Replace Current Exposure Method

The draft directions propose adopting the Standardised Approach for Counterparty Credit Risk (SA-CCR) in place of the existing Current Exposure Method.

The revised framework is intended to provide a more risk-sensitive and comprehensive approach for measuring counterparty credit risk associated with derivative exposures.

2. Framework Aligned With Recent Regulatory Developments

The proposed amendments take into account recent legal, regulatory and international developments, including:

• The Bilateral Netting of Qualified Financial Contracts Act, 2020;
• Margining regulations applicable to derivative transactions; and
• Clarifications issued by the Basel Committee on Banking Supervision (BCBS).

3. Clarifications on Banking and Trading Book Exposures

The draft framework provides additional clarity regarding the treatment of counterparty credit risk exposures arising from:

• Banking book transactions; and
• Trading book transactions.

This is intended to ensure consistent application of SA-CCR across different categories of exposures.

4. Guidance on Netting Sets and Margin Agreements

The proposed directions contain detailed guidance relating to:

• Multiple netting sets;
• Margin agreements; and
• Recognition of eligible netting arrangements.

These provisions are aimed at improving the accuracy of exposure measurement under the new framework.

5. Treatment of Clearing Member Transactions

Specific guidance has been proposed for transactions where banks act as:

• Clearing members in equity derivatives markets; and
• Clearing members in commodity derivatives markets.

The framework seeks to clarify the treatment of such exposures for counterparty credit risk purposes.

6. Option Premiums and Effective Notional Amounts

The draft directions also address:

• Deferment of option premiums; and
• Computation of effective notional amounts for options.

These clarifications are intended to improve consistency in the calculation of derivative exposures under SA-CCR.

7. Standardised Disclosure Templates Proposed

To enhance transparency and regulatory reporting, the RBI has proposed the introduction of:

Standardised disclosure templates under the SA-CCR framework.

The disclosures are expected to facilitate greater comparability and transparency in reporting counterparty credit risk exposures.

8. Objective of the Proposed Framework

The draft amendments aim to:

• Strengthen counterparty credit risk measurement practices;
• Introduce a more risk-sensitive exposure methodology;
• Improve consistency in the treatment of derivative transactions;
• Align India’s framework with international regulatory standards; and
• Enhance transparency through standardised disclosures.

9. Public Comments Invited

The RBI has invited comments and suggestions from stakeholders on the draft framework.

Last date for submission of comments: 1 July 2026

The feedback received will be considered before finalisation of the revised SA-CCR framework.

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