RBI Invites Comments on Draft Amendments for Standardised Approach for Counterparty Credit Risk (SA-CCR)
The Reserve Bank of India (RBI) has invited public comments on the draft Amendment Directions concerning the Standardised Approach for Counterparty Credit Risk (SA-CCR). These directives aim to update existing guidelines following recent legal and regulatory developments in derivatives markets.The existing framework requires the use of the Current Exposure Method (CEM) for calculating Counterparty Credit Risk (CCR) exposure. Originally, 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 SA-CCR, with an intended implementation date of April 1, 2018. However, the implementation of these guidelines was previously deferred.
In response to subsequent legal and regulatory shifts, including the enactment of the Bilateral Netting of Qualified Financial Contracts Act, 2020, and the implementation of a margining framework under the Reserve Bank of India (Margining for Non-Centrally Cleared OTC Derivatives) Directions, 2024, comprehensive reviews have been conducted on the guidelines.
The proposed draft directions incorporate several key changes compared to the initial 2016 guidelines (which are currently part of Commercial Banks - Forthcoming Instructions, Directions, 2025). These updates include:
- Clarification regarding the scope of CCR across both banking and trading book exposures.
- Guidance on treating multiple margin agreements and multiple netting sets, driven by developments in netting and margining guidelines.
- Specific guidance for transactions where a bank functions as a clearing member of SEBI-recognised stock exchanges concerning equity derivatives and commodity derivatives segments.
- Treatment for the deferment of option premium.
- Guidance on computing effective notional for options.
- The inclusion of disclosure templates for SA-CCR.
The RBI has released these Amendment Directions, and comments are being sought from regulated entities, market participants, and other interested parties. The deadline for submitting feedback is July 1, 2026. Comments can be submitted through the specified online portal or forwarded to the Chief General Manager Market Risk Group Department of Regulation at the Reserve Bank of India's Central Office in Mumbai.
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