Capital requirements for standalone Primary Dealers exposure to interest rate derivative contracts, repo/reverse repo transactions and central counterparties

RBI/2013-14/542 
IDMD.PCD.11/14.03.05/ 2013-14

March 27, 2014

All Standalone Primary Dealers

Dear Sir / Madam

Capital requirements for standalone Primary Dealers’ exposure to interest rate derivative contracts, repo/reverse repo transactions and central counterparties

Please refer to the Master Circular on Capital Adequacy Standards and Risk Management Guidelines for Standalone Primary Dealers issued vide IDMD.PDRD.02/03.64.00/2013-14 dated July 1, 2013.

2. The existing guidelines on capital charge for credit risk of standalone PDs’ exposure to interest rate derivative contracts, repo/reverse repo transactions and central counterparties have been reviewed. The revised guidelines are given in Annex.

3. The revised guidelines will come into effect from April 1, 2014.

4. All other guidelines prescribed in the Master Circular on Capital Adequacy Standards and Risk Management Guidelines for Standalone Primary Dealers issued on July 1, 2013 shall remain unchanged.

Yours faithfully

(K.K.Vohra)
Pr. Chief General Manager

Encl: As above