Guidelines for computing exposure for counterparty credit risk arising from derivative transactions

RBI/2016-17/119
DBR.No.BP.BC.29/21.06.201/2016-17

November 10, 2016

The Managing Director/
Chief Executive Officer of
All Scheduled Commercial Banks
(Excluding Regional Rural Banks)

Madam / Dear Sir,

Guidelines for computing exposure for counterparty credit risk arising from derivative transactions

Please refer to the paragraph 4 of the Statement on Developmental and Regulatory Policies issued by RBI on October 4, 2016. It was indicated therein that RBI will issue final guidelines on Standardised Approach for computing exposure for counterparty credit risk arising from derivative transactions. Accordingly, the final guidelines are annexed. These guidelines contain the revised method which will replace the Current Exposure Method (CEM), presently being used by banks, for measuring exposure for counterparty credit risk arising from derivative transactions. These guidelines will be implemented from April 1, 2018.

Yours faithfully,

(Ajay Kumar Choudhary)
Chief General Manager

Encl: as above