The Reserve Bank of India (RBI), on March 10, 2026, issued an amendment to Directions on ‘Counterparty Credit Risk - Add-on factors for computation of Potential Future Exposure’.
The following has been amended namely:-
• The draft instructions proposed to modify the Counterparty Credit Risk (CCR) related instructions to (i) clarify that banks acting as clearing members of SEBI recognised stock exchanges in the equity derivatives and commodity derivatives segments are required to maintain capital charge for CCR; and (ii) largely align the add-on factors for calculation of Potential Future Exposure (PFE) in the Current Exposure Method (CEM) for ‘Interest Rate Contracts’ and ‘Exchange Rate Contracts and Gold’ with the Basel Committee on Banking Supervision (BCBS) guidelines.
• Feedback received on the draft instructions has been examined and consequent modifications have been suitably incorporated in the final Amendment Directions. Statement on the feedback received on the draft instructions is provided in the Annex.
• The objective of these Amendment Directions is to impart clarity to Regulated Entities on certain aspects of the CCR framework and largely align the CEM framework with international guidelines.
[Press Release: 2025-2026/2243]
