Date: 2025-08-20Category: Not ApplicableState: Union GovernmentCountry: India
RBI invites public comments on the draft circular on ‘Counterparty Credit Risk: Add-on factors for computation of Potential Future Exposure – Revised Instructions’
**Summary:**
The Reserve Bank of India (RBI) has released a draft circular on "Counterparty Credit Risk: Add-on factors for computation of Potential Future Exposure – Revised Instructions" to modify existing instructions on Counterparty Credit Risk (CCR) as outlined in paragraph 5.15.3 of the Master Circular DOR.CAP.REC.221/06.20.120/2025-26 dated April 1, 2025, concerning Basel III Capital Regulations. The draft circular addresses two key areas: (i) clarifying that banks acting as clearing members of SEBI-recognized stock exchanges in equity and commodity derivatives segments are required to maintain a capital charge for CCR; and (ii) aligning the add-on factors for calculating Potential Future Exposure (PFE) in the Current Exposure Method (CEM) for Interest Rate Contracts, Exchange Rate Contracts, and Gold with the Basel Committee on Banking Supervision (BCBS) guidelines. This alignment reflects market developments since the last revision in August 2008.
The RBI invites comments and feedback on the draft circular from banks, market participants, and other interested parties. The deadline for submissions is September 10, 2025. Feedback can be submitted through the "Connect 2 Regulate" section on the RBI website or sent via email with the subject line "Feedback on Counterparty Credit Risk: Add-on factors for computation of Potential Future Exposure – Revised Instructions." Alternatively, written feedback can be mailed to:
The Chief General Manager-in-Charge
Market Risk Group
Department of Regulation, Central Office
Reserve Bank of India, 12th Floor
Shahid Bhagat Singh Marg
Fort, Mumbai 400 001
Key Entities Referenced
Reserve Bank of India: The central bank of India, responsible for monetary policy and regulation of the banking system.
Counterparty Credit Risk: The risk that the counterparty to a transaction could default before the final settlement of the transaction's cash flows.
Basel III Capital Regulations: A comprehensive set of reform measures, developed by the Basel Committee on Banking Supervision, to strengthen the regulation, supervision and risk management of banks.
September 10, 2025: The deadline for submitting comments on the draft circular on Counterparty Credit Risk.
Market Risk Group, Department of Regulation, Central Office, Reserve Bank of India, Mumbai, Maharashtra: The department within the Reserve Bank of India to which feedback on the Counterparty Credit Risk draft circular should be forwarded.
Current Exposure Method: A method for calculating Counterparty Credit Risk (CCR) as part of capital adequacy requirements for banks.
SEBI: Securities and Exchange Board of India, regulatory body for stock exchanges in India.
Basel Committee on Banking Supervision: The primary global standard setter for the prudential regulation of banks and provides a forum for cooperation on banking supervisory matters.
प्रेस प्रकाशनी PRESS RELEASE
भारतीय ररज़र्व बैंक
RESERVE BANK OF INDIA
वेबसाइट
:
www.rbi.org.in/hindi
संचार वर्भाग, केंद्रीय कायाालय, शहीद भगत ससिंह मागा, फोटा, म िंबई - 400 001
Website : www.rbi.org.in Department of Communication, Central Office, Shahid Bhagat Singh Marg, Fort,
ई-मेल/email : helpdoc@rbi.org.in Mumbai - 400 001 फोन/Phone: 022 - 2266 0502
August 20, 2025
RBI invites public comments on the draft circular on ‘Counterparty Credit Risk:
Add-on factors for computation of Potential Future Exposure –
Revised Instructions’
Please refer to instructions on Counterparty Credit Risk (CCR) as contained in
paragraph 5.15.3 of the Master Circular DOR.CAP.REC.2/21.06.201/2025-26 dated
April 1, 2025 on ‘Basel III Capital Regulations’. Reserve Bank has released today
the draft circular on Counterparty Credit Risk: Add-on factors for computation of
Potential Future Exposure – Revised Instructions which modifies the aforementioned
instructions.
The comments on the draft circular are invited from the banks, market
participants, and other interested parties till September 10, 2025. The comments/
feedback may be submitted through the link under the ‘Connect 2 Regulate’ Section
available on the Reserve Bank’s website or may alternatively be forwarded to
The Chief General Manager-in-Charge
Market Risk Group
Department of Regulation, Central Office
Reserve Bank of India, 12th Floor
Shahid Bhagat Singh Marg
Fort Mumbai – 400 001
Or
by email.
With the subject line ‘Feedback on Counterparty Credit Risk: Add-on factors for
computation of Potential Future Exposure – Revised Instructions’
Background and Objective
Extant instructions on capital adequacy for banks prescribe the Current
Exposure Method (CEM) for computation of Counterparty Credit Risk (CCR). The
Reserve Bank has reviewed these 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 CEM for ‘Interest Rate Contracts’ and ‘Exchange Rate
Contracts and Gold’ with the Basel Committee on Banking Supervision (BCBS)
guidelines, reflecting the development and depth of the respective market segments
since the guidelines were last revised in August 2008.
(Puneet Pancholy)
Press Release: 2025-2026/942 Chief General Manager