Reserve Bank of India

10.11.2016

Banking

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

MANU/RMIC/0196/2016

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 to the notification. 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.

Tags : Derivative transactions credit risk Guidelines

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