MANU/RMIC/0196/2016
Ministry : Reserve Bank of India
Department/Board : Department of Banking Regulation
Circular No. : DBR.No.BP.BC.29/21.06.201/2016-2017
RBI/2016-2017/119
Date : 10.11.2016
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