The Reserve Bank of India has released draft amendment directions that would update its framework for measuring banks’ counterparty credit risk from derivative transactions under the Standardised Approach for Counterparty Credit Risk. The proposal follows a comprehensive review of the 2016 SA-CCR guidelines, whose implementation had been deferred, and comes against a backdrop in which the current rules still require use of the Current Exposure Method for counterparty credit risk exposure calculation. The draft changes reflect legal and regulatory developments since 2016, including the Bilateral Netting of Qualified Financial Contracts Act, 2020, the margining framework introduced under the Reserve Bank of India directions for non-centrally cleared OTC derivatives in 2024, and clarifications issued by the Basel Committee on Banking Supervision. Key revisions include clearer scope for counterparty credit risk across both banking and trading book exposures, more detailed treatment of multiple margin agreements and multiple netting sets, guidance for transactions where a bank acts as a clearing member of SEBI-recognised stock exchanges in the equity and commodity derivatives segments, treatment of deferred option premiums, guidance on calculating effective notional for options, and the addition of SA-CCR disclosure templates. Comments on the draft amendment directions are invited until July 1, 2026.
Reserve Bank of India2026-06-10
Reserve Bank of India launches consultation on revised SA-CCR directions for bank counterparty credit risk
The Reserve Bank of India has issued draft amendments to update its SA-CCR framework for commercial banks’ counterparty credit risk from derivative transactions, revising deferred 2016 guidelines while current rules continue to rely on the Current Exposure Method. The draft incorporates developments on netting, margining and Basel clarifications, and adds guidance on clearing member transactions, options and SA-CCR disclosures. Comments are due by July 1, 2026.