RbiSearchHeader

Press escape key to go back

Past Searches

Theme
Theme
Text Size
Text Size
S3

Notification Marquee

RBI Announcements
RBI Announcements

RbiAnnouncementWeb

RBI Announcements
RBI Announcements

Asset Publisher

79218036

Prudential Norms for Off-Balance Sheet Exposures of Banks - Bilateral netting of counterparty credit exposures

RBI/2010-11/223
DBOD.No.BP.BC.48 / 21.06.001/2010-11

October 1, 2010

All Scheduled Commercial Banks
(Excluding Local Area Banks and Regional Rural Banks)

Dear Sir,

Prudential Norms for Off-Balance Sheet Exposures of Banks –
Bilateral netting of counterparty credit exposures

As you  are aware,  in terms of  our extant instructions issued  vide our Master Circular – ‘Prudential Guidelines on Capital Adequacy and Market Discipline -   New Capital Adequacy’,  DBOD,No,.BP.BC.15 / 21.06.001 / 2010 - 11 dated July 1, 2010,  banks have been advised to adopt  ‘Current  Exposure Method’  for estimating their credit equivalent amount for interest rate and foreign exchange derivative transactions and gold.  The credit equivalent amount is used for the purposes of capital adequacy and exposure norms.

2. On receipt of requests from banks,   the issue of allowing bilateral netting of counterparty credit exposures, in such derivative contracts, has been examined within the existing legal framework.  Since the legal position regarding bilateral netting is not unambiguously clear,  it has  been decided that bilateral netting of mark-to-market (MTM) values arising on account of such  derivative contracts cannot be permitted.  Accordingly, banks should count their gross positive   MTM value of such contracts for the purposes of capital adequacy as well as for exposure norms.

Yours faithfully,

(B Mahapatra)
Chief General Manager-in-Charge

RbiTtsCommonUtility

प्ले हो रहा है
শুনি আছে

Related Assets

RBI-Install-RBI-Content-Global

RbiSocialMediaUtility

ভাৰতীয় ৰিজাৰ্ভ বেংক মোবাইল এপ্পলিকেষ্যন ইনষ্টল কৰক আৰু নৱীনতম বাতৰিৰ প্ৰৱেশাধিকাৰ পাওক!

Scan Your QR code to Install our app

RbiWasItHelpfulUtility

এই পৃষ্ঠাটো সহায়ক আছিল নে?