Guidelines for computing exposure for counterparty credit risk arising from derivative transactions - ଆରବିଆଇ - Reserve Bank of India
Guidelines for computing exposure for counterparty credit risk arising from derivative transactions
RBI/2016-17/119 November 10, 2016 The Managing Director/ 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) Encl: as above |