Please refer to instructions on Counterparty Credit Risk (CCR) as contained in paragraph 5.15.3 of the Master Circular DOR.CAP.REC.2/21.06.201/2025-26 dated April 1, 2025 on ‘Basel III Capital Regulations’. Reserve Bank has released today the draft circular on Counterparty Credit Risk: Add-on factors for computation of Potential Future Exposure – Revised Instructions which modifies the aforementioned instructions.

The comments on the draft circular are invited from the banks, market participants, and other interested parties till September 10, 2025. The comments/ feedback may be submitted through the link under the ‘Connect 2 Regulate’ Section available on the Reserve Bank’s website or may alternatively be forwarded to

The Chief General Manager-in-Charge
Market Risk Group
Department of Regulation, Central Office
Reserve Bank of India, 12th Floor
Shahid Bhagat Singh Marg
Fort Mumbai – 400 001
Or
by email.

With the subject line ‘Feedback on Counterparty Credit Risk: Add-on factors for computation of Potential Future Exposure – Revised Instructions’

Background and Objective

Extant instructions on capital adequacy for banks prescribe the Current Exposure Method (CEM) for computation of Counterparty Credit Risk (CCR). The Reserve Bank has reviewed these instructions to (i) clarify that banks acting as clearing members of SEBI recognised stock exchanges in the equity derivatives and commodity derivatives segments are required to maintain capital charge for CCR; and (ii) largely align the add-on factors for calculation of Potential Future Exposure (PFE) in the CEM for ‘Interest Rate Contracts’ and ‘Exchange Rate Contracts and Gold’ with the Basel Committee on Banking Supervision (BCBS) guidelines, reflecting the development and depth of the respective market segments since the guidelines were last revised in August 2008.

(Puneet Pancholy)     
Chief General Manager

Press Release: 2025-2026/942