RBI/2015-16/
DBR.No.BP.BC./21.06.201/2015-16

June 22, 2016

The Managing Director/
Chief Executive Officer of
All Scheduled Commercial Banks
(Excluding Regional Rural Banks)

Madam / Dear Sir,

Draft Guidelines for computing exposure for counterparty credit risk arising from derivative transactions

Please refer to the paragraph 27 of the first bi-monthly monetary policy statement for 2016-17. It was indicated therein that RBI will issue draft guidelines on Standardised Approach for measuring counterparty credit risk exposures (SA-CCR) by end-May 2016. This revised method will replace the Current Exposure Method (CEM), presently being used by banks for measuring exposure for counterparty credit risk arising from derivative transactions and will be implemented from April 1, 2017.

2. The draft guidelines on SA-CCR are annexed. You may provide your feedback/comments on the provisions of the draft guidelines by July 22, 2016.

Yours faithfully,

(Sudarshan Sen)
Principal Chief General Manager

Encl: as above