RBI revises methodology for minimum capital requirements for counterparty credit risk in commercial banks, aligning with updated international best practices.
Revised Capital Requirements for Counterparty Credit Risk
In the Reserve Bank of India (Commercial Banks – Forthcoming Instructions) Amendment Directions, 2026, issued on October 7, 2026, the RBI updated the methodology for calculating minimum capital requirements for counterparty credit risk (CCR). The amendments revise Chapters II and III of the original 2025 Directions, incorporating refinements in exposure measurement and recognition of credit mitigants.
The revised framework enhances the sensitivity of capital charges to market volatility and incorporates updated haircuts for collateral valuation. It also introduces marginal requirements for non-centrally cleared derivatives, in line with global regulatory trends. These changes aim to reduce systemic risk arising from interbank derivative exposures.
Legal advisors must ensure their banking clients recalibrate internal capital models and stress-testing frameworks. The amendments necessitate updates to master agreements, collateral documentation, and margining practices for derivatives trading.
Citations
- Reserve Bank of India (Commercial Banks – Forthcoming Instructions) Amendment Directions, 2026