RBI updates SA-CCR capital rules for commercial banks on derivatives risk, netting, collateral and CCP exposures from 1 April 2027.
RBI Updates Counterparty Credit Risk Framework
The Reserve Bank of India has revised the Standardised Approach for Counterparty Credit Risk (SA-CCR) for commercial banks, effective 1 April 2027. The amendments cover OTC derivatives, netting agreements, collateral arrangements, and exposures to central counterparties (CCPs).
The updated framework improves accuracy in measuring exposure across different derivative types. It incorporates haircuts for collateral, netting efficiency, and risk weights for margin period of risk. The changes support Basel III endgame implementation in India.
Banks must upgrade exposure measurement systems and validate netting agreements. Legal teams should audit master agreements (ISDA, CSAs) and collateral documentation to ensure compliance with new recognition standards.