RBI invites public comments on the draft Amendment Directions on ‘Standardised Approach for Counterparty Credit Risk (SA-CCR)’
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Summary
The extant guidelines require the use of the Current Exposure Method (CEM) for the computation of Counterparty Credit Risk (CCR) exposure. In 2016, RBI issued final ‘Guidelines for Computing Exposure for Counterparty Credit Risk arising from Derivative Transactions’ and ‘Guidelines on Capital Requirements for Bank Exposures to Central Counterparties’, both based on the Standardised Approach for Counterparty Credit Risk (SA-CCR), with an intended implementation date of Apr