RBI Amendments Report – 7th October 2026 | ‘Standardised Approach for Counterparty Credit Risk (SA-CCR)’

The Reserve Bank of India (RBI) issued the (Commercial Banks – Forthcoming Instructions) Amendment Directions, 2026 on October 7, 2026, aligning India’s capital adequacy framework for Counterparty Credit Risk (CCR) with international standards. The directives mandate the shift from the Current Exposure Method (CEM) to the Standardised Approach for Counterparty Credit Risk (SA-CCR) for computing derivative and CCR exposures.

Applicability and Timeline:

• Effective Date: April 1, 2027.
• Mandatory Entities: Commercial banks with an international presence OR with a book value of derivative outstanding of ₹25,000 crore and above as on the reporting date, on a consolidated group-wide basis.
• Optional Entities: Remaining commercial banks may choose to adopt either the CEM or the new SA-CCR methodology.

Amendment 1: Clarification of the Scope of Counterparty Credit Risk (CCR)

Specific Changes Required: The directions explicitly define that the CCR framework applies to both the banking book and trading book exposures. The scope includes Over-The-Counter (OTC) derivatives, exchange-traded derivatives (ETDs), Securities Financing Transactions (SFTs), and long-settlement transactions. It also formalizes exceptions, such as capping CCR exposure for sold options outside netting agreements to the unpaid premium amount.

Management Action Plan:

• System Integration: Upgrade risk engine systems to aggregate exposures across both trading and banking books under the single SA-CCR logic.
• Data Tagging: Implement strict data governance to accurately flag SFTs, OTCs, ETDs, and long-settlement transactions.
• Policy Update: Revise the internal Capital Adequacy assessment policies to reflect unified CCR computation across books.

Amendment 2: Treatment of Multiple Margin Agreements and Netting Sets

Specific Changes Required: If a single netting set contains both margined and unmargined transactions, or transactions covered by multiple variation margin (VM) agreements, the bank must now split the netting set into “sub-netting sets” aligned with their respective margin agreements. If one margin agreement applies to multiple netting sets, specific complex formulas are introduced to allocate the collateral dynamically based on the mark-to-market values of the netting sets.

Management Action Plan:

• Legal Document Review: Legal and Risk teams must collaborate to digitize and map all Master Agreements (ISDA) and CSAs to specific trade IDs.
• Collateral Allocation Algorithms: IT must update the collateral management systems to support dynamic allocation algorithms for unmargined vs. margined sub-netting sets.
• Legal Enforceability Verification: Obtain and update written, reasoned legal opinions confirming the enforceability of all netting arrangements across jurisdictions.

Amendment 3: Clearing Member Exposures in Equity & Commodity Derivatives

Specific Changes Required: While commercial banks are generally restricted from trading in equity and commodity derivatives directly, the amendment provides clear guidelines for calculating CCR exposure when a bank acts purely as a Clearing Member on SEBI-recognised stock exchanges. It details the calculation of asset-class level add-ons (AddOnEquity and AddOnCom) and correlation factors for these specific clearing exposures.

Management Action Plan:

• Clearing System Enhancement: Update the clearing member margin calculation systems to integrate SA-CCR add-on formulas for equity and commodity asset classes.
• Client Margin Policies: Review the initial margin collected from clients to ensure it optimally mitigates the SA-CCR capital charge.
• Regulatory Audit: Ensure strict ring-fencing to prove to regulators that these exposures are strictly clearing-member obligations and not proprietary trading positions.

Amendment 4: Deferment of Option Premium

Specific Changes Required: The RBI now explicitly allows banks to defer the premium on permissible options sold to users, provided the deferment does not extend beyond the contract’s maturity and is collected uniformly (at least quarterly). Crucially, the deferred premium amount must be included in the Replacement Cost (RC) for calculating CCR exposure.

Management Action Plan:

• Board Approval: Draft and secure Board (or Risk Management Committee) approval for a dedicated policy on Option Premium Deferment, outlining client eligibility criteria.
• Accounting & Risk Sync: Ensure the accounting systems feed unpaid premium data dynamically into the CCR calculation engine daily.
• Credit Assessment: Incorporate the client’s ability to pay deferred premiums into standard credit underwriting workflows.

Amendment 5: Computation of Effective Notional for Options

Specific Changes Required: The guidelines provide complex, mathematically rigorous formulas to calculate the supervisory delta and effective notional for various option types (European, Asian, American, Bermudan). It explicitly dictates how to approximate digital options via a “collar” combination and allows multi-payment options (like caps/floors) to be decomposed into individual caplets/floorlets.

Management Action Plan:

• Quantitative Overhaul: The Quantitative/Pricing team must completely map all traded option structures to the standardized SA-CCR formulas.
• Model Validation: The Model Risk Management (MRM) team must independently validate the new pricing/risk engines to ensure no deviations from the prescribed supervisory deltas and volatility tables (Table 2 of the directions).
• Policy on Forward Rates: Develop a Board-approved internal policy governing the sourcing of forward rates for long-term tenors pertaining to forex options.

Amendment 6: Pillar 3 Disclosure Requirements

Specific Changes Required: Transparency is heavily emphasized. Banks must now publish detailed counterparty credit risk metrics as part of their public Pillar 3 disclosures, using standardized templates: CCRA (Qualitative), CCR1 (Exposures by approach), CCR2 (Portfolios & Risk Weights), CCR3 (Collateral composition), CCR4 (Credit derivatives), and CCR5 (CCP exposures).

Management Action Plan:

• Reporting Automation: Design automated reporting pipelines to extract data from risk, collateral, and core banking systems directly into the exact RBI template formats.
• Qualitative Narrative (CCRA): The Chief Risk Officer’s (CRO) office must draft a robust qualitative narrative explaining wrong-way risk policies, limit setting, and the impact of potential credit downgrades on collateral.
• Cross-Departmental Review: Establish a sign-off workflow involving Risk, Finance, and Compliance before public Pillar 3 publication.