Counterparty risk guidelines eased

Add-on factors for derivative exposures down to 0.5% from 1%

- 

THE RESERVE BANK of India (RBI) on Tuesday accepted a number of suggestions given by stakeholders while issuing the final guidelines for calculating counterparty credit risk(CCR)in derivatives, including lowering certain add-on factors used to compute potential future exposure (PFE). The guidelines are effective immediately.

The RBI has brought certain changes to provide clarity to regulated entities on certain aspects of the CCR framework and largely align the current exposure method (CEM) framework with international guidelines.