{"id":2078,"date":"2025-08-24T20:02:41","date_gmt":"2025-08-24T20:02:41","guid":{"rendered":"https:\/\/bhatiabhola.com\/?p=2078"},"modified":"2025-08-24T20:10:05","modified_gmt":"2025-08-24T20:10:05","slug":"rbi-press-release-dated-20-08-2025-draft-circular-on-counter-party-credit-risk-add-on-factors-for-computation-of-potential-future-exposure","status":"publish","type":"post","link":"https:\/\/bhatiabhola.com\/index.php\/blog\/2025\/08\/24\/rbi-press-release-dated-20-08-2025-draft-circular-on-counter-party-credit-risk-add-on-factors-for-computation-of-potential-future-exposure\/","title":{"rendered":"RBI Press Release Dated 20\/08\/2025 – Draft circular on Counter party Credit Risk, Add on factors for computation of Potential Future Exposure\u00a0"},"content":{"rendered":"\n

Extant instructions on capital adequacy for banks prescribe the Current Exposure Method (CEM) for computation of Counterparty Credit Risk (CCR). The instructions have been reviewed to (i) clarify that banks acting as clearing members of SEBI recognised stock exchanges in the equity derivatives and commodity derivatives segments are required to maintain capital charge for CCR, and (ii) largely align the add-on factors for calculation of Potential Future Exposure (PFE) in the CEM for \u2018Interest Rate Contracts\u2019 and \u2018Exchange Rate Contracts and Gold\u2019 with the Basel Committee on Banking Supervision (BCBS) guidelines.<\/p>\n\n\n\n

(Link: RBI Press Release Dated 20\/08\/2025,<\/em><\/a> <\/em>Draft Circular)<\/em><\/a><\/em><\/p>\n","protected":false},"excerpt":{"rendered":"

Extant instructions on capital adequacy for banks prescribe the Current Exposure Method (CEM) for computation of Counterparty Credit Risk (CCR). 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