Banks get final rules for measuring derivative counterparty risk
RBI has finalised the Standardised Approach for Counterparty Credit Risk (SA-CCR), a newer way for large banks to measure exposure on derivatives. It takes effect on April 1, 2027.
Official title: RBI issues Amendment Directions on 'Standardised Approach for Counterparty Credit Risk (SA-CCR)’ · Press Release 2026-2027/1272
What happened
Banks that trade derivatives face counterparty credit risk: the chance that the other side defaults before the contract is settled. Banks must measure this exposure and hold capital against it. Indian banks still use an older method, the Current Exposure Method (CEM). RBI issued rules on the more risk-sensitive SA-CCR, an international Basel standard, back in 2016, but their start was deferred. Since then a 2020 law on bilateral netting (letting contracts with one party be offset against each other) and 2024 margining rules have come in, so RBI reviewed the rules again.
The amended Directions clarify that the rules cover both the banking book and the trading book; explain how to treat multiple margin and netting agreements; give guidance for banks acting as clearing members on SEBI-recognised exchanges in equity and commodity derivatives; set conditions for letting customers pay option premiums in instalments; explain how to compute the effective size of options; and add disclosure templates.
RBI published a draft on June 10, 2026 and took comments until July 1. The final rules apply from April 1, 2027, to commercial banks with an international presence or with derivatives worth ₹25,000 crore or more on their books (group-wide). Other commercial banks may choose either the old CEM or SA-CCR.
What it means for you
No direct effect on ordinary customers. The change helps ensure that banks with big derivatives books hold capital that matches the real risk, which supports a safer banking system.
What it means for businesses
Large banks must switch their counterparty risk calculations and disclosures to SA-CCR by April 1, 2027. Companies that hedge with options may be allowed to pay the option premium in instalments, at least quarterly and not beyond the contract's maturity, if their bank's board-approved policy allows. Capital costs that feed into derivative pricing may shift for some clients.
Links in this release, explained
- RBI press release of June 10, 2026: draft SA-CCR Amendment Directions
The earlier release that invited comments on the draft until July 1, 2026. It explains the history (2016 rules never brought into force), why they were revisited and the six key changes. A quick way to understand the context.
www.rbi.org.in/scripts/BS_PressReleaseDisplay.aspx?prid=62908 - Annex: statement on feedback received
A PDF listing comments RBI received on the draft and its responses. We could not open it (the RBI site blocked automated access), so we can't say which suggestions were adopted. Mainly useful to bank risk and compliance teams.
rbidocs.rbi.org.in/rdocs/content/pdfs/PR127207102026_A.pdf - Reserve Bank of India (Commercial Banks – Forthcoming Instructions) Amendment Directions, 2026
The final binding text. It says which banks must apply SA-CCR (international presence or ₹25,000 crore or more of derivatives), defines terms such as netting set, margin and central counterparty, sets the scope and exemptions, and lays out the conditions for deferring option premiums. For bank treasury, risk and regulatory reporting teams.
rbi.org.in/scripts/NotificationUser.aspx?Id=13730&Mode=0
Read the original
Press release on rbi.org.in ↗ Official PDF ↗
This explainer simplifies the official text. If anything here differs from the RBI's release, the release is right.