Reserve Bank of India finalises counterparty credit risk framework with ₹25,000 crore threshold for SA-CCR applicability

Key facts

• The Reserve Bank of India (RBI) released the Reserve Bank of India (Commercial Banks – Forthcoming Instructions) Amendment Directions, 2026, finalising the framework for the Standardised Approach for Counterparty Credit Risk (SA-CCR).
• The SA-CCR will apply to banks with an international presence or with a book value of derivative outstanding of ₹25,000 crore and above on a consolidated group-wide basis as on the reporting date.
• Banks below the ₹25,000 crore threshold may choose between the Current Exposure Method (CEM) and the SA-CCR.
• The RBI had issued draft Amendment Directions on June 10, 2026, inviting stakeholder feedback, and accepted the suggestion for a quantitative threshold for banks with negligible derivative exposure.
• The RBI also issued the Reserve Bank of India (Commercial Banks–Credit Valuation Adjustment Framework) Directions, 2026.
• Transactions giving rise to counterparty credit risk include over-the-counter (OTC) derivatives, exchange-traded derivatives, securities financing transactions and long-settlement transactions in the banking book.