Index To RBI Circulars

RBI/2025-26/241
DOR.MRG.REC.No.436/21-01-002/2025-26

March 10, 2026

Reserve Bank of India (All India Financial Institutions (AIFIs) - Prudential Norms on Capital Adequacy) Second Amendment Directions, 2026

Please refer to paragraph 77 on ‘Treatment of total counterparty credit risk’ of the Reserve Bank of India (All India Financial Institutions (AIFIs) - Prudential Norms on Capital Adequacy) Directions, 2025. It has been decided to amend these instructions to provide greater clarity and to largely align them with international standards.

2. Accordingly, in exercise of the powers conferred by Section 45L of the Reserve Bank of India Act, 1934, and all other provisions / laws enabling the Reserve Bank of India (RBI) in this regard, RBI being satisfied that it is necessary and expedient in the public interest so to do, hereby, issues the Amendment Directions hereinafter specified.

3. (i) These instructions shall be called the Reserve Bank of India (All India Financial Institutions (AIFIs) - Prudential Norms on Capital Adequacy) Second Amendment Directions, 2026.

(ii) These Amendment Directions shall come into effect from the date of issue.

4. The Reserve Bank of India (All India Financial Institutions (AIFIs) - Prudential Norms on Capital Adequacy) Directions, 2025, are amended as provided below:

4.1. In paragraph 77(1), the following note shall be inserted in the end, namely: –

“Note: For computation of capital requirement on a consolidated basis, an AIFI shall include CCR exposures of all entities required to be consolidated in terms of Section B ‘Scope of application of capital adequacy framework’ under Chapter II of these Directions.”.

4.2. Table 13 in paragraph 77(2) shall be substituted by the following, namely: –

4.3. Note (b) in paragraph 77(2) shall be substituted by the following, namely: –

“For contracts that are structured to settle outstanding exposure following specified payment dates and where the terms are reset such that the market value of the contract is zero on these specified dates, the residual maturity shall be set equal to the time until the next reset date. However, in the case of interest rate contracts which have residual maturities of more than one year and meet the above criteria, the add-on factor is subject to a floor of 0.50 per cent.”.

4.4. The following notes shall be inserted after note (d) in paragraph 77(2), namely: –

“(e) Add-on factors as per Table 13 shall be applicable to all outstanding CCR exposures.

(f) An AIFI acting as a clearing member of SEBI-recognised stock exchanges in the equity derivatives and commodity derivatives segments shall compute and maintain capital charge for CCR, in terms of paragraph 77 of these Directions.

(g) In Table 13, ‘Precious Metals’ include Silver, Platinum and Palladium. ‘Other Commodities’ include energy contracts, agricultural contracts, base metals (e.g. aluminium, copper, and zinc), and any other non-precious metal commodity contracts.”.

4.5. In paragraph 77(6)(i), sub-paragraph (a) shall be substituted by the following, namely: –

“(a) Where an AIFI acts as a clearing member of a QCCP for its own purposes, a risk weight of 2 per cent shall be applied to the AIFI’s trade exposure to the QCCP in respect of OTC derivatives transactions, exchange traded derivatives transactions, and SFTs. Where the clearing member (AIFI) offers clearing services to clients, the 2 per cent risk weight also applies to the clearing member's (AIFI) trade exposure to the QCCP in cases where the clearing member (AIFI) is obligated to reimburse the client for any losses on such transactions in the event that the QCCP defaults.

Provided that, a clearing member (AIFI) is not required to maintain capital for such transactions, for the trade exposure to the QCCP, if it is not obligated to reimburse the client for such losses, provided the AIFI obtains and maintains an independent, written, and reasoned legal opinion that it is protected from any such liability in case of QCCP defaults.”.

(Sunil T S Nair)
Chief General Manager