What changed
RBI reviewed and updated the capital charge for credit risk on standalone PDs' exposures to interest rate derivative contracts, repo/reverse repo transactions, and central counterparties. The revised guidelines are detailed in an annex to the circular and take effect from April 1, 2014.
What it means for you
Standalone Primary Dealers must recalibrate their capital calculations for these specific exposures from April 1, 2014. The changes likely aim to align with evolving market practices or risk assessments, but the core capital adequacy framework from the July 2013 Master Circular remains intact.
What you must do
- Review the revised capital charge guidelines in the annex for interest rate derivatives, repo/reverse repo, and CCP exposures.
- Update internal capital adequacy systems to reflect the new rules effective April 1, 2014.
- Ensure compliance with all unchanged provisions of the July 1, 2013 Master Circular on Capital Adequacy Standards.
Who it affects
Standalone Primary Dealers, RBI's Financial Markets Regulation Department
When do the revised capital guidelines take effect?
The revised guidelines come into effect from April 1, 2014.
Which exposures are covered by the revised capital charge?
The revisions apply to credit risk capital charges for interest rate derivative contracts, repo/reverse repo transactions, and exposures to central counterparties.
Are any existing capital adequacy guidelines being replaced?
No. Only the specific guidelines on capital charge for these exposures are revised; all other guidelines from the July 1, 2013 Master Circular remain unchanged.