What changed
RBI inserted a note requiring AIFIs to include CCR exposures of all entities required to be consolidated under Chapter II when computing capital on a consolidated basis. Table 13 add-on factors for Interest Rate Contracts, Exchange Rate Contracts and Gold, Equities, Precious Metals except Gold, and Other Commodities were revised with new percentage bands by residual maturity. Notes were added clarifying that add-on factors apply to all outstanding CCR exposures, specifying that AIFIs acting as clearing members of SEBI-recognized exchanges must compute CCR capital charge per paragraph 77, and defining Precious Metals (Silver, Platinum, Palladium) and Other Commodities (energy, agricultural, base metals, etc.). The risk weight for AIFI trade exposure to a QCCP was set at 2% for own purposes and when offering clearing services with reimbursement obligations.
What it means for you
AIFIs must now ensure consolidated CCR capital calculations capture exposures from all entities in the consolidation scope, increasing capital requirements for groups with significant off-balance sheet derivatives. The revised add-on factors will change capital charges for market-related contracts, particularly for longer maturities and commodities, potentially raising costs for certain trading books. The 2% QCCP risk weight provides clarity and relief for clearing members, but AIFIs must verify their reimbursement obligations to qualify.
What you must do
- Review and update consolidated CCR capital computation to include exposures of all entities required to be consolidated under Chapter II.
- Recalculate capital charges using the revised Table 13 add-on factors for all outstanding market-related off-balance sheet items.
- Ensure clearing members of SEBI-recognized exchanges compute CCR capital charge per paragraph 77 for equity and commodity derivatives.
- Verify QCCP trade exposure risk weight eligibility (2%) and document reimbursement obligations for client clearing services.
Who it affects
All India Financial Institutions (AIFIs) subject to capital adequacy directions, AIFIs acting as clearing members of SEBI-recognized stock exchanges, AIFIs with consolidated subsidiaries or entities in their capital adequacy scope, AIFIs dealing in OTC derivatives, exchange-traded derivatives, and securities financing transactions (SFTs)
What is the effective date of these amendments?
The Second Amendment Directions, 2026, come into effect from the date of issue, i.e., March 10, 2026.
Do the revised add-on factors apply to all CCR exposures or only new contracts?
The new note (e) clarifies that add-on factors per Table 13 shall be applicable to all outstanding CCR exposures, not just new ones.
What risk weight applies to an AIFI's trade exposure to a QCCP?
A risk weight of 2% applies to the AIFI's trade exposure to a QCCP for its own purposes and when offering clearing services with an obligation to reimburse clients for losses if the QCCP defaults.