Potential future exposure rbi
an amount for potential future changes in credit exposure calculated on the basis of the total notional principal amount of the contract multiplied by the following 3 Jun 2019 RBI's prudential exposure norms have evolved since then and a bank's exposure In case of financial problems of the controlling entity, it is highly likely that the 7.17 Instruments such as swaps, futures, forwards and credit 22 Jun 2016 Draft Guidelines for computing exposure for counterparty credit risk PFE = the amount for potential future exposure calculated according to (ii) an amount for potential future changes in credit exposure calculated on the basis of the total notional principal amount of the contract multiplied by the. 10 Sep 2019 Before this rule, the banks used to park their excess dollars with their head offices abroad, which is now not possible. The RBI move is in line with still a requirement of an underlying exposure for undertaking forex derivative transactions. Interest rate futures Substantively also, regulation of these markets being with the RBI makes eminent sense. capture potential future exposures. 1 Apr 2019 The IBA has sought extension of the deadline by another one to two years, chief executive V.G. Kannan said.Three years after RBI came out
31 Mar 2017 Bank of India (RBI) guidelines, the composition of capital instruments for foreign banks in and future risk. Potential Future Exposure (PFE).
16 Apr 2010 RBI regulated entity are considered legally valid in India. A good cover potential future exposure in the event that a clearing member defaults. 31 Mar 2015 Proposed text in RBI regulation (track change mode). 1. Paragraphs. 3.3.2 5.2. 6 The above risk weights will be applied if such exposures are denominated in To the extent possible, a bank should take steps to satisfy itself that the Description of the ways in which current and future risks are taken into The Current Exposure Method requires periodical calculation of the current credit exposure by marking these contracts to market, thus capturing the current credit exposure. (iii) Potential future credit exposure is determined by multiplying the notional principal amount of each of these contracts irrespective of whether the contract has a zero The Current Exposure Method requires periodical calculation of the current credit exposure by marking these contracts to market, thus capturing the current credit exposure. iii) Potential future credit exposure is determined by multiplying the notional principal amount of each of these contracts irrespective of whether the contract has a zero 2.2 The other method (Current Exposure Method) to assess the exposure on account of credit risk on interest rate and exchange rate derivative contracts is to calculate periodically the current replacement cost by marking these contracts to market, thus capturing the current exposure without any need for estimation and then adding a factor ("add-on") to reflect the potential future exposure Potential Future Exposure (PFE) is the maximum expected credit exposure over a specified period of time calculated at some level of confidence (i.e. at a given quantile). PFE is a measure of counterparty risk/credit risk. It is calculated by evaluating existing trades done against the possible market prices in future during the lifetime of
2.2 The other method (Current Exposure Method) to assess the exposure on account of credit risk on interest rate and exchange rate derivative contracts is to calculate periodically the current replacement cost by marking these contracts to market, thus capturing the current exposure without any need for estimation and then adding a factor ("add-on") to reflect the potential future exposure
Potential Future Exposure (PFE) is the maximum expected credit exposure over a specified period of time calculated at some level of confidence (i.e. at a given quantile). PFE is a measure of counterparty risk/credit risk. It is calculated by evaluating existing trades done against the possible market prices in future during the lifetime of The replacement cost (RC) and the potential future exposure (PFE) components are calculated differently for margined and unmargined netting sets. The EAD for a margined netting set is capped at the EAD of the same netting set calculated on an unmargined basis. 5.15.3.5.55 Treatment of multiple margin agreements and multiple netting sets PFE = the amount for potential future exposure calculated according tothe methodology given in Appendix 2. 5.15.3.5.3 Determination of netting set . Under SA-CCR, determination of netting set is critical in computing EAD as 1 If RBI is not satisfied about enforceability under relevant laws, the benefit of netting while computing Differences between BCBS methodology for identification of G-SIB and RBI methodology for identification of D-SIB . 25. The major difference between BCBS methodology for G-SIB identification and RBI methodology for D-SIB identification may be summarized as follows: Potential Future Exposure. Fair Value of collateral that is provided by other RBI will consider implementing these measures for D-SIBs as and when international frameworks on these aspects are agreed to by BCBS. The implementation of these additional measures will depend on the internationally agreed timeline. Potential Future Exposure. c. Fair Value of collateral that is provided by other financial institutions
30 Nov 2011 RBI / 2011-12 /287 potential future exposure add-on factors]. positive (zero, if MTM is negative) and the potential future exposure add-on
RBI will consider implementing these measures for D-SIBs as and when international frameworks on these aspects are agreed to by BCBS. The implementation of these additional measures will depend on the internationally agreed timeline. Potential Future Exposure. c. Fair Value of collateral that is provided by other financial institutions April 14, 2015 Dear All Welcome to the refurbished site of the Reserve Bank of India. The two most important features of the site are: One, in addition to the default site, the refurbished site also has all the information bifurcated functionwise; two, a much improved search – well, at least we think so but you be the judge. potential future credit exposure of these contracts. (ii) Current credit exposure is defined as the sum of the positive mark-to-market value of these contracts. The Current Exposure Method requires periodical calculation of the current credit exposure by marking these contracts to market, thus capturing the current credit exposure. The replacement cost (RC) and the potential future exposure (PFE) components are calculated differently for margined and unmargined netting sets. The EAD for a margined netting set is capped at the EAD of the same netting set calculated on an unmargined basis. 5.15.3.5.55 Treatment of multiple margin agreements and multiple netting sets Potential Future Exposure (PFE) is the maximum expected credit exposure over a specified period of time calculated at some level of confidence (i.e. at a given quantile). PFE is a measure of counterparty risk/credit risk. It is calculated by evaluating existing trades done against the possible market prices in future during the lifetime of PFE = the amount for potential future exposure calculated according to paragraphs 146-187 of this Annex. 129. The replacement cost (RC) and the potential future exposure (PFE) components are calculated differently for margined and unmargined netting sets. The EAD for a margined netting set is capped at There is a strong case for the RBI to review the calculation of potential future exposure on derivatives. The conceptual foundation of market risk and Basle II capital ratios has been to bring regulatory capital nearer “economic capital”: capital needed to absorb the likely losses in the bank’s business, without impairing its ability to pay off deposit liabilities.
31 Mar 2015 Proposed text in RBI regulation (track change mode). 1. Paragraphs. 3.3.2 5.2. 6 The above risk weights will be applied if such exposures are denominated in To the extent possible, a bank should take steps to satisfy itself that the Description of the ways in which current and future risks are taken into
PFE = the amount for potential future exposure calculated according tothe methodology given in Appendix 2. 5.15.3.5.3 Determination of netting set . Under SA-CCR, determination of netting set is critical in computing EAD as 1 If RBI is not satisfied about enforceability under relevant laws, the benefit of netting while computing Differences between BCBS methodology for identification of G-SIB and RBI methodology for identification of D-SIB . 25. The major difference between BCBS methodology for G-SIB identification and RBI methodology for D-SIB identification may be summarized as follows: Potential Future Exposure. Fair Value of collateral that is provided by other RBI will consider implementing these measures for D-SIBs as and when international frameworks on these aspects are agreed to by BCBS. The implementation of these additional measures will depend on the internationally agreed timeline. Potential Future Exposure. c. Fair Value of collateral that is provided by other financial institutions April 14, 2015 Dear All Welcome to the refurbished site of the Reserve Bank of India. The two most important features of the site are: One, in addition to the default site, the refurbished site also has all the information bifurcated functionwise; two, a much improved search – well, at least we think so but you be the judge. potential future credit exposure of these contracts. (ii) Current credit exposure is defined as the sum of the positive mark-to-market value of these contracts. The Current Exposure Method requires periodical calculation of the current credit exposure by marking these contracts to market, thus capturing the current credit exposure.
(iii) Potential future credit exposure is determined by multiplying the notional principal amount of each of these contracts irrespective of whether the contract has an amount for potential future changes in credit exposure calculated on the basis of the total notional principal amount of the contract multiplied by the following