Reports

72 kb
Date : 01 Jul 2021
Contents
Foreword
List of Select Abbreviations
Overview
Chapter I : Macro-Financial Risks
Introduction
Global Backdrop
Macrofinancial Developments and Outlook
Capital Flows and Exchange Rate Volatility
COVID-19 and Impact on Asset Quality of Banks
London Inter Bank Offered rate (LIBOR) Transition
Commodity Markets
Domestic Macrofinancial Risks
Public Finances
Developments in Government Securities and Fixed Income Derivatives Markets
Corporate Sector
Developments in External Sector and Foreign Exchange Derivative Market
Developments in Debt Mutual Funds (MFs)
Valuation of Perpetual Bonds
Banking Stability Indicator
Bank Credit
Wholesale Bank Credit
Bank Credit to MSME Sector
Bank Credit to NBFCs/HFCs
Heterogeneity in Credit Exposures across PVBs
Liquidity Risk in the Banking Sector
Consumer Credit
Housing Market
Systemic Risk Survey
Chapter II : Financial Institutions: Soundness and Resilience
Introduction
Scheduled Commercial Banks
Asset Quality and Capital Adequacy
Sectoral Asset Quality
Credit Quality of Large Borrowers
Resilience – Macro Stress Tests
Sensitivity Analysis
Bottom-up Stress Tests: Credit, Market and Liquidity Risk
Bottom-up Stress Tests: Derivatives Portfolio
Scheduled Primary (Urban) Cooperative Banks
Stress Test – Credit Risk
Stress Test - Liquidity Risk
Non-banking Financial Companies (NBFCs)
Stress Test – Credit Risk
Interconnectedness
Network of the financial system
Contagion Analysis
Chapter III : Regulatory Initiatives in the Financial Sector
Introduction
Global Regulatory Developments and Assessments
Regulatory Restrictions on Dividend Distribution - Calibrated Normalisation
Banking Sector Liquidity
Reform in Non-bank Financial Intermediation
COVID-19-related Loan Loss Provisioning by Banks
Operational Risk in Banks
Other International Regulatory Developments
Insurance Sector
Central Bank Digital Currency
Domestic Regulatory Developments
Initiatives from Regulators/Authorities
Credit Related Measures
Development of the Credit Risk Market
Pre-Packaged Insolvency For MSMEs
Bad Bank
Customer Protection
Centralised Payment Systems – Permitting Membership to Non-bank Entities
Innovation through Regulatory Sandbox
Strengthening of Cyber Security Preparedness in Supervised Entities
Amalgamation of Urban Co-operative Banks
Other Developments
Deposit Insurance
Corporate Insolvency Resolution Process (CIRP)
Mutual Funds
Capital Mobilisation - Equity and Corporate Bonds
Credit Ratings
Commodity Derivatives Market
Insurance
Pension Funds
International Financial Services Centres Authority (IFSCA)
Annex 1: Systemic Risk Survey
Annex 2: Methodologies
Annex 3: Important Regulatory Measures
LIST OF BOXES
1.1 Climate Change and Financial Stability: A Perspective
LIST OF CHARTS
1.1 Global Purchasing Managers’ Indices
1.2 Baltic Dry Index
1.3 Banks’ Loan Loss Provisions
1.4 Profitability and Capital Ratios of Banks
1.5 Equity Prices and CDS spreads
1.6 Global Debt
1.7 Total Portfolio Flows into Emerging Market Economies
1.8 Emerging Market Economies’ Bond Portfolio Returns
1.9 JPY USD Cross Currency Basis Swaps
1.10 EURO USD Cross Currency Basis Swaps
1.11 Brent Crude Spot and Futures - Price Trends
1.12 Movement in Commodity Indices
1.13 FAO Monthly Food Price Index
1.14 Yield Curve Shifts between September 2020 and December 2020 / May 2021
1.15 Smoothened Government Securities and Overnight Index Swap (OIS) Turnover
1.16 Price Impact of ₹25 crore buy and sell order in 10-year benchmark
1.17 Spread between 3-month Unsecured and Risk-free Rate
1.18 Spread between 3-month Risk-free rate and OIS
1.19 Slope of Risk-free and OIS Curves
1.20 Non-bank PDs’ median risk limit utilisation (as a per cent of portfolio) and aggregate quarter end portfolio holdings
1.21 Sales of Listed Non-financial Private Companies – Growth (y-o-y)
1.22 Operating Profit Margin – Listed Non-financial Private Companies
1.23 Leverage, Fixed Assets and Cash Holdings of Listed Non-financial Private Companies – Growth (y-o-y)
1.24 Foreign portfolio investment (FPI) flows
1.25 India's Balance of Payments
1.26 Exchange Rate Movements and Volatility
1.27 Deliverable and Non-deliverable Daily Forward Trade Turnover
1.28 Offshore outstanding forwards at month ends
1.29 MIFOR-OIS spread of key tenors
1.30 Open-ended Debt Fund AUMs
1.31 MFs’ Investment in G-Sec/T-Bills/ CBLO and Spread Products
1.32 Excess Returns in Money Market Funds
1.33 Evolution of Price of AT-1 and Tier-2 Instruments
1.34 Evolution of Yield of AT-1 and Tier-2 Instruments
1.35 Yield Differential between AT-1 Bonds of a PSB and PVB
1.36 Banking Stability Map
1.37 Credit growth in SCBs
1.38 Long term Loan ratings and Number of Obligors
1.39 Exposure distribution of Non-PSU Non-Financial Obligors
1.40 Loan Origination to Stressed MSMEs
1.41 Balances of Stressed MSMEs
1.42 Outstanding Funded Exposure of the Banking Sector to Private NBFCs/HFCs
1.43 Average Risk-weighted Assets (RWA) of Old and New PVBs
1.44 Interest Rate Movements - Old and New PVBs
1.45 Cash Inflows from Retail and Small Business Counterparties
1.46 Inquiry Volumes by Lender Category
1.47 Inquiry Volumes by Product
1.48 Approval Rates by Lender Category
1.49 Inquiry Volumes by Risk Tier
1.50 Growth in Outstanding Balances by Lender Category
1.51 House Launches and Sales
1.52 Unsold Inventory and Inventory Overhang
2.1 Select Performance Indicators
2.2 Select Asset Quality Indicators
2.3 Sectoral Asset Quality Indicators
2.4 Select Asset Quality indicators of Large Borrowers
2.5 Macroeconomic Scenario Assumptions – FY:2021-22
2.6 Projection of SCBs’ GNPA Ratios under Stressed Scenarios
2.7 CRAR Projections under Stressed Scenarios
2.8 Projection of CET-1 Capital Ratio under Stressed Scenarios
2.9 Credit Risk - Shocks and Outcomes
2.10 Credit Concentration Risk: Individual Borrowers’ Exposure
2.11 Credit Concentration Risk: Group Borrowers’ Exposure
2.12 Credit Concentration Risk: Individual Borrowers’ Stressed Advances
2.13 Trading Book Portfolio: Bank-group wise
2.14 Yield Curves and Shift in Yields across tenors since September 2020
2.15 HTM Portfolio – Composition
2.16 HTM Portfolio – Unrealised Gains as on March 31, 2021
2.17 Equity Price Risk
2.18 Liquidity Risk – Shocks and Outcomes
2.19 Bottom-up Stress Tests – Credit and Market Risks – Impact on CRAR
2.20 Bottom-up Stress Tests – Liquidity Risk
2.21 MTM of Total Derivatives Portfolio – Select Banks – March 2021
2.22 Impact of Shocks on Derivatives Portfolio of Select Banks
2.23 Credit Risk in SUCBs
2.24 Credit Risk in NBFCs - System Level
2.25 Bilateral Exposures between Entities in the Financial System
2.26 Network Plot of the Financial System - March 2021
2.27 Net Receivables (+ve) / Payables (-ve) by Institutions
2.28 Inter-bank Market
2.29 Different Bank Groups in the Inter-Bank Market – March 2021
2.30 Composition of Fund based Inter-Bank Market
2.31 Network Structure of the Indian Banking System (SCBs + SFBs+ SUCBs) – March 2021
2.32 Connectivity Statistics of the Banking System (SCBs)
2.33 Gross Receivables of AMC-MFs from the Financial System
2.34 Gross Receivables of Insurance Companies from the Financial System
2.35 Gross Payables of AIFIs to the Financial System
2.36 Gross payables of NBFCs to the Financial System
2.37 Gross payables of HFCs to the Financial System
2.38 Contagion Impact of Macroeconomic Shocks (Solvency Contagion)
3.1 Resource Mobilisation by Mutual Funds and AUM
3.2 Listed Debt Issues by Rating Actions
3.3 Distribution of Rating Downgrades- Sector wise
3.4 Domestic and International Commodity Futures Indices
3.5 Movement in Select Sectoral indices in Commodity Derivatives
3.6 Snapshot of Commodity Derivatives Turnover at Exchanges
3.7 New Business Premium Growth – Life Insurance
3.8 Growth in Total Premia – Life Insurance
LIST OF TABLES
1.1 Growth Projections for 2021 and 2022
1.2 Channels for Policy Measures to Support Bank Lending
1.3 General Government Fiscal Balance and Gross Debt, 2019-22
1.4 Default Rate by Country of Counterparty for EU IRB Banks – Corporate Obligors
1.5 Default Rate by Country of Counterparty for EU IRB Banks – Retail Obligors
1.6 Adjusted probability of default (PD) by Country of the Counterparty for EU IRB Banks - Corporate Obligors
1.7 Adjusted probability of default (PD) by Country of the Counterparty for EU IRB Banks - Retail Obligors
1.8 Percentage DV01 contributed by RFRs - Currency wise
1.9 Percentage DV01 contributed by RFRs for tenors greater than 2 years - Currency wise
1.10 Fiscal Indicators
1.11 Market Borrowings by the Central and State Governments
1.12 Central Government Securities and State Development Loans – Key Investor Profile
1.13 Change in Holdings of G-Secs and SDLs, H2: 2020-21
1.14 Bank-group wise increase in HTM holdings, H2: 2020-21
1.15 Glide Path for Valuation
1.16 Sectoral share in credit by SCBs
1.17 Aggregate Mobilisation of Funds
1.18 Growth in Wholesale Credit to Companies
1.19 Growth in Wholesale Credit to Non-PSU Obligors
1.20 Growth in Wholesale Credit to Non-PSU Non-financial Obligors
1.21 SMA Transition Matrix for Wholesale Portfolio of a Constant Sample of Non-PSU Non-Financial Obligors between September 2020 and April 2021
1.22 Growth in Bank Credit to MSME sector - March 2021
1.23 Restructuring of MSME portfolios – Bank Group wise
1.24 SMA Distribution of MSME Portfolio – Bank Group wise
1.25 Borrower Transition Matrix
1.26 Asset Growth: Old and New PVB Cohorts
1.27 Growth in Credit Active Consumers (number) by Product Type
1.28 Score Migration for Risk Categories
1.29 Delinquency Rates in Aggregate Consumer Credit
2.1 Stress Test Results of COVID-19 pandemic by Central Banks
2.2 Growth in New Loans by SCBs: Economic Sectors and Organisations
2.3 Decline in System Level CRAR
2.4 Tenor-wise PV01 Distribution of AFS Portfolio
2.5 OOI- Profit/(loss) on Securities Trading
2.6 Tenor-wise PV01 Distribution of HFT portfolio
2.7 Interest Rate Risk – Bank-groups - Shocks and Impacts
2.8 Asset Quality and CRARs of NBFCs
2.9 Contagion Losses due to Bank failure – March 2021
2.10 Contagion Losses due to NBFC failure – March 2021
2.11 Contagion Losses due to HFC failure – March 2021
3.1 Corporate Insolvency Resolution Process
3.2 Sectoral Distribution of CIRPs as on March 31, 2021
3.3 CIRPs Ending with Orders for Liquidation till March 31, 2021
3.4 Outcome of CIRPs, initiated Stakeholder-wise, as on March 31, 2021
3.5 SIPs in 2020-21
3.6 Capital/Debt Mobilisation modes
3.7 Segment-wise aggregate turnover (Futures + Options) in Commodity Derivatives
3.8 Business in COVID-19-specific Insurance Products
3.9 Subscriber and AUM Growth: NPS and APY

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