Reports

78 kb
Date : 29 Dec 2021
Contents
Foreword
List of Select Abbreviations
Overview
Chapter I : Macrofinancial Risks
Global Backdrop
Macrofinancial Developments and Outlook
Other Global Macrofinancial Developments
Capital Flows and Exchange Rate Volatility
London Inter Bank Offered Rate (LIBOR) Transition
Comodity Markets
Private Cryptocurrency Risks
Domestic Macrofinancial Risks
Public Finance
Government Securities and Fixed Income Derivatives Markets
Corporate Sector
External Sector Developments and Foreign Exchange Derivatives Markets
Domestic Equity Market
Mutual Funds
Banking Stability Indicator
Bank Credit
Wholesale Bank Credit
Credit flows to MSME Sector
Banks’ Deposit Profile
Resolution Analysis
Microfinance Segment
Non-Banking Financial Companies (NBFCs)
Consumer Credit
Housing Market
Systemic Risk Survey
Chapter II : Financial Institutions: Soundness and Resilience
Scheduled Commercial Banks (SCBs)
Asset Quality
Sectoral Asset Quality
Credit Quality of Large Borrowers
Capital Adequacy
Earnings and Profitability
Resilience – Macro Stress Tests
Sensitivity Analysis
Bottom-up Stress Tests: Derivatives Portfolio
Primary (Urban) Cooperative Banks
Stress Testing
NBFCs
Stress Test - Credit Risk
Stress Test - Liquidity Risk
Interconnectedness
Financial System Network
Contagion Analysis
Chapter III : Regulatory Initiatives in the Financial Sector
Global Regulatory Developments and Assessments
Lessons from the Pandemic
Systemic Resilience of Money Market Funds (MMFs)
Pandemic Measures: Financial Stability Implications
Other International Regulatory Developments
Domestic Regulatory Developments
Initiatives from Regulators/Authorities
Transfer of Loan Exposures
Securitisation of Standard Assets
Credit Risk Mitigation (CRM) for Derivative Transactions of Foreign Bank Branches
Scale Based Regulation for NBFCs
Opening of Current Accounts by Banks
Retail Direct Scheme
Customer Protection
Integrated Ombudsman Scheme, 2021
Default Fund (DF) of CCIL
Fintech
Enforcement
Swing Pricing Framework for Mutual Fund Schemes
Other Developments
Deposit Insurance
Corporate Insolvency Resolution Process
Mutual Funds
Commodity Derivatives
Corporate Bond Market
Credit Ratings
Insurance
Pension Funds
Annex 1: Systemic Risk Survey
Annex 2: Methodologies
Annex 3: Important Regulatory Measures
LIST OF BOXES
1.1 An Assessment of the Uniform Price Auction Method
1.2 Term Structure of Volatility
2.1 Systemic Risk in the Banking Sector
3.1 Fintech Regulation in India – The Evolving Landscape
LIST OF CHARTS
1.1 Global Purchasing Managers’ Indices (PMI)
1.2 Goods Trade Barometer
1.3 Baltic Dry Index
1.4 Global Economic Surprise Index
1.5 Citi EM Asia Financial Conditions Index
1.6 Financial Conditions in Major Global Economies
1.7 Movement in AE and EME Currencies
1.8 2-year Yield in Major Advanced Economies
1.9 10-year Yield in Major Advanced Economies
1.10 G-7 Central Banks’ share of Government Debt and Issuances
1.11 Smoothed 2-year and 10-year US Treasury and OIS Spread
1.12 Term Structure - USD Swaption 3-year Rate Volatility
1.13 Growth Projections for Select Liability Classes of EBA Banks
1.14 US & Euro Area Select Mutual Fund Assets
1.15 AE Domestic Non-Banks’ Share of Government Debt and Issuances
1.16 Emerging Market Bond Flows and Portfolio Returns
1.17 Median Cross - Currency Basis swap: select EMEs
1.18 Portfolio Flows to Emerging Markets
1.19 Risk Perception of Investors
1.20 Brent Crude Spot and Futures – Price Trends
1.21 Daily Trading Volume for Brent Options at select Strike Prices
1.22 Bloomberg Commodity and Metal Indices
1.23 FAO Monthly Food Price Index
1.24 Investment in Commodity Linked Investment Funds
1.25 Repayment Obligations of Central Government – Dated Securities
1.26 Central Government Primary and Secondary Market Yields
1.27 Yield Curve Shifts between end-March 2021 and December 2021 (up to December 13, 2021)
1.28 G-Sec and OIS Turnover
1.29 Market Risk in Overnight G-Sec Holdings
1.30 Sale of Listed Non-financial Private Companies - Growth
1.31 Operating Profit Margin - Listed Non-financial Private Companies
1.32 Operating Profit Margin – Listed Private Manufacturing Companies by Borrower Size
1.33 Leverage, Fixed Assets and Cash Holdings of Listed Private Manufacturing Companies
1.34 India’s Balance of Payments
1.35 Foreign Portfolio Investment
1.36 USD-INR and 3-month Historical and Implied Volatility
1.37 Currencies Against the US Dollar
1.38 Deliverable and Non-Deliverable Daily Forward Trade Turnover
1.39 Offshore Outstanding Forwards
1.40 MIFOR-OIS Spreads
1.41 INR Swaptions
1.42 Trend in Investments in the Equity Cash Segment
1.43 1-year Forward P/E Ratio over 10-year Averages
1.44 Retail Participation in Equity Market (Ownership by Value)
1.45 AUMs of Open-ended Debt and Equity Funds
1.46 MF’s Investments in G-Sec /T-Bills/CBLO and Spread Products
1.47 Investor Profile of Debt Schemes
1.48 Investor Profile of Equity Schemes
1.49 Excess Return in Money Market Funds
1.50 Corporate Bond Holdings of Mutual Funds
1.51 3-Year AAA Non-Financial Non-PSU Corporate YTM
1.52 Banking Stability Map
1.53 Credit Growth - SCBs
1.54 Exposure Distribution of Non-PSU Non-Financial Obligors
1.55 Long Term Loan Ratings
1.56 ECLGS Guarantees
1.57 Bank Group-wise ECLGS Guarantee
1.58 Run-Off Profiles of Deposits
1.59 Deposit profiles of PVBs
1.60 SLR Maintenance by Bank Groups
1.61 Delay in Initiation of Insolvency for specific Creditor Cohorts
1.62 Growth in Microfinance Portfolio
1.63 Microfinance Segment - Impairment
1.64 Bank Credit to NBFCs / HFCs
1.65 CP Issuances of Private NBFCs
1.66 Inquiry Volumes by Product Category
1.67 Inquiry Volumes by Lender Category
1.68 Growth in Credit Active Consumers
1.69 Inquiry Volume by Risk Tier
1.70 Approval Rates by Lender Category (per cent)
1.71 Growth in Outstanding Balances Across Lender Category
1.72 House Sales, Launches and Unsold Inventory
1.73 Unsold Inventory and Inventory Overhang
2.1 Deposit and Credit Profile of SCBs
2.2 New Loans by SCBs by Sector and Loan Type
2.3 Select Asset Quality Indicators
2.4 Sectoral Asset Quality Indicators
2.5 Select Asset Quality Indicators of Large Borrowers
2.6 Capital Adequacy
2.7 Select Performance Indicators of SCBs
2.8 Macroeconomic Scenario Assumptions for H2:2021-22 and H1:2022-23
2.9 Projection of SCBs’ GNPA Ratios
2.10 CRAR Projections
2.11 Projection of CET 1 Capital Ratio
2.12 Credit Risk - Shocks and Outcomes
2.13 Credit Concentration Risk: Individual Borrowers - Exposure
2.14 Credit Concentration Risk: Group Borrowers - Exposure
2.15 Credit Concentration Risk: individual Borrowers – Stressed Advances
2.16 Trading Book Portfolio: Bank-Group wise
2.17 Yield Curves and Shift in Yields Across Tenors since March 2021
2.18 HTM Portfolio - Composition
2.19 HTM Portfolio - Unrealised Gains as on September 30, 2021
2.20 Equity Price Risk
2.21 Liquidity - Risk Shocks and Outcomes
2.22 MTM of Total Derivatives Portfolio, Select Banks - September 2021
2.23 Impact of Shocks on Derivatives Portfolio of Select Banks
2.24 Credit Profile and Assets Quality Indicators of UCBs
2.25 Stress Test of UCBs
2.26 Sectoral Deployment of Credit
2.27 Share of Different NBFC Category in Gross Advances
2.28 Profile of P2P NBFCs
2.29 Profitability and Capital Adequacy
2.30 Sectoral GNPA of NBFCs
2.31 NBFCs’ Source of Funds
2.32 Borrowings by NBFCs’
2.33 Credit Risk in NBFCs – System Level
2.34 Bilateral Exposures between Entities in the Financial System
2.35 Network Plot of the Financial System - September 2021
2.36 Net Receivable (+ve) / Payables (-ve) by Institutions
2.37 Inter-Bank Market
2.38 Different Bank Groups in the Inter-Bank Market - September 2021
2.39 Composition of fund Based Inter-Bank Market
2.40 Network Structure of the Indian Banking System (SCBs + SFBs + SUCBs) – September 2021
2.41 Connectivity Statistics of the Banking System (SCBs)
2.42 Gross Receivable of AMC-MFs from the Financial Systems
2.43 Gross Receivable of Insurance Companies from the Financial System
2.44 Gross Payables of AIFIs to the Financial System
2.45 Gross Payables of NBFCs to the Financial System
2.46 Gross Payables of HFCs to the Financial System
2.47 Contagion Impact of Macroeconomic Shocks (Solvency Contagion)
3.1 Analysis of Aggregate Liquidity Buffer Maintained by Three Global Central Counterparties
3.2 Category of Complaints in Banking Ombudsman Offices
3.3 Domestic and International Commodity Futures Indices
3.4 Movement in Select Sectoral Indices in Commodity Derivatives
3.5 Commodity Derivatives Turnover at Exchanges
3.6 Fund Raised through Primary Market
3.7 Issuance of CPs and NCDs
3.8 Rating-wise Issuance of CPs and Listed NCDs
3.9 Category- wise Issuers and Subscribers of Corporate Bonds
3.10 Listed Debt Issues by Rating Actions
3.11 Distribution of Rating Downgrades – Sector-wise
3.12 First Year Premium Growth – Life Insurance
3.13 Growth in Total Premium - Life Insurance
3.14 NPS and APY Subscribers – Sector-wise
3.15 NPS and APY AUM-Sector-wise
LIST OF TABLES
1.1 Growth Projection for 2021-2023
1.2 General Government Fiscal Balance, 2019-26: Overall Balance
1.3 Cross-border Banking Flows to Non-Bank Entities of EMDEs
1.4 Percentage DV01 Contributed by RFRs – Currency Wise
1.5 US Reported RFR Linked Interest Rate Derivatives
1.6 CPI Inflation in Select Advanced Economies
1.7 Fiscal Indicators – Central Government
1.8 Market Borrowings by the Centre and States
1.9 Incremental Holdings of Dated G-Secs and SDLs: H1:2021-22
1.10 Dated G-Secs and SDLs – Investor Profile
1.11 Bank Group - wise Incremental HTM Holdings, H1:2021-22
1.12 International Banking Flows to India
1.13 Valuation Matrices
1.14 Sectoral Share in Incremental Credit by SCBs
1.15 Growth in Wholesale Credit to PSUs
1.16 Aggregate Mobilisation of Funds
1.17 Growth in Wholesale Credit to Non-PSU Non-financial Companies
1.18 SMA Transition Matrix of Wholesale Portfolios - Non-PSU Non-financial Obligors December-19 to September-21
1.19 SMA Transition Matrix of Wholesale Portfolios - Non-PSU Non-financial Obligors June-21 to September-21
1.20 Bank Credit to MSME Sector
1.21 ECLGS Guarantee Disbursement
1.22 Bank Group-wise Restructuring of MSME portfolio
1.23 Bank Group-wise SMA Distribution of MSME Portfolio
1.24 Borrowers Transition Matrix (September2020 – September 2021)
1.25 Recovery Rates and Delay in Various Stages in a Select Sample of Cases Resolve between September 2019 and September 2021
1.26 One-Year Transition Rate in Wholesale Substandard and Doubtful Assets
1.27 NPA Composition of PSBs and PVBs Combined
1.28 Asset Growth of Select NBFCs – A Segmental View
1.29 Gross CP Issuances by Select NBFCs
1.30 Weighted Average Maturity of Issuances of Select NBFCs
1.31 Share of CP Outstanding in Aggregate Liability of Select NBFCs
1.32 Intra-month CP Related Outflows
1.33 Consumer Distribution by Risk Tier and Lender Category
1.34 PSB Origination by Risk Tier
1.35 Delinquency Levels in Aggregate Consumer Credit Across all Product Category
1.36 Score Migration for Risk Categories
2.1 Decline in System Level CRAR
2.2 Tenor-wise PV01 Distribution of AFS Portfolio
2.3 OOI - Profit/(loss) on Securities Trading
2.4 Tenor-wise PV01 Distribution of HFT Portfolio
2.5 Interest Rate Risk – Bank-groups - Shocks and Impacts
2.6 Liquidity Risk in NBFCs
2.7 Contagion Losses due to Bank Failure – September 2021
2.8 Contagion Losses due to NBFC Failure – September 2021
2.9 Contagion Losses due to HFC Failure – September 2021
3.1 SITG Ratios for Selected CCPs
3.2 Claims Settled and Recovery of Claims
3.3 Deposit Insurance Premium
3.4 Deposit Insurance Fund (DIF)
3.5 Corporate Insolvency Resolution Process
3.6 Outcome of CIRPs, Initiated Stakeholder-wise, as on September 30, 2021
3.7 Growth in SIPs (FY: 2021:22)
3.8 Segment-Wise Aggregate Turnover (Future + Options)

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