Reports

44 kb
Date : 27 Jun 2019
Contents
Foreword
List of Select Abbreviations
Overview
Chapter I: Macro-Financial Risks
Global Backdrop
Domestic macro-financial developments
Chapter II: Financial Institutions: Soundness and Resilience
Scheduled commercial banks
Performance
Risks
Resilience – Stress tests
Scheduled urban co-operative banks
Performance
Resilience – Stress tests
Non-banking financial companies
Recent developments
Performance
Resilience – Stress tests
Consumer Credit and developments in Non-banking space - A thematic exploration
Network of the financial system
Chapter III: Financial Sector: Regulation and Developments
International developments
Domestic developments
Annex 1: Systemic Risk Survey
Annex 2: Methodologies
LISTS OF BOXES
1.1 Oil prices – Future(s) gazing
2.1 Pledging of shares by promoters of listed companies
3.1 Risk society – The paradigm of risk?
3.2 Asset reconstruction companies - A review
LIST OF CHARTS
1.1 World economic growth rate
1.2 JP Morgan global PMI
1.3 OECD composite leading indicators
1.4 Bloomberg financial condition index
1.5 Equity forward price earnings ratio – MSCI US, EU and the Asia Pacific
1.6 MSCI US, EU and Asia Pacific earnings per share (EPS) estimates
1.7 US and EU 3-year BBB spreads
1.8 EURUSD and USDJPY 3-month implied volatility of ATM options
1.9 Monthly changes in global merchandise trade volume and value (%, y-o-y)
1.10 Monthly changes in emerging economies’ merchandise import and export volumes (%, y-o-y)
1.11 Bloomberg commodity indices
1.12 Daily trading volume for September 2019 Brent options
1.13 US high yield market and CBOE VIX
1.14 US non-financial corporate outstanding liabilities profile
1.15 Speculative-grade default rate (%)
1.16 USD credit to non-bank non-US resident borrowers
1.17 Growth rate (instrument-wise) in USD denominated credit to EMs
1.18 Roll over profile of corporate debt securities
1.19 Emerging markets’ local currency bond returns
1.20 EM currency performance vis-à-vis the US dollar index
1.21 Growth in GDP and select components
1.22 Stalled projects and new investments
1.23 Central and state governments’ net market borrowings (₹ billion)
1.24 SLR holdings of public sector banks (₹ trillion)
1.25 Government of India’s net market borrowings and OMOs (₹ billion)
1.26 World trade and India’s exports
1.27 Net capital flows and current account deficit
1.28 FPI flows
1.29 FPI flows - emerging markets
1.30 Relative valuation of Indian equities
1.31 Revision in earnings estimates – MSCI Asia Pacific versus BSE Sensex
1.32 VIX and foreign exchange option volatility
1.33 Developments in the housing market
1.34 House sales-to-unsold inventory ratio and the launches-to-sales ratio
1.35 House price-to-income ratio
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 Banking stability map
2.6 Macroeconomic scenarios’ assumptions
2.7 Projection of SCBs’ GNPA ratios
2.8 CRAR projections
2.9 Projection of CET 1 capital ratio
2.10 Credit risk - Shocks and impacts
2.11 CRAR-wise distribution of banks
2.12 Range of shifts in CRAR
2.13 Credit concentration risk: Individual borrowers – Stressed advances
2.14 Credit concentration risk: Individual borrowers – Exposure
2.15 Trading book portfolio: bank-group wise
2.16 HTM portfolio: bank-group wise composition
2.17 Equity price risk
2.18 Liquidity risk – Shocks and impacts on liquid stocks
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 2019
2.22 Stress tests – Impact of shocks on derivatives portfolio of select banks – (change in net MTM on application of a shock)
2.23 Growth rates in assets and liabilities of NBFCs
2.24 Major components of sources of fund of NBFCs
2.25 Commercial paper issuance by categories
2.26 Category wise 3-month CP spreads over 91-day T-Bill
2.27 Share by subscribers (% to total CP)
2.28 Asset profiles of NBFC-AFCs
2.29 Asset profiles of NBFC-LCs
2.30 NBFC funding access to various markets
2.31 HFCs’ access to debt markets
2.32 HFCs’ access to bank credit lines
2.33 Top 5 HFC/NBFCs with greatest potential to cause contagion losses to the banking system – Grouped by quarter
2.34 Corporate debt Investments – Relative rating profile
2.35 Corporate debt issue concentration (as a proportion of total corporate debt investment) – Select Open ended debt schemes
2.36 Corporate debt issue concentration (as a proportion of total corporate debt investment) – Fixed maturity plans
2.37 Bilateral exposures
2.38 Network plot of the financial system – March 2019
2.39 Net receivables (+ve) / payables (-ve) by the institutions
2.40 The inter-bank market
2.41 Share of different bank groups in the inter-bank market
2.42 Composition of the fund based inter-bank market
2.43 Network structure of the Indian banking system (SCBs +SUCBs) – March 2019
2.44 Connectivity statistics of the banking system (SCBs)
2.45 Gross receivables of asset management companies
2.46 Gross receivables of insurance companies
2.47 Gross payables of NBFCs
2.48 Gross payables by type of NBFCs
2.49 Gross payables of HFCs
2.50 CP and CD markets
2.51 Size of the CP and CD markets
2.52 A representative contagion plot – Impact of a bank’s failure
2.53 Contagion impact after macroeconomic shocks (solvency contagion)
3.1 Impact on CET1 ratio without application of transitional arrangements
3.2 Increase in provisions (simple average) – First-time applications – Mainly IRB banks
3.3 Increase in provisions (simple average) – First-time applications – Mainly SA banks
3.4 Frauds reported in the banking sector (amount involved >= ₹0.1 million)
3.5 Vintage of frauds reported in 2018-19 (amount involved >= ₹0.1 million)
3.6 Relative share of PSBs in overall fraud amounts reported
3.7 Advance related frauds reported in 2018-19
3.8 Trends in resource mobilization by mutual funds and AUM
3.9 Holdings in mutual funds’ AUM
3.10 Growth in the number of SIPs
3.11 Category wise issuers and subscribers of corporate bonds (public and private)
3.12 Category wise issuers and subscribers
3.13 Ratings migration
3.14 Capital mobilisation in primary markets (in ₹billion)
3.15 Movement of Indian and international commodity indices
LIST OF TABLES
2.1 Credit concentration risk : Group borrowers – Exposure
2.2 Growth in GNPAs due to sub-sector specific shocks - March 2019
2.3 Decline in the system level CRAR (bps) (in descending order)
2.4 Tenor-wise PV01 distribution of AFS portfolio (in per cent)
2.5 Tenor-wise PV01 distribution of HFT portfolio (in per cent)
2.6 Interest rate risk – Bank groups – shocks and impacts
2.7 Aggregated balance sheet of the NBFC sector: y-o-y growth
2.8 Select ratios of the NBFC sector
2.9 Select ratios of the NBFC sector
2.10 Relative Share in Auto-Loans
2.11 Relative Share in Home-Loans
2.12 Relative Share in Loans Against Properties
2.13 Relative Share in Personal Loans
2.14 Relative delinquency levels in Auto-Loans
2.15 Relative delinquency levels in Home-Loans
2.16 Relative delinquency levels in Loans Against Properties
2.17 Relative delinquency levels in Personal Loans
2.18 Relative asset share of firms with high delinquency levels in Auto-Loans
2.19 Relative asset share of firms with high delinquency levels in Home-Loans
2.20 Relative asset share of firms with high delinquency levels in Loans against properties
2.21 Relative asset share of firms with high delinquency levels in Personal Loans
2.22 Liability structures of major HFCs
2.23 Instrument distribution of select OEDs and FMPs
2.24 Top 5 banks with maximum contagion impact - March 2019
2.25 Top 5 HFCs with maximum contagion impact - March 2019
2.26 Top 5 NBFCs with maximum contagion impact - March 2019
3.1 Assets more than 30 days past due classified in stage 1
3.2 Assets more than 90 days past due not classified in stage 3
3.3 The corporate insolvency resolution process -- Number of corporate debtors
3.4 Initiation of the corporate insolvency resolution process
3.5 No. of CIRPs ending with orders for liquidation
3.6 Value of CIRPs ending with orders for resolution
3.7 Status of 6 large accounts initiated by the Reserve Bank
3.8 Segment wise turnover in commodity derivatives
3.9 Subscriber growth in pension funds
3.10 Assets under management
3.11 Important regulatory initiatives (November 2018 - June 2019)

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