Reports

53 kb
Date : 27 Dec 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 cooperative banks
Performance
Resilience – Stress tests
Non-banking financial companies
Performance
Resilience – Stress tests
The real estate sector
Consumer credit and developments in Non-banking space – a follow up
Network of the financial system
Chapter III: Financial Sector: Regulation and Developments
International developments
Domestic developments
Annex 1: Systemic Risk Survey
Annex 2: Methodologies
LIST OF BOXES
1.1 Global banking sector’s claims on non-banking financial institutions: Out of the shadows
1.2 Wholesale credit growth in the banking sector- the recent experience
1.3 Are Indian bond markets efficiently assimilating information?
2.1 Dynamics of withdrawn ratings: A snapshot of long-term bank loan rating behaviour
3.1 A comparative analysis of the return and valuation characteristics of G-SIBs and D-SIBs in key jurisdictions
3.2 Impairment assessment under Ind AS – A survey of retail portfolios of major NBFCs
3.3 Credit screening by investors in short-term instruments
LIST OF CHARTS
1.1 World economic growth
1.2 Global and US Economic Surprise Index
1.3 Share of negative yielding bonds in the total value of the Bloomberg Barclays Global Bond Index
1.4 Bloomberg Barclays Global Aggregate Bond Index’s modified duration
1.5 The Global Economic Policy Uncertainty Index
1.6 Global merchandise trade volume and value (per cent, y-o-y)
1.7 Monthly changes in emerging economies’ merchandise import and export volumes (per cent, y-o-y)
1.8 Bloomberg Energy Index
1.9 Daily trading volume of March 2020 Brent options
1.10 Brent futures - periodic snapshots
1.11 The Bloomberg Base Metals Index
1.12 Global debt
1.13 Emerging market indebtedness as a per cent of GDP – sectoral distribution
1.14 Emerging market capital flows: 3-month moving sum
1.15 Capital flows to emerging markets
1.16 MSCI forward earnings per share estimates - developed and emerging markets
1.17 MSCI forward price earnings (P/E) multiple - developed and emerging markets
1.18 Emerging market bond returns
1.19 Growth in world trade and India’s exports
1.20 Current account deficit and capital flows financing
1.21 FPI flows
1.22 FPI flows – emerging markets
1.23 Relative valuation of Indian equities
1.24 Trends in corporate earnings
1.25 NBFC and non-financial companies: weighted inter-quartile difference of 3-month CP yields (A1+ rating grade)
1.26 Movements in policy rate and deposit rates of specific tenors
1.27 Long term bank loan ratings movement and number of obligors
1.28 Incremental GNPA ratio due to slippages from the downgraded cohort
1.29 SMA to standard asset ratio of the downgraded companies in the last four quarters
1.30 Trends in average risk weight of wholesale banking obligors
1.31 House prices - y-o-y growth
1.32 House sales
1.33 Unsold inventory
2.1 Select performance indicators of SCBs
2.2 Select asset quality ind icators of SCBs
2.3 Sectoral asset quality indicators of SCBs
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 I 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 Equity price risk
2.17 Liquidity risk – shocks and impact on liquid stocks
2.18 Net MTM of the total derivatives portfolio – select banks – September 2019
2.19 Stress tests – impact of shocks on derivatives portfolios of select banks
2.20 Bilateral exposures
2.21 Network plot of the financial system – September 2019
2.22 Net receivables (+ve) / payables (-ve) by the institutions in the financial system
2.23 The inter-bank market
2.24 Share of different bank groups in the inter-bank market
2.25 Composition of the fund based inter-bank market
2.26 Network structure of the Indian banking system (SCBs +SUCBs) – September 2019
2.27 Connectivity statistics of the banking system (SCBs)
2.28 Gross receivables of asset management companies from the financial system
2.29 Gross receivables of insurance companies from the financial system
2.30 Gross payables of NBFCs to the financial system
2.31 Gross payables of HFCs to the financial system
2.32 Size of the CP and CD Markets
2.33 A representative contagion plot – impact of a bank’s failure
2.34 Contagion impact after macroeconomic shocks (solvency contagion)
3.1 Applicable countercyclical capital buffer
3.2 Geographical spread of countries implementing the CCyB measure
3.3 Reasons for adopting CCyB
3.4 Macroprudential tools targeting non-banking financial sector
3.5 Macroprudential tools targeting household and corporate sectors
3.6 Amount involved in reported frauds (2014-15 to H1:2019-20)
3.7 Trends in resource mobilisation by mutual funds and AUM
3.8 Trends observed in MFs’ exposure to downgraded corporate bonds
3.9 Capital mobilisation in the primary market
3.10 Capital mobilisation through equity and debt issues
3.11 Category-wise issuers and subscribers of corporate bonds
3.12 Category-wise issuers and subscribers of corporate bonds (public and private)
3.13 Movement of Indian and international commodity indices
3.14 Product segment-wise share in all India derivatives turnover (futures + options)
LIST OF TABLES
1.1 Commercial sector outstanding balance across all intermediaries (in ₹ crore)
2.1 Average risk weight (in per cent) – sector-wise
2.2 Credit concentration risk: Group borrowers – exposure
2.3 Decline in system level CRAR (bps) (in descending order)
2.4 Tenor-wise PV01 distribution of the AFS portfolio
2.5 Tenor-wise PV01 distribution of the HFT portfolio
2.6 Interest rate risk – bank groups – shocks and impact
2.7 NBFCs’ asset quality and CRAR
2.8 Relative share of exposures of various financial intermediaries to the real estate sector
2.9 Evolution of impairment across financial intermediaries
2.10 Evolution of 180+ dpd / loss assets across financial intermediaries
2.11 Relative delinquency in auto loans
2.12 Relative delinquency in home loans
2.13 Relative delinquency in loans against property
2.14 Relative delinquency in personal loans
2.15 Top 5 banks with maximum contagion impact – September 2019
2.16 Top 5 NBFCs with maximum contagion impact – September 2019
2.17 Top 5 HFCs with maximum contagion impact – September 2019
3.1 Frauds reported during the last 5 financial years and H1:2019-20
3.2 Credit related frauds reported during the last 5 financial years and H1:2019-20 (amount involved >= ₹ 1 lakh)
3.3 Vintage of frauds reported in 2018-19 (amount involved >= ₹ 1 lakh)
3.4 Vintage of frauds reported in H1:2019-20 (amount involved >= ₹ 1 lakh)
3.5 Relative share of each bank group in the overall frauds reported (amount involved >= ₹ 1 lakh)
3.6 Relative share of each fraud category in the overall frauds reported (amount involved >= ₹ 1 lakh)
3.7 Total insured deposits (₹ crore)
3.8 The corporate insolvency resolution process (Number)
3.9 Sectoral distribution of CDs under CIRP as on September 30, 2019
3.10 Initiation of the corporate insolvency resolution process
3.11 Status of CIRPs as on September 30, 2019
3.12 CIRPs ending with orders for liquidation
3.13 SIPs in 2019-20 (April 01, 2019 to September 30, 2019)
3.14 SIP versus non-SIP net inflows (₹ crore)
3.15 Credit ratings of debt issues of listed companies by major CRAs
3.16 Segment-wise turnover in commodity derivatives
3.17 Subscribers and AUM growth: NPS and APY
3.18 Important regulatory initiatives (June 2019 – November 2019)

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