Contents - ಆರ್ಬಿಐ - Reserve Bank of India
Contents
Foreword |
List of Select Abbreviations |
Assessment and Outlook |
Chapter I : Macroeconomic Outlook |
Chapter II : Financial Markets |
Chapter III : Financial Institutions |
Chapter IV : Financial Sector Policies and Infrastructure |
Chapter V : Macrofinancial Stress Testing |
ANNEX |
Stress Testing Methodologies |
LIST OF BOXES |
2.1 Algorithm trading/High Frequency Trading |
3.1 Are We Witnessing a Credit Boom? |
3.2 Provision for Pension and Gratuity Liabilities Arising Out of Wage Revision in Public Sector Banks and Old Private Sector Banks: Systemic Concerns |
3.3 Systemic Risks Posed by the Insurance Sector |
4.1 Capital Buffers Proposals Under Basel III |
4.2 The Bank Subsidiary Model and the Financial Holding Company Model |
4.3 Main Features of the Proposed Amendments to Banking Legislations |
4.4 Network Analysis of the Indian Interbank Market – Analytics and Methodology |
5.1 CIMDO-Approach |
LIST OF CHARTS |
1.1 Macroeconomic Risk Map |
1.2 Deceleration of Growth in 2011 |
1.3 PMI in Europe and the U.S. |
1.4 Unemployment Rate |
1.5 Global Imbalances |
1.6 Government Balance and Debt |
1.7 Contribution to Growth – Supply Side |
1.8 Industrial and Capital Goods Production |
1.9 Contribution to Growth – Demand Side |
1.10 Global Commodity Price Indices |
1.11 Housing Prices and Housing Credit |
1.12 Gold Prices Continue to Rise |
1.13 Oil Trade and Price and CAD |
1.14 Net FDI and Portfolio Flows |
1.15 Deficit and Debt (Centre and States) |
1.16 Corporate Sector Performance |
1.17 Household Consumption and Borrowing |
1.18 Impairment in Retail Assets |
1.19 Impairment of Housing Assets |
2.1 10-year Bond Yields (in per cent) |
2.2 US dollar Against Advanced (DXY) and Emerging Asian Currencies (ADXY) |
2.3 Federal Funds Implied Probability of Target Rate in Federal Open Markets Committee Meeting in December 2011 Based on Federal Funds Futures Contracts |
2.4 Stock Indices (normalised, July 1, 2010 = 100) |
2.5 US$/JPY Spot Rate and 1 Month Volatilities (in per cent) |
2.6 European Sovereign CDS in 5-year Maturity (in basis points) |
2.7 Near Month Energy Futures Prices (in US$) |
2.8 OPEC Capacity Versus Actual Production and OPEC Quota (In 000s barrels per day) |
2.9 Commodity Price Movements (normalised, 02 July 2010 = 100) |
2.10 30 – Day Rolling Correlation of Reuters – Jeffries CRB Index with Various Assets |
2.11 Factors Affecting Banking System’s Liquidity |
2.12 Money Market Rates in India (in per cent) |
2.13 Indian Sovereign Yield Curve Shapes |
2.14 WPI Inflation Forecasts and Actuals, and RBI Repo Rate (in per cent) |
2.15 Bond Market Yields in 10-year Maturity (in per cent) |
2.16 FII Equity and Debt Daily Net Flows (US$ million) and Exchange Rate of Rupee |
2.17 Trend in ECBs and FCCBs and Interest Rate Differentials in 10-years |
2.18 India’s International Investment Position (in US$ billion) |
2.19 25 Delta Risk Reversals in the 6 Month Maturity for US$/INR and US$/CNY (in per cent) |
2.20 Redemption Profile of FCCBs (in US$ million) |
2.21 FII Gross Monthly Purchases and Sales in Equity Markets (in ` crore) |
2.22 FII Gross Monthly Purchases and Sales in Debt Markets (in ` crore) |
2.23 Financial Stress Indicator (with Projections upto August 2011 in Green) |
3.1 Sovereign Funding Requirements |
3.2 Banking Funding Needs |
3.3 Growth in Select Balance Sheet Components |
3.4 Share of CDs and Borrowings in Liabilities |
3.5 Level of Liquid Assets |
3.6 Maturity Profile of the Deposits and Advances |
3.7 Ratio of CDs and Borrowings and CASA Deposits to Total Deposits |
3.8 Growth of Credit and NPAs during Phases of Upturn and Downturn |
3.9 Growth in Credit, NPAs and Tier-I Capital Funds vis-a-vis their Growth Trend |
3.10 Credit Growth vis-à-vis its Long Term Trend |
3.11 Share of Loans to Commercial Real Estate, Retail and Infrastructure in Gross Credit |
3.12 Growth of Combined Exposure (Retail, Commercial Real Estate and Infrastructure Loans) |
3.13 Growth in Real Estate Loans |
3.14 Share of Real Estate Loans in Gross Credit |
3.15 Real Estate NPA Ratios |
3.16 Share of Retail Loans and its NPAs in Gross Advances and Gross NPAs |
3.17 Growth in Housing and Personal Loans |
3.18 Growth in Retail Loan NPAs |
3.19 Ratio of Retail Loan NPAs |
3.20 Growth of Infrastructure Loans and its NPAs |
3.21 Share of Important Infrastructure Segments in Total Infrastructure Credit |
3.22 Growth in Infrastructure Segments |
3.23 Ratio of NPAs in Banks’ Exposure to Infrastructure Sector |
3.24 Risk Wise Distribution of Bank Credit to Industries |
3.25 Bank Groups’ Exposure to High Risk Industries |
3.26 Growth in the Outstanding Exposure and NPAs in Priority Sectors |
3.27 Growth in OBS Exposures Among Bank Groups |
3.28 Distribution of OBS Exposure |
3.29 Composition of OBS’ Constituents |
3.30 Capital Adequacy Ratios of the Banks’ Groups |
3.31 Leverage Ratio of Bank Groups |
3.32 Gross and Net NPA Ratios |
3.33 Growth of Advances and NPAs |
3.34 Slippage Ratio Over the Years |
3.35 Category Wise NPAs |
3.36 Provisioning Coverage Ratios (PCR) of Bank Groups |
3.37 Income and Expense Components as Proportion of Total Income and Expense |
3.38 Growth of Select Components of Income and Expense |
3.39 Share of Profit from Trading in Investments and Staff Expenses in Other Income/Expenses |
3.40 Profitability Ratios |
3.41 Banking Stability Map |
3.42 Banking Stability Indicator |
3.43 Gross NPA Ratio of Co-operative Banking Sector |
3.44 Select Financial Performance Indicators of Scheduled UCBs |
3.45 Borrowings of NBFCs ND SIs |
3.46 Financial Soundness Indicators of NBFCs ND SIs |
3.47 Financial Soundness indicators of NBFC-Ds |
4.1 CRAR Projections (2012) |
4.2 CRAR Projections (2013) |
4.3 Ratio of Credit to GDP |
4.4 Ratio of Credit to GDP(Seasonally Adjusted) |
4.5 Real GDP Growth |
4.6 Interest Income to Total Assets |
4.7 Profit Before Tax to Assets |
4.8 Price to Earnings (PE) Ratio |
4.9 Increase in Risk Weighted Assets Based on Transitional and Stressed Ratings |
4.10 Bipartite Representation of Bank Lending in Four Banking Groups |
4.11 Net Bilateral Exposures of All Banks |
4.12 Net Bilateral Exposure of Top 20 Banks |
4.13 Impact of Failure of One Trigger Bank |
4.14 Impact of Failure of Two Trigger Banks |
4.15 Impact of the Failure of Top 20 Banks (one at a time) |
4.16 Impact of the Failure of Ten Pairs of Trigger Banks (one pair at a time) |
4.17 Trends in Volume |
4.18 Trends in Value |
4.19 Cross-system Linkages in the Indian Scenario |
4.20 Common Participants in Various Payments and Settlements Systems |
5.1 JPOD and BSI |
5.2 Individual PoDs and JPoDs : Percentage Changes |
5.3 Toxicity Index: Bank-wise |
5.4 Vulnerability Index : Bank-wise |
5.5 Cascade Effects : Bank-wise |
5.6 Simulation of Stress Conditions: Change in Density of Aggregate Risk Indicator - Return on Assets – March 2011 |
5.7 Duration of Equity - Trend (Commercial Banks) |
5.8 Duration of Equity – Frequency Distribution |
5.9 Duration of Equity - Frequency Distribution |
5.10 Liquidity Position of Banks : March 2010 Baseline and Stressed Scenario |
5.11 Liquidity Position of Banks: March 2011 Baseline and Stressed Scenario |
5.12 Liquidity Sustainability Ratio: March 2011 |
5.13 Non-Performing Advances under Stress Scenarios |
5.14 Banks Capital Adequacy Ratios : Translated from NPAs Under Stress Scenarios |
5.15 Movement of Accumulated Impulse Response |
5.16 Stress Testing Scheduled UCBs: Impact of Shocks on Capital Position |
LIST OF TABLES |
2.1 ECBs Registered with the Reserve Bank (in US$ million) |
2.2 VAR Granger Causality |
2.3 Parameter Estimates |
2.4 Lenders’ Profile of ECBs (in US$ million) |
2.5 Autocorrelation coefficients at the First and Second Lag Level for Daily Net FII Flows in Equity and Debt into India |
3.1 Distribution of SCBs’ CRAR and Core CRAR |
3.2 Indicators Used for Construction of Banking Stability Map and Banking Stability Indicator |
5.1 Stress Test on Projected Balance Sheet |
5.2 Baseline Projections |
5.3 Stress Scenarios |
5.4 Non Performing Advances Ratio Under Stress Conditions |