Contents - ଆରବିଆଇ - Reserve Bank of India
Contents
Foreword |
List of Select Abbreviations |
Overview |
Chapter I: Macroeconomic Outlook |
Chapter II: Financial Markets |
Chapter III: Financial Institutions: Soundness and Resilience |
Chapter IV: Financial Sector Regulation and Infrastructure |
Chapter V: Systemic Risk Assessment |
Systemic Risk Survey |
Systemic Liquidity Index |
Network Analysis |
Banking Stability Measures |
Macrofinancial Stress Testing |
Annex: Methodologies |
LIST OF BOXES |
2.1 Trading Behaviour of FIIs and Mutual Funds in Indian Equity |
3.1 Euro Zone Crisis and Impact on Indian Banks |
3.2 Impairments and Restructuring Rises in Power and Telecom Sector |
3.3 Deregulation of Savings Bank Interest Rates : An Analysis |
4.1 Dynamic Provisioning |
4.2 The Set of Proposed Policy Reforms for G-SIBs |
4.3 Shadow Banking |
5.1 Network Analysis Concepts |
LIST OF CHARTS |
1 Financial Stability Map |
2 Financial Stability Indicator |
1.1 Macroeconomic Stability Map |
1.2 Macroeconomic Stability Indicator |
1.3 PMIs in the U.S. and Europe |
1.4 Trade Balance of China and the U.S. |
1.5 Sovereign Debt and Borrowings Remains High |
1.6 External Sector Vulnerability Indicator |
1.7 External Sector Stress |
1.8 Slowdown in Sectors |
1.9 PMIs indicate Stagnation/Contraction |
1.10 Deceleration in Components of Domestic Demand |
1.11 Inflation in India and Abroad |
1.12 Food and Energy Inflation in India and Abroad |
1.13 Uptrend in Index of Fiscal Stress |
1.14 Interest Costs Rise and Profits Decline |
1.15 Industrial Sector Outlook |
1.16 Growth in Retail Credit and Retail NPA Ratio |
1.17 All India Housing Price Index |
1.18 Growth in Housing Credit and Housing NPA ratio |
2.1 Financial Markets Stability Map |
2.2 Financial Markets Stability Indicator |
2.3 Sovereign CDS Prices in 5-year Maturity (in basis points) |
2.4 Sovereign CDS Prices in 5-year Maturity (in basis points) |
2.5 Equity Market based Indices of Volatility in US, Europe and India |
2.6 Sovereign Ratings of Europe by Various Agencies |
2.7 European Broad and Bank Stock Indices |
2.8 Libor-OIS Spreads on Euro and US Dollar |
2.9 Deposit Balances with ECB |
2.10 FII Net Purchase and Indian Rupee in 2011 |
2.11 Current and Capital Account Net Flows |
2.12 Yields on Government Securities in Various Maturities |
2.13 Maturities of ECBs and FCCBs |
2.14 International Investment Position of India |
2.15 Foreign Exchange Coverage Ratios |
2.16 Currencies with External Deficit and Broader Currency Indices |
2.17 Difference Between Onshore and Offshore Forward Rate of US$/INR in 3- and 6-month Maturity |
2.18 Range of Analyst Forecasts for US$/INR in end-July |
2.19 Historical Volatility of Various Markets |
2.20 Cash Versus Derivatives Turnover in Equities and their Ratio |
2.21 Composition of Trading in Cash Equities |
2.22 Composition of Trading in Equity Derivatives |
2.23 Nifty Returns Versus FII Net Sales |
2.24 Nifty Returns Versus Net Institutional Activity |
2.25 Volume and Number of Trades in OIS |
2.26 Outstanding Notional Sum and Number of Trades in OIS |
3.1 Consolidated Foreign Claims of European Banks As a Ratio of Nominal GDP of the Respective Country |
3.2 Share of Overseas Branches (Including Subsidiaries) of Indian Banks-September 2011 |
3.3 Growth Rate of Select Balance Sheet Items of SCBs |
3.4 Share of Bank Groups in On and Off Balance Sheet Assets-September 2011 |
3.5 Banking Stability Map |
3.6 Banking Stability Indicator |
3.7 CRAR of Bank Groups |
3.8 CRAR of Banks in Different Countries |
3.9 Trend in Growth Rate of Slippages and Gross NPAs vis-a-vis Gross Loans & Advances |
3.10 Growth Rate of Gross NPAs Split into Half Years |
3.11 Gross NPA Ratios -Cross Country |
3.12 Gross NPA Ratios Vs PCR-Cross Country |
3.13 Sectoral Share in Aggregate Banking System Credit and NPA-September 2011 |
3.14 Growth Rate of NPA and Credit-September 2011 |
3.15 Contribution of Power and Telecom |
3.16 Distribution of Exposure Across Bank Groups |
3.17 Impaired and Restructured Accounts as a Share of Outstanding Bank Credit to Power and Telecom Sectors |
3.18 Break-up of Bank Credit to Power Sector |
3.19 Growth Rate of Credit to Power Sector and Its Components |
3.20 Growth Rate of Components of Earnings |
3.21 Top 10 Borrowers as per cent of Total Assets-June 2011 |
3.22 Share in CASA Vs Cost of Deposits-September 2011 |
3.23 Impact on NIM for 100bps Rise in Savings Bank Deposit Rate |
3.24 Lorenz Curve Representing Distribution of Credit and Deposits Across All the States and Union Territories of India-June 2011 |
3.25 Bank Credit to Industries - Risk Wise |
3.26 Ratio of Illiquidity-June 2011 |
3.27 Decline in Nil Due to a Shock of 200 bps |
3.28 Decline in Capital Funds Due to a Shock of 200 bps |
3.29 Financial Parameters of SUCBs |
3.30 Financial Parameters of Rural Co-operative Banks-March 2010 |
3.31 Financial Soundness Indicators of NBFC-ND-SIs |
3.32 Share in Sources of Funds - NBFC-ND-SIs |
3.33 Credit Risk: Gross Credit - Impact on Capital and NPAs of Commercial Banks under Various Stress Scenarios: September 2011 |
3.34 Credit Concentration Risk - Impact on Capital and NPAs of Commercial Banks under Various Stress Scenarios: September 2011 |
3.35 Liquidity Position of Banks under Stressed Scenarios - Banks Facing Deficits -Liquid Assets Definition-2 : September 2011 |
3.36 Stress Testing SUCBs: Impact of Shocks on Capital Position - June 2011 |
4.1 Effect on Lending Spreads Due to a Percentage Point Increase in Capital Requirements |
4.2 The Framework for Advanced Approaches under Basel II |
4.3 Remit of the FSDC |
4.4 Technical Groups of the FSDC Sub Committee |
4.5 Countercyclical Prudential Regulation - Commercial Real Estate |
4.6 Countercyclical Prudential Regulation - Retail Housing Loans |
4.7 Countercyclical Prudential Regulation - Capital Markets |
4.8 Segments of the Indian Financial System |
4.9 Trends in Value |
4.10 Trends in Volume |
4.11 Network of Banks in the RTGS System (two separate dates) |
4.12 Pattern of Intraday Payments in the RTGS System (Value and Volume) |
4.13 Intraday Payment Patterns of Select Banks (Value) |
4.14 Intraday Payment Patterns of Select Banks (Number of Transactions) |
4.15 Network Structure of Derivative Exposures Between Banks |
4.16 Network Structure of Derivative Exposures Between 20 Core Banks |
5.1 Specific Risks Identified by Respondents of Systemic Risk Survey |
5.2 Risks Most Difficult for Country to Manage |
5.3 Risks Most Difficult for Financial Institutions to Manage |
5.4 Probability of a High Impact Event |
5.5 Change in the Degree of Confidence in the Stability of Financial Systems |
5.6 Systemic Liquidity Index |
5.7 Bank Group Wise Activity in the Interbank Market |
5.8 Percentage Change in Activity Over the Last One Year |
5.9 Inter-Bank Market Share: September 2010 |
5.10 Inter-Bank Market Share: September 2011 |
5.11 Network Structure of the Indian Banking System -September 2010 |
5.12 Network Structure of the Indian Banking System -March 2011 |
5.13 Network Structure of the Indian Banking System -September 2011 |
5.14 Share in the Derivatives Market |
5.15 Derivatives Network –September 2011 |
5.16 Network of the Indian Financial System |
5.17 Network Structure of the Financial System |
5.18 Contagion Due to the Failure of the Largest Net Borrower Bank |
5.19 Movement of JPoD and BSI |
5.20 Movement of Toxicity Index |
5.21 Movement of Vulnerability Index |
5.22 Movement of Cascade Effect |
5.23 Expected Shortfall: System Level |
LIST OF TABLES |
2.1 Spearman’s Rank Correlation Analysis |
3.1 Profitability Ratios |
3.2 Credit Risk: Gross Credit Commercial Banks Falling Below Regulatory Capital Requirements under Stress Conditions: September 2011 |
3.3 Credit Risk: Sectoral – September 2011 |
3.4 Credit Concentration Risk - Commercial Banks Falling Below Regulatory Capital Requirements under Stress Conditions: September 2011 |
3.5 Interest Rate Risk - Banking Book |
3.6 Interest Rate Risk - Trading Book (Modified Duration Approach) |
3.7 Impact on Liquidity Position of Banks under Stressed Scenarios Liquid Assets Definition-1 : September 2011 |
4.1 Settlement Members with RBI / DSBs |
5.1 The Impact of a Global Event on the Domestic Financial System |
5.2 Confidence in the Stability of the Global and Domestic Financial Systems |
5.3 Total Capital Loss (as percentage of banking system capital) due to the Failure of the Top Five Net Borrowers |
5.4 Inter Sector Exposures |
5.5 Macroeconomic Scenario Assumptions |
5.6 Projected Gross NPA Ratios using Different Models |
5.7 Projected CRAR using Different Models |
5.8 Bank-Group-Wise Projected NPAs (Multivariate Panel Regression) |
5.9 Bank-Group-Wise Projected CRAR (Multivariate Panel Regression) |
5.10 Projected Sectoral NPA |