Contents - ఆర్బిఐ - Reserve Bank of India
Contents
Foreword |
List of Select Abbreviations |
Overview |
Chapter I : Macroeconomic Risks |
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 Indicator |
Network Analysis of the Financial System |
Banking Stability Measures and Expected Shortfall |
Macro Stress Testing |
Annex: Methodologies |
LIST OF BOXES |
2.1 The Greek Dilemma |
3.1 Power and Airlines : Sectors under Stress |
3.2 Stress Testing of Derivatives Portfolio of Select Banks |
3.3 Gold Loan Companies and Associated Risks |
4.1 Introduction of Dynamic Loan Loss Provisioning Framework for Banks in India |
4.2 Increased volatility in the foreign exchange market and CCIL’s US$/INR settlement |
5.1 Network Statistics of the Banking System |
5.2 Macro Stress Test - Quantile Regression Approach |
LIST OF CHARTS |
1 Financial Stability Map |
1.1 Macroeconomic Risk Map |
1.2 Slower Global Recovery in 2012 |
1.3 Gross Financing Needs - AEs |
1.4 Growth in World Trade Volume |
1.5 Baltic Dry Index at Low Level |
1.6 GDP Growth in BRICS Economies |
1.7 Trends in Quarterly GDP growth (Y-o-Y) |
1.8 Growth in Drivers of Domestic Demand |
1.9 Rapid increase in Wholesale Prices of Select Commodities |
1.10 Relationship between the Twin Deficits |
1.11 Trends in Gold Imports |
1.12 Revenue Expenditure as proportion to Total Expenditure of Centre |
1.13 Capital Expenditure as proportion to Total Expenditure of Centre |
1.14 Revenue Deficit as a proportion of Gross Fiscal Deficit of Centre |
1.15 Growth in Retail Credit, NPA and PFCE |
1.16 Falling Profit Margins and Rising Interest Costs |
2.1 Money Market Spreads in 2012 in US Dollars and Euros |
2.2 Sovereign CDS Spreads in Europe in 2012 |
2.3 Volatilities of Various Asset Classes |
2.4 Interest Rate Differential between Indian Rates and those of US and Euro |
2.5 Financial Markets Stability Map |
2.6 Financial Markets Stability Indicator |
2.7 Indian Government Bond Yields in 2012 |
2.8 Currencies of EDEs with Current Account Deficits |
2.9 Weekly Returns of Nifty and Defty in 2012 |
3.1 Banking Stability Map |
3.2 Banking Stability Indicator |
3.3 Claims by Indian Banks on Select Countries – Position as on Dec 2011 |
3.4 Claims on Indian Banks by Select Countries as Ratio of Indian Banking Sector Assets |
3.5 Growth Rate of Bank Credit to Select Sectors |
3.6 Credit Growth in Various Sectors - Bank Group Wise |
3.7 CD/ID ratio and Incremental CD/ID ratio of SCBs |
3.8 Growth Rate of Select Components of Balance Sheet |
3.9 Maturity Profile of Deposits and Advances |
3.10 CRAR of Bank Groups |
3.11 Ratio of Net NPAs to Capital of Banks in Select Countries |
3.12 Trend in Growth Rate of Gross NPAs vis-à-vis Loans & Advances |
3.13 Slippages as Ratio of Recoveries |
3.14 Growth of Restructured Accounts vis-à-vis NPAs and Loans |
3.15 NPA Ratios of SCBs |
3.16 Growth Rate of NPAs of Select Sectors |
3.17 Exposure of SCBs to Power Sector |
3.18 NPA and Restructured Accounts in Power Sector |
3.19 Bank Credit to Airlines Sector |
3.20 Top 10 Banks in terms of Credit to Airlines Sector |
3.21 CRAR in the Eventuality of Write off of Existing Stock of NPAs (net) |
3.22 Growth Rate of Earnings |
3.23 Profitability Ratios |
3.24 OBS Assets (Notional Principal) as a Ratio of Balance Sheet Assets |
3.25 Positive and Negative MTM as a Ratio of Capital Funds for Sample of Banks |
3.26 Net MTM as a Ratio of Capital Funds for Sample of Banks |
3.27 Credit Growth – NBFCs vis-à-vis Banks |
3.28 Negative MTM Post-Stress (Scenario) as Ratio of Capital Funds |
3.29 Negative MTM Post-Stress (Sensitivity) as Ratio of Capital Funds |
3.30 Change in Net MTM–Scenario Analysis |
3.31 Change in Net MTM–Sensitivity Analysis |
3.32 Financial Soundness Indicators of NBFC-ND-SIs |
3.33 Financial Soundness Indicators of Scheduled UCBs |
3.34 Growth of Select Balance Sheet Components of RRBs – March 2012 |
3.35 Gross NPA Ratio of RRBs |
3.36 Credit Risk : Gross Credit- Distribution of Stressed CRAR of Banks |
3.37 Interest Rate Risk - Banking Book - Distribution of Stressed CRAR of Banks |
3.38 Bottom-Up Stress Testing: Distribution of Stressed CRAR of Select Banks |
3.39 Impact of Shocks on Capital Position: SUCBs – Mar 2012 |
3.40 Impact of Liquidity Risk Shocks: SUCBs – Mar 2012 |
4.1 RWA Density across Regions |
4.2 Contribution to RWAs of SCBs |
4.3 RWA Density across Bank Groups – Mar 2012 |
4.4 RWA Density of SCBs |
4.5 Increase in initial margin on two days in the review period during which the exchange rate was most volatile |
4.6 Settlement Lags in RTGS |
4.7 Daily average customer transactions settled within one minute |
4.8 Daily average interbank transactions settled within one minute |
4.9 Average settlement values of associate members as a per cent of total settlement values |
4.10 CCIL’s exposures to Designated Settlement Banks |
4.11 Outstanding notional IRS volumes at the end of the month |
4.12 Share of insured deposits of different categories of banks |
4.13 Cross-Country Comparison of Coverage Levels at end-2010 |
4.14 Cross-Country Comparison of Reserve Ratios at end-2010 |
5.1 Specific risks identified in the Risk Survey, October 2011 |
5.2 Specific risks identified in the Risk Survey, April 2012 |
5.3 Risks most difficult for the country to manage |
5.4 Risks most difficult for financial institutions to manage |
5.5 Survey responses on the probability of ‘high’ impact event in the global financial system in the short term |
5.6 Survey responses on the probability of ‘high’ impact event in the global financial system in the medium term |
5.7 Survey responses on the probability of ‘high’ impact event in the domestic financial system in the short term |
5.8 Survey responses on the probability of ‘high’ impact event in the domestic financial system in the medium term |
5.9 The Systemic Liquidity Index |
5.10 Trends in the interbank market |
5.11 Percentage change of activities over a one year period in the interbank market |
5.12 Short Term Funds as a Ratio of Total Borrowing of SCBs (March 31, 2012) |
5.13 Short Term Funds as a Ratio of Total Outside Liabilities (March 31, 2012) |
5.14 Network of the Banking System – March 31, 2011 |
5.15 Network of the Banking System – March 31, 2012 |
5.16 Contagion due to the failure of a top net borrower |
5.17 Potential loss to the banking system due to failure of top banks |
5.18 Potential loss distribution in the banking system due to failure of banks |
5.19 Insurance companies’ investments in different bank groups |
5.20 MFs’ investments in different bank groups |
5.21 Movement of JPoD and BSI |
5.22 Movement of Toxicity Index of Banks |
5.23 Movement of Vulnerability Index of Banks |
5.24 Systemic Inter-linkages among the Banks: Cascade Effect |
5.25 Domino Impact of Banks on the Entire System: Cascade Effect |
5.26 Expected Shortfall to Total Assets: System Level |
LIST OF TABLES |
1.1 External Sector Vulnerability Indicators |
3.1 Consolidated Foreign Claims of European Banks |
3.2 Asset Quality of Select Sectors - Mar 2012 |
3.3 Credit Risk: Gross Credit - Impact on Capital and NPAs |
3.4 Credit Risk: Sectoral – Impact on Capital and NPAs |
3.5 Credit Risk: Concentration- Impact on Capital and NPAs |
3.6 Interest Rate Risk: Banking Book-Impact on Banks |
3.7 Liquidity Risk: Impact on Banks |
4.1 Details of Imposition of Volatility Margin during 2011-12 |
5.1 Impact of a Global Systemic Event on the Domestic Financial System |
5.2 Confidence in the Global and Domestic Financial Systems |
5.3 Contribution of Insurance companies and MFs to Banks Borrowings |
5.4 Percentage distribution of insurance companies and MFs in investment/ lending in the banking system |
5.5 Macroeconomic Scenario Assumptions |
5.6 Projected Gross NPA ratio using Different Models |
5.7 Projected CRAR using Different Models |
5.8 Bank-group-wise Projected NPAs |
5.9 Bank-group-wise Projected CRAR |
5.10 Projected Sectoral Gross NPA ratio |