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Date : 26 Jun 2018
List of Select Abbreviations
Chapter I: Macro-Financial Risks
Global economy and the risks of spillover
Domestic macro-financial developments
Chapter II: Financial Institutions: Soundness and Resilience
Scheduled commercial banks
Resilience – Stress tests
Scheduled urban co-operative banks
Resilience – Stress tests
Non-banking financial companies
Resilience – Stress tests
Chapter III: Financial Sector: Regulation and Development
International and domestic developments
Other developments, market practices and supervisory concerns
Annex 1: Systemic Risk Survey
Annex 2: Methodologies
1.1: USD liquidity for non-US borrowers
2.1: Objective of Bank Stress Tests
2.2: PCA PSBs vis-à-vis non-PCA PSBs: A Comparative Analysis
3.1: Identification and measurement of NPAs: A cross-country comparison
3.2: Issues in lending decisions
3.3: PSBs’ legacy asset choices and realised credit risks – A comparison between PSBs under PCA and Benchmark PSBs
3.4: Guidelines for co-location and Algo trades
3.5: EU – Data protection
1.1 JP Morgan Global Manufacturing PMI
1.2 OECD composite leading Indicators
1.3 Bloomberg Financial Conditions Index
1.4 US Fixed Income supply
1.5 Euro area net acquisition of assets (debt and equity)
1.6 The LIBOR-OIS spread
1.7 Trade intensity and China’s trade balance
1.8 Direction of exports (Free on board)
1.9 Bloomberg commodity indices
1.10 US HY bond index and volatility index
1.11 Leverage of US corporates
1.12 Investment risk appetite and EM investment grade spreads over US treasury
1.13 Correlation between GBI-EM Global Asia and Dollar Index
1.14 EM currency performance relative to US dollar index
1.15 GDP growth, private final consumption expenditure and gross fixed capital formation
1.16 Capacity utilisation
1.17 Fiscal indicators of Central Government
1.18 Current account and merchandise trade deficit
1.19 Profile of Imports
1.20 Relative valuation of Indian equities
1.21 FPI flows
1.22 FPI flows – Emerging Markets
1.23 India VIX and 10-year off-the-run on-the-run yield spread
1.24 Credit growth bank group-wise
1.25 Intermediation by MFs
1.26 PSBs: Deposit and credit share (relative to PvBs)
1.27 Recent evolution of the term curve
1.28 Price adjustments in stressed markets
1.29 Pro-cyclical behaviour of mutual funds in the G-Sec market
1.30 Investments in spread products and G-Sec/T-Bills/CBLO
1.31 Bank Lines to asset management companies (AMCs) v/s AMCs’ allocation to G-Sec and T-Bills
1.32 Bank Lines to AMCs and 10-year G-Sec yield
1.33 Share of Bank Groups in Bank Lines to AMCs
1.34 The House Price Index
2.1 Select performance indicators
2.2 Select asset quality indicators
2.3 Select asset quality indicators of large borrowers
2.4 Banking stability indicator
2.5 Banking stability map
2.6 Bank-wise profitability of SCBs
2.7 Profitability of bottom quartile of SCBs (RoA in per cent)
2.8 Macroeconomic scenario assumptions
2.9 Projection of SCBs’ GNPA ratios
2.10 CRAR projections
2.11 Projection of CET 1 capital ratio
2.12 Credit risk - shocks and impacts
2.13 Distribution of CRAR of banks
2.14 Range of shifts in CRAR
2.15 Credit concentration risk: Individual borrowers – stressed advances
2.16 Credit concentration risk: Individual borrowers – Exposure
2.17 Sectoral credit risks: Impact on the GNPA ratio of the system
2.18 Equity price risk
2.19 Liquidity risk – shocks and impacts using HQLAs
2.20 Bottom-up stress tests – Credit and market risks – Impact on CRAR
2.21 Bottom-up stress tests – Liquidity risk
2.22 MTM value of total derivatives – Select banks - March 2018
2.23 Stress tests - Impact of shocks on derivative portfolio of select banks
2.24 Inter-bank market
2.25 Share of different bank groups in the inter-bank market
2.26 Composition of fund based inter-bank market
2.27 Network structure of the Indian banking system (SCBs +SUCBs) – March 2018
2.28 Connectivity statistics of the banking system (SCBs)
2.29 Network plot of the financial system – March 2018
2.30 Net lending (+ve) / borrowing (-ve) by the institutions
2.31 Gross receivables of AMC-MFs – March 2018
2.32 Gross receivables of insurance companies – March 2018
2.33 Gross payables of NBFCs – March 2018
2.34 Gross payables of HFCs – March 2018
2.35 A representative contagion plot – impact of failure of a bank
2.36 Contagion impact after macroeconomic shocks (solvency contagion)
3.1 Frauds in the banking sector
3.2 Relative share of Frauds reported
3.3 National Pension Scheme - details
3.4 Corporate insolvency resolution transactions
3.5 Initiation of the corporate insolvency resolution process
3.6 Distribution of corporate debtors ending in liquidation
3.7 Trends in mutual funds
3.8 Ratio of Equity cash to Equity derivatives turnover
3.9 Capital raised in the primary market
3.10 Movement of Indian and international commodity indices
3.11 Product segment-wise share in all-India commodity futures turnover (October 2017-March 2018)
2.1 Credit concentration risk: Group borrowers – exposure
2.2 Interest rate risk – bank groups - shocks and impacts
2.3 Aggregated balance sheet of the NBFC sector: y-o-y growth
2.4 Select ratios of the NBFC sector
2.5 Select ratios of the NBFC sector
2.6 Inter-sector assets and liabilities – March 2018
2.7 Top 5 banks with maximum contagion impact – March 2018
3.1 Important regulatory initiatives (November 2017- May 2018)