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GUIDELINES ON STRESS TESTING FOR NON-BANKING FINANCIAL INSTITUTIONS

JUNE, 2012

DEPARTMENT OF FINANCIAL INSTITUTIONS AND MARKETS

BANGLADESH BANK

Members of the Committee for Revising the Stress Testing Guidelines for NBFIs

Sl No.
1 2 3 4 5

Name
Md. Abdul Wahab Md. Iqbal Hossain Mohammad Imam Hossain Mohammad Ashfaqur Rahman Md. Omar Faruque

Designation
Joint Director Deputy Director Assistant Director Assistant Director Assistant Director

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Foreword
Stress testing is a simulation technique used to determine the reactions of different Financial Institutions under a set of exceptional, but plausible assumptions through a series of battery of tests. It is an important risk management tool used by the FIs as part of their internal risk management to alert management to adverse unexpected outcomes related to a variety of risks and provides an indication of how much capital might be needed to absorb losses and how much vulnerable the liquidity position might be if large shocks occur. Considering the importance and complexity of the methodology of stress testing, BB issued guidelines on Stress testing in 2010 and made it mandatory for all the banks and financial institutions. After thorough analysis of the situational requirements and future perspectives the guidelines have now been revised for the NBFIs with the following key aspects:
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Made the guidelines in line with Basel Accord framework; Principles for sound Stress Testing practices introduced; Standard Shocks levels in four risk areas have been made customized in line with the business of the NBFIs; A new financial position indicator, Insolvency Ratio (IR), has been introduced; Liquidity risks have been emphasized more; Stress Test rating scale of 1 to 5 and zonal positioning through Weighted Average Resilience-Weighted Insolvency Ratio (WAR-WIR) Matrix introduced; Artificial Intelligence developed to auto-generate Recommended Action Plan for a particular FI based on its zonal positioning; The Excel based artificial intelligence formats used for Stress Testing have been made more elaborative but simple.

WAR and WIR of the particular FI will be used to determine its adequate capital requirement in Basel Accord and will be impacted on the CAMELS rating conducted by the central bank. All the NBFIs are expected to carry out stress testing on quarterly basis i.e. on March 31, June 30, September 30 and December 31 with their first stress testing using the revised guidelines based on 30 June 2012. A training program will be initiated shortly for the relevant staff to ensure smooth implementation of the revised guidelines. I would like to appreciate the role of those officers who were involved in this exercise. I also express my gratitude to the honorable Governor and Deputy Governor for their valuable guidance and support in this regard.

(M. Mahfuzur Rahman) Executive Director


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Table of Contents
1. 2. 3. 4. 5. Introduction Principles for sound Stress Testing practices Scope of Stress Testing Framework for Stress Testing Methodology and Calibration of Shocks 5.1. Interest Rate Risk 5.2. Credit Risk 5.3. Equity Price Risk 5.4. Liquidity Risk 5.5. Combined Shock Insolvency Ratio (IR) Resilience of the FI Stress Test Rating Recommended Action Plan Interest Rate Stress Test Duration GAP & Price Sensitivity Value at Risk (VaR) Reporting Standard formats for stress testing 14.1. Reporting cover letter 14.2. Credit Input 14.3. Liquidity Input 14.4. Recommended Action Plans 14.5. Decision Model Rules 14.6. Test of Resilience 14.7. Summary Sheet 14.8. Interest Rate Output 14.9. Credit Risk Output 14.10. Liquidity Output 14.11. Insolvency Output References 1 2 4 4 5 5 5 6 7 7 7 8 8 10 11 12 14 15 15 19 20 21 22 23 24 25 29 30 37 38 39

6. 7. 8. 9. 10. 11. 12. 13. 14.

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List of Acronyms

ALCO ALM BDT BL CAMELS CAR CIR DF DGAP FI IR MVE NBFI NII NPL RSA RSL RWA SMA SOD SS STD VAR VES WAR WIR

Asset-Liability Management Committee Asset-Liability Management Bangladeshi Taka Bad & Loss Capital adequacy, Asset quality, Management quality, Earnings, Liquidity & Sensitivity to Market Risk Capital Adequacy Ratio Critical Infection Ratio Doubtful Duration Gap Financial Institutions Insolvency Ratio Market Value of Equity Non Banking Financial Institutions Net Interest Income Non Performing Loans Rate Sensitive Assets Rate Sensitive Liabilities Risk Weighted Assets Special Mention Account Secured Overdraft Sub-Standard Standard Value at Risk Value of Eligible Securities Weighted Average Resilience Weighted Insolvency Ratio

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1. Introduction
Stress testing is a simulation technique used to determine the reactions of different Financial Institutions under a set of exceptional, but plausible assumptions through a series of battery of tests. At institutional level, stress testing techniques provide a way to quantify the impact of changes in a number of risk factors on the assets and liabilities portfolio of the institution. At the system level, stress tests are primarily designed to quantify the impact of possible changes in economic environment on the financial system. Stress testing is an important risk management tool that is used by the Financial Institutions as part of their internal risk management and, through the Basel II capital adequacy framework, is promoted by supervisors. Stress testing alerts FI management to adverse unexpected outcomes related to a variety of risks and provides an indication of how much capital might be needed to absorb losses should large shocks occur. Stress testing supplements other risk management approaches and measures playing particularly important role in:
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providing forward-looking assessments of risk; overcoming limitations of models and historical data; supporting internal and external communication; feeding into capital and liquidity planning procedures; informing the setting of an FI's risk tolerance; and facilitating the development of risk mitigation or contingency plans across a range of stressed conditions.

These guidelines have been issued by Bangladesh Bank (BB) to provide a structured way of assessing the vulnerability of financial institutions to extreme but plausible market conditions. These guidelines enable institutions to accurately assess risk and define the "risk appetite" of the organization and also provide critical information to senior management for decisions around capital allocation and contingency planning. Considering the importance and complexity of the methodology of stress testing, BB issued guidelines on Stress testing in 2010 and made it mandatory for the banks and financial institutions. The guidelines have been revised to make it in line with Basel Accord framework and also to incorporate a useful VaR methodology. These revised guidelines are exclusively applicable for the NBFIs working in Bangladesh.

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2. Principles for sound Stress Testing practices


The following recommendations are formulated with a view to apply by the NBFIs to the extent they commensurate with the size and complexity of an FI's business and the overall level of risk that it accepts. NBFIs are therefore encouraged to apply these recommendations of Stress Testing.

Principles for the Financial Institutions Use of stress testing and integration in risk governance
1. Stress testing should form an integral part of the overall governance and risk management culture of the FIs. Stress testing should be actionable, with the results from stress testing analyses impacting decision making at the appropriate management level, including strategic business decisions of the board and senior management. Board and senior management involvement in the stress testing program is essential for its effective operation. An FI should operate a stress testing program that promotes risk identification and control; provides a complementary risk perspective to other risk management tools; improves capital and liquidity management; and enhances internal and external communication. Stress testing programs should take account of views from across the organization and should cover a range of perspectives and techniques. An FI should have written policies and procedures governing the stress testing program. The operation of the program should be appropriately documented. An FI should have a suitably robust infrastructure in place, which is sufficiently flexible to accommodate different and possibly changing stress tests at an appropriate level of granularity. An FI should regularly maintain and update its stress testing framework. The effectiveness of the stress testing program, as well as the robustness of major individual components, should be assessed regularly and independently.

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6.

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Stress testing methodology and scenario selection 7.


Stress tests should cover a range of risks and business areas, including at the firm-wide level. An FI should be able to integrate effectively, in a meaningful fashion, across the range of its stress testing activities to deliver a complete picture of firm-wide risk. Stress testing programs should cover a range of scenarios, including forwardlooking scenarios, and aim to take into account system-wide interactions and feedback effects. Stress tests should feature a range of severities, including events capable of generating the most damage whether through size of loss or through loss of reputation. A stress testing program should also determine what scenarios could challenge the viability of the FI (reverse stress tests) and thereby uncover hidden risks and interactions among risks.

8.

9.

10. As part of an overall stress testing program, an FI should aim to take account of
simultaneous pressures in funding and asset markets, and the impact of a reduction in market liquidity on exposure valuation.

Specific areas of focus 11. The effectiveness of risk mitigation techniques should be systematically
challenged.

12. The stress testing program should explicitly cover complex and bespoke products
such as securitized exposures. Stress tests for securitized assets should consider the underlying assets, their exposure to systematic market factors, relevant contractual arrangements and embedded triggers, and the impact of leverage, particularly as it relates to the subordination level in the issue structure.

13. The stress testing program should cover pipeline and warehousing risks. An FI
should include such exposures in its stress tests regardless of their probability of being securitized.

14. An FI should enhance its stress testing methodologies to capture the effect of
reputational risk. The FI should integrate risks arising from off-balance sheet vehicles and other related entities in its stress testing program.

15. An FI should enhance its stress testing approaches for highly leveraged
counterparties in considering its vulnerability to specific asset categories or market movements and in assessing potential wrong-way risk related to risk mitigating techniques.

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3. Scope of Stress Testing


Stress testing guidelines for NBFIs have preliminarily been based on simple sensitivity analysis using four different risk factors namely; Interest rate, Credit, Equity price and Liquidity. Liquidity position of the institutions have been stressed with more concern. Stress test under Basel Accord and simple maturity gap analysis for measuring `Interest rate risk' have been introduced. 'Duration GAP analysis' have been made simplified for determining the change in market value of equity. Value at Risk (VaR) has also been incorporated with a view to estimating the actual amount of potential loss which may arise from unfavorable situations. Moreover, VaR helps in making a comparison with the result of potential losses calculated under stress testing system.

4. Framework for Stress Testing


The stress-testing framework should be flexible enough to adopt advanced models for stress testing. It involves:
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A well constituted organizational structure defining clearly the roles and responsibilities of the persons involved in the exercise. Preferably, it should be the part of the risk management functions of the FI. The persons involved should be independent from those who are actually involved in the risk taking and should directly report the results to the senior management. Defining the coverage and identifying the data required and available. Identifying, analyzing and proper recording of the assumptions used for stress testing. Calibrating the scenarios or shocks applied to the data and interpreting the results. An effective management information system that ensures flow of information to the senior management to take proper measures to avoid certain extreme conditions. Setting the specific trigger points to meet the benchmarks/standards set by Bangladesh Bank. Ensuring a mechanism for an ongoing review of the results of the stress test exercise and reflecting in the policies and limits set by management and board of directors. Taking this stress test as a starting point and developing in-house stress test model to assess the FI's specific risks.

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5. Methodology and Calibration of Shocks


Levels of shocks to the individual risk components have been specified considering the historical as well as hypothetical movements in the risk factors. These levels of shocks are changeable by Bangladesh Bank from time to time as and when felt necessary. Three different hypothetical shock scenarios in the stress testing are:
I

Minor Level Shocks: These represent small shocks to the risk factors. The level
for different risk factors can, however, vary.

Moderate Level Shocks: It envisages medium level of shocks and the level is
defined in each risk factor separately.

Major Level Shocks: It involves big shocks to all the risk factors and is also
defined separately for each risk factor.

5.1. Interest Rate Risk


Interest rate risk is the potential adverse effect in the value of the on and off-balance sheet positions of the FI with the change in the interest rates. The vulnerability of the FI towards the adverse movements of the interest rate can be gauged by using simple sensitivity analysis as well as duration GAP analysis. The standard scenarios of shock levels are 2%, 4% and 6% increase in interest rate. For simplicity these shocks will be stress in the cumulative GAP of Rate Sensitive Assets (RSA) and Rate Sensitive Liabilities (RSL) up to one year and Duration GAP analysis only to the Bond portfolio of the FI.

5.2. Credit Risk


Stress test for credit risk assesses the impact of increase in the level of non-performing loans (NPLs) of the FIs. This involves five individual shocking events. Each shocking event contains Minor, Moderate and Major Levels of shock. 5.2.1. Increase in NPLs These scenarios explain the impact of downgrading a portion of the total performing (both standard and SMA) loans directly to bad & loss category having 100% provisioning requirement. The standard scenarios of shock levels are 2%, 5% and 10%.

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5.2.2. Negative shift in all categories These scenarios assume negative shifts in all categories (both performing and nonperforming) take place resulting in more provision requirements. The standard scenarios of shock (amount of loan shift from one category to another) levels are 5%, 10% and 15% downward shift in all categories. For example, for the first level of shock, 5% of the standard downgraded to SMA, 5% of the SMA downgraded to substandard, 5% of the substandard downgraded to doubtful and 5% of the doubtful downgraded to bad/loss category. 5.2.3. Fall in the value of eligible securities (VES) These scenarios assume a sharp decrease in the value of VES creating shocking events to the FI. The standard scenarios of shock levels are 10%, 25% and 50%. 5.2.4. Increase of NPLs in particular 2 sectors This measures the concentration risk particularly in 2 sectors where the FI has the highest investment or exposure. The standard scenarios of shock levels are 5%, 10% and 15% of standard loans of that 2 sectors directly downgraded to bad/loss category. 5.2.5. Increase in NPLs due to default of top large borrowers These scenarios are constituted assuming a number of top borrowers of the FI may become defaulter and create shocking events. The standard scenarios of shock levels are: default of top 3(three), top 5(five) and top 10(ten) borrowers. In all cases the standard loans of the respective borrowers are assumed to be directly downgraded to bad/loss category creating a requirement of 100% provision.

5.3. Equity Price Risk


The stress test for equity price risk assesses the impact of the fall in the stock market index. Appropriate shocks will have to be absorbed to the respective securities if the current market value of all the on balance sheet and off balance sheet securities listed on the stock exchanges including shares, NIT units, mutual funds etc falls at the rate of 10%, 25% and 50% respectively. The impact of resultant loss will be calibrated in the CAR.

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5.4. Liquidity Risk


The stress test for liquidity risk evaluates the resilience of the FIs towards adverse shifts in the cash inflow and outflow maturity buckets. Assumed shock scenarios include cash inflow from assets in projected buckets are being deferred by a standard rates to the next buckets but cash outflow claims for liabilities are coming much earlier showing claims from all buckets shifting in the previous by the standard rates. Counter balancing capacity of the FIs are also being stressed using the standard shocks assuming the market getting a chronic downturn. For simple sensitivity analysis, counterbalancing capacity of the FI is assumed to be 50% of its first line of defense (line of credit (SOD)) and 20% of its second line of defense (short-term loan, commercial paper, bill discounting facility). The standard scenarios of shock levels are 5%, 7% and 10%.

5.5. Combined Shock


FI will assess combined shock by aggregating the results of credit shock, equity shock and interest rate shock. In case of credit shock, increase in NPLs, results of increase in NPLs due to default of Top large borrowers, fall in the VES, negative shift in all the categories and increase of NPLs in particular 2 sectors would have to be taken into account. Summary of all shock levels are as follows: Risk Shocks in Stress Testing
Risk Factors

Scenario 1

Scenario 2

Scenario 3

1. Interest Risk-Increase in Interest Rate 2. Credit Risk - Increase in NPLs - Downward shift in all categories - Fall in the VES - Increase in NPLs under B/L category in 2 sectors - Increase in NPLs due to Top Large Borrowers 3. Equity Price Risk- Fall in Stock Prices 4. Liquidity Shock

2% 2% 5% 10% 5% 3 10% 5%

4% 5% 10% 25% 10% 5 25% 7%

6% 10% 15% 50% 15% 10 50% 10%

6. Insolvency Ratio (IR)


The NPL to Loan Ratio of an FI is said as the Infection Ratio. Infection Ratio which can completely erode the regulatory capital of the FI to zero is the Critical Infection Ratio (CIR). CIR implies Distance to Default or Insolvency. Computation of CIR assumes the erosion of full regulatory capital due to increase in NPL in Bad/Loss Category ignoring the

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tax impact. The higher the CIR, the stable the FI is and the lower the CIR the closer the FI is to default. Insolvency ratio is the ratio of Infection Ratio to the Critical Infection Ratio. IR implies the percentage, an FI is, towards insolvency. Simplified formula to calculate IR is :

Where,

For Stress Testing, after shock IR is computed using the average revised NPL and Average revised Regulatory Capital of standard shock scenarios in four Credit risk areas, namely: increase in NPLs, Downward shift in all Categories, Increase in NPLs' under B/L category in 2 sectors and Increase in NPLs' due to Top large borrowers.

7. Resilience of the FI
Resilience Level for Interest rate, Credit and Equity price shocks are set with the Minimum Capital Adequacy Ratio (CAR). In the stress test it is checked whether an FI has adequate capital base after the shock impact. Resilience Level for Liquidity shocks are identified with the following three parameters :
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Negative gap during 1-90 days time buckets exceed 15% . The cumulative gap up to the one-year period exceeds 15% . Counter balancing capacity up to the one-year period dry out .

8. Stress Test Rating


After conducting the stress test, each FI will be categorized as of either Green or Yellow or Red zone based on the Weighted Average Resilience (WAR) on the three levels of shock scenarios. The FIs will first be scored in each level of scenario keeping a total point of 100 for each. When scoring for each level Interest Rate shock will have 10% weight, Credit Risk 60%, Equity Price Risk 10% and Liquidity Risk 20% . The 60% weight for Credit risk will be subdivided as 10% for increase in NPLs, 10% for Downward shift in all Categories, 5% for Fall in the VES, 15% for Increase in NPLs' under B/L category in 2 sectors and 20% for Increase in NPLs' due to Top large borrowers.

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Scores achieved in each scenario will then be given weight as 50% for Minor, 30% for Moderate and 20% for Major level shocks to identify the combined WAR of a particular FI. The WAR will be scaled in rating of 1 to 5 of which 1 fall in Green, 2 and 3 in Yellow and 4 and 5 in Red Zone. For each individual shock Green will achieve 100% of the shock weight, Yellow 80% and Red null. For Interest rate, Credit and Equity price shocks extra CAR of 2% or more above the minimum is Green, close above or equal to minimum CAR (extra is less than 2%) is Yellow and falling short from minimum CAR is Red. For Liquidity shocks not falling short in any parameter is Green, short in one is Yellow and falling short in more than one is Red. The ratings for stress test shocks are summarized below:

Scenario Total WAR> 80% 70%<WAR<80% 60%<WAR<70% 40%<WAR<60% WAR<40%

Rating 1 2 3 4 5

Zone
G Y R

Single Shock 100% 80% 0%

Insolvency ratio, percentage towards insolvency will also be scaled in 1 to 5 grades after computing the Weighted Insolvency Ratio (WIR) from the three shock levels and set the Green, Yellow or Red zone depending on the farness from insolvency. WIR ratings will be assigned as under:
Scenario Total WIR<10% 10% <WIR<20% 20% <WIR<40% 40%<WIR<60% WIR>60% Ratin g 1 2 3 4 5 Zone
G Y R

WAR-WIR Matrix Overall financial strength and resilience of an NBFI will be identified plotting its achieved ratings in the WAR-WIR Matrix. The overall zone setting of an FI will be determined with 80% weight of WAR and 20% weight of WIR as under:

WAR WIR Green Yellow Red Green GG YG RG Yellow GY YY RY Red GR YR RR

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WAR and WIR of the particular FI will be used to determine its adequate capital requirement in Basel Accord and will be impacted on the CAMELS rating conducted by the central bank.

9. Recommended Action Plan


FIs falling in either zone will have some Recommended Action Plan for securing continuous improvement in the stress test. The level of score for each zone will be set by the central bank from time to time considering the prevailing market condition. Present level of score for zonal segregation and respective to-do list is as follows, as and when applicable:

Zone Green

Weighted Average Resilience WAR> 80%

Recommended Action Plan Recommendations: Monitor strictly any downturn of performance indicators. Recommendations: Three Year Capital Management Plan Recovery Plan of NPL Increase Securities Credit Diversification Plan Policy for Investment in Shares Liquidity Contingency Plan Ensure proper compliance of ALM Guidelines ALCO meeting minutes. Submission to BB: Three Year Capital Management Plan ALCO meeting minutes. Recovery Plan of NPL Increase Securities Credit Diversification Plan Policy for Investment in Shares Liquidity Contingency Plan ALCO meeting minutes.

Yellow

60%<WAR < 80%

Red

WAR <60%

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10. Interest Rate Stress Test


The FIs should follow the steps mentioned below in carrying out the interest rate stress tests:

For simple Sensitivity analysis I


Calculate all on-balance sheet Rate Sensitive Assets (RSA) and Rate Sensitive Liabilities (RSL). Plot the RSA and RSL into different time buckets on the basis of maturity. Calculate maturity GAP by deducting RSL from RSA (GAP= RSA - RSL). Using the formula of NII = i(GAP)

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For Duration Gap analysis I


Estimate the market value of all on-balance sheet rate sensitive assets and liabilities of the FI to arrive at market value of equity. Calculate the durations of each class of asset and the liability of the on-balance sheet portfolio and arrive at the aggregate weighted average duration of assets and liabilities. Calculate the duration GAP by subtracting aggregate duration of liabilities from that of assets. Estimate the changes in the economic value of equity due to change in interest rates on on-balance sheet positions along the three interest rate changes. Calculate surplus/(deficit) on off-balance sheet items under the assumption of three different interest rate changes. Estimate the impact of the net change (both for on-balance sheet and off-balance sheet) in the market value of equity on the capital adequacy ratio (CAR).

Market value of the asset or liability shall be assessed by calculating its present value discounted at the prevailing interest rate. The outstanding balances of the assets and Liabilities should be taken along with their respective maturity or repricing period, whichever is earlier.

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INPUT & OUTPUT FORMATS

14.1. Reporting cover letter


FIs have to submit their reporting as per formats mentioned in the subsequent sections along with the following cover letter as well as send an electronic report as per prescribed format in a compact disc.

REPORT ON STRESS TESTING OF FINANCIAL INSTITUTION *SOLO/CONSOLIDATED As on * Delete which is not appropriate. NAME OF FI DATE OF SUBMISSION

Information in this return is endowed as per the Stress Testing Guideline for NBFIs. This return has been prepared in accordance with the instructions issued by Bangladesh Bank. We certify that this return is, to the best of our knowledge and belief, correct.

. Chief Executive Officer

... Chief Financial Officer

.. Name

.. Name

Name and telephone number of responsible person who may be contacted by Bangladesh Bank in case of any query. .. Name .. Telephone Number

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14.2. CREDIT INPUT


Name of the Institution: Acronym of the name: Reporting Base Date: Table: 1 Basic Information
Amount in Sl. Particulars No BDT Crore 1 Regulatory Capital 2 Risk Weighted Assets 3 CAR % 0.00%

Table: 2 Sector Wise Credit Portfolio


STD SMA Value of Loans Security ES Loans ES Value of Loans Security ES without Eligible with SS Loans ES Value of Loans Security ES without Eligible with DF Loans ES

(Amount in Crore)
BL Value of Loans Security ES Loans ES Value of Security without Eligible

Sl. No
1 2

Particulars
Trade and Commerce Industry A) Garments and Knitwear B) Textile C) Jute and Jute-Products D) Food Production and Processing Ind. E) Plastic Industry F) Leather and Leather-Goods G) Iron, Steel and Engineering H) Pharmaceuticals and Chemicals I) Cement and Allied Industry J) Telecommunication and IT k) Paper, Printing and Packaging

Total
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Loans with ES

Loans ES

without Eligible with

without Eligible with

L) Glass, Glassware and Ceramic Ind 0.00 M) Ship Manufacturing Industry 0.00 N) Electronics and Electrical Products 0.00 O) Power, Gas, Water & Sanitary Service P)Transport and Aviation Industry Total Agriculture Housing Others A) Merchant Banking B) Margin Loan C) Others Others Total Grand Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00 0.00

0.00

0.00

0.00

0.00

0.00

0.00

3 4 5

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00 0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

Table: 3 Top 10 Borrowers STD Loans/Leases


Sl. No 1 2 3 Particulars
Total Loans/Leases (Top 10 Borrowers) Loans/Leases for which Eligible Security is held Loans/Leases for which Eligible Security is not held Value of Eligible Security

Amount in BDT Crore


Total 0.00 0.00 0.00 0.00 B1 0.00 B2 0.00 B3 0.00 B4 0.00 B5 0.00 B6 0.00 B7 0.00 B8 0.00 B9 0.00 B10 0.00

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14.3. LIQUIDITY INPUT

Name of the FI Reporting Base Date Particulars


1
A. Outflows 1. Capital (a) Equity and perpetual preference shares (b) Non-perpetual preference shares 2. Reserves and surplus 3. Notes, bonds & debentures (a) Plain vanilla bonds/debentures (b) Bonds/debentures with embedded options 4. Deposits (a) Term deposits from public (b) Term deposits from Banks/Fls 5. Bank borrowings (a) SOD (b) Long term loans 6. Current liabilities and provisions (a) Short term loans (b) Accounts payable (c) Advance income received (d) Interest payable on bonds/deposits (e) Provisions 7. Contingent Liabilities (a) Letters of credit/guarantees (b) Loan commitments, pending disbursal (c) Lines of credit committed to other institutions 8. Others A. TOTAL OUTFLOWS (A) B. INFLOWS 1. Cash 2. Remittance in transit 3. Balances with banks (a) Current account (b) Deposit/Short-term deposits (c) Money at call & short notice 4. Investments (a) Investments in Bonds & Securities (b) Investments in Shares 5. lease Finance & Loans (performing) (a) Lease finance (b) Home Loan (c) Term loan (d) Corporate loans/short term loans 6. Non-performing loans 7. Fixed assets (excluding assets on lease) 8. Other Assets: (a) Intangible assets & other non-cash flow items (b) Interest and other Income receivable (c) Others 9. Others B. TOTAL INFLOWS (B) C. MISMATCH (B-A) D. CUMULATIVE MISMATCH E. C AS PERCENTAGE OF A Structure of the Bond Portfolio

: :

(Amount in crore)
Total

1 to 30/31 day Over 1 month to Over 2 months Over 3 months Over 6 months Over 1 year to Over 3 year to Over 5 years (One month) 2 months to 3 months to 6 months to 1 year 3 years 5 years

2
0.00

3
0.00

4
0.00

5
0.00

6
0.00

7
0.00

8
0.00

9
0.00

10
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Remarks

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0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 Settlement

0.00 0.00 0.00 0.00 Maturity

0.00 0.00 0.00 0.00 Coupon

0.00 0.00 0.00 0.00 Yield

0.00 0.00 0.00 0.00 Frequency

0.00 0.00 0.00 0.00 Duration

Face Value Present Value

Total/Average First Line of Defense (BDT Crore) Second Line of Defense (BDT Crore)

0.00

0.00 SOD short-term loan, commercial paper, bill discounting facility

0.00

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14.4. RECOMMENDED ACTION PLANS


Name of the Institution : Reporting Base Date :
WAR-WIR MATRIX

Result of WAR MATRIX (Test-I) Result of WIR MATRIX (Test-II) WAR-WIR MATRIX
RECOMMENDED ACTION PLANS

Rating -

Zone -

Risk Factors 1. Interest Risk Increase in Interest Rate 2. Credit Risk

Recommended Action Plan Monitor strictly any downturn of performance indicators. Recommendation of:

increase in NPLs Downward shift in all Categories Fall in the VES Increase in NPLs under B/L category in 2 sectors Increase in NPLs due to Top large borrowers 3. Equity price Risk Fall in Stock Prices 4. Liquidity Shock

Three Year Capital Management Plan Recovery Plan of NPL Monitor strictly any downturn of performance indicators. Monitor strictly any downturn of performance indicators. Monitor strictly any downturn of performance indicators. Recommendation of: Three Year Capital Management Plan Monitor strictly any downturn of performance indicators. Submission of: Monitor strictly any downturn of performance indicators.

Guidelines on Stress Testing for NBFIs

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14.5. DECISION MODEL RULES


Name of the Institution : Reporting Base Date :
RESULTS (WAR & WIR)

Result of WAR MATRIX (Test-I) Result of WIR MATRIX (Test-II)


WAR-WIR MATRIX

Rating -

Zone -

WAR
WAR-WIR Matrix

WIR

Green Yellow Red

Green -

Yellow -

Red -

Guidelines on Stress Testing for NBFIs

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14.6. TEST OF RESILIENCE


Name of the Institution : Reporting Base Date : TEST-I : (WAR) Risk Shocks in Stress Testing Minor Risk Factors Moderate Major

HWAR

Zone Score Zone Score Zone Score

Weight 1. Interest Risk Increase in Interest Rate 2. Credit Risk increase in NPL Downward shift in all Categories Fall in the VES Increase in NPLs under B/L category in 2 sectors Increase in NPLs due to Top large borrowers 3. Equity price Risk Fall in Stock Prices 4. Liquidity Shock VWAR
TEST-II : (WIR)

50% -

30% -

20% -

100% -

10% 60% 10% 10% 5% 15% 20% 10% 20% 100%

Risk Shocks in Stress Testing Minor Risk Factors Zone

Moderate Major
Zone Zone

WIR

Weight 1. Credit Risk shocksIncrease in NPL

50% -

30% -

20% -

100% -

Guidelines on Stress Testing for NBFIs

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14.7. SUMMARY SHEET


Name of the Institution : Reporting Base Date : Current Scenario

Regulatory Capital (BDT in Crore ) Risk Weigheted Assets (RWA) (BDT in Crore) Capital Adequacy Ratio (CAR) 1. Interest Rate Risk
Interest Rate Risk Magnitude of Shock Minor 2%

(BDT in Crore)
Moderate 4% Major 6%

Revised Capital Revised RWA Revised CAR 2. Credit Risk

(BDT in Crore)

CR-1: Credit Risk-Increase in NPL (UC Directly Downgraded to BL) Magnitude of Shock Minor 2% Moderate 5% Major 10%

Revised Capital Revised RWA Revised CAR

(BDT in Crore)

CR-2: Credit Risk-Downward Shift in Loans (STD to SMA, SMA to SS, SS to DF & DF to BL) Minor 5% Moderate 10% Major 15%

Magnitude of Shock

Revised Capital Revised RWA Revised CAR

Guidelines on Stress Testing for NBFIs

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SUMMARY SHEET
(BDT in Crore) CR-3: Credit Risk-Fall in the Value of Eligible Securities Magnitude of Shock Minor 10% Moderate 25% Major 50%

Revised Capital Revised RWA Revised CAR

(BDT in Crore)

CR-4: Credit Risk-Increase of NPLs in the Major 2 Sectors Magnitude of Shock Minor 5% Moderate 10% Major 15%

Revised Capital Revised RWA Revised CAR

(BDT in Crore)

CR-5: Credit Risk-Increase of NPLs Due to Top 10 Borrowers Minor Magnitude of Shock Top 3 Borrowers Moderate Top 5 Borrowers Major Top 10 Borrowers

Revised Capital Revised RWA Revised CAR


Combined Shocks (All Credit Shocks)

(BDT in Crore)

Combined Shocks Magnitude of Shock Minor Moderate Major

Revised Capital Revised RWA Revised CAR

Guidelines on Stress Testing for NBFIs

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SUMMARY SHEET
3. Equity Price Risk
Equity Price Risk Magnitude of Shock Minor 10% Moderate 25% Major 50% (BDT in Crore)

Revised Capital Revised RWA Revised CAR


4. Liquidity Risk

Current Scenario ( 1 = Satisfactory, 0 = Unsatisfactory)

Negative gap during 1-90 days time buckets Cumulative gap up to 1 year Counter balancing capacity up to 1 year
Liquidity Risk Magnitude of Shock Minor 5%

Moderate 7%

Major 10%

Negative gap during 1-90 days time buckets Cumulative gap up to 1 year Counter balancing capacity up to 1 year

(BDT in Crore)

Combined Shocks (Interest, Credit & Equity Price Shocks) Combined Shocks Magnitude of Shock Minor Moderate

Major

Revised Capital Revised RWA Revised CAR

Guidelines on Stress Testing for NBFIs

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Insolvency Ratio Current Scenario

SUMMARY SHEET

Infection Ratio (NPL to Loans) Critical Infection Ratio (CIR) Insolvency Ratio
Insolvency Ratio after Shocks Magnitude of Shock Minor

Moderate

Major

Infection Ratio (NPL to Loans) Critical Infection Ratio (CIR) Insolvency Ratio

Guidelines on Stress Testing for NBFIs

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14.8. INTEREST RATE OUTPUT


Name of the Institution : Reporting Base Date :

Required Information to Calculate the Shock

Regulatory Capital (BDT in Crore ) Risk Weigheted Assets (BDT in Crore) Capital Adequacy Ratio (CAR) Current Provision (BDT in Crore)

Required Information to Calculate the Shock 1 to 30/31 day (One month) Over Over Over 1 2 3 Over month months months 6 months to 2 to 3 to 6 months months months to 1 year

Particulars

1 A. Total Rate Sensitive Liabilities (A) B. Total Rate Sensitive Assets (B) C. Mismatch D. Cumulative Mismatch E. Mismatch (%)

2 -

3 -

4 -

5 -

6 -

Interest Rate Risk Magnitude of Shock Minor 2% Moderate 4% Major 6%

Change in the Value of Bond Portfolio (BDT in Crore) Net Interest Income (BDT in Crore) Revised Regulatory Capital (BDT in Crore) Risk Weighted Assets (BDT in Crore) Revised CAR (%)

Guidelines on Stress Testing for NBFIs

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14.9. CREDIT RISK OUTPUT


INCREASE OF NPL (UC TO BL)
Name of the Institution : Reporting Base Date : Required Information to Calculate the Shock

Regulatory Capital (BDT in Crore ) Risk Weigheted Assets (RWA) (BDT in Crore) Capital Adequacy Ratio (CAR) Total Loan (BDT in Crore) Total NPL (BDT in Crore) Total STD Loan with VES (BDT in Crore) Total STD Loan without VES (BDT in Crore) Value of Eligible Security Against STD (BDT in Crore) Total SMA Loan with VES (BDT in Crore) Total SMA Loan without VES (BDT in Crore) Value of Eligible Security Against SMA (BDT in Crore) Current Provisions (BDT in Crore) NPL to Loans

Credit Risk-Increase in NPL (UC Directly Downgraded to BL) Minor Moderate Major Magnitude of Shock 2% 5% 10%

Increase in NPL (BDT in Crore) Revised NPL (BDT in Crore) Revised NPL to Loans Ratio Extra Provisions for Loans without VES (BDT in Crore) Extra Provisions for Loans with VES (BDT in Crore) Increase in Provisions (BDT in Crore) Revised Capital (BDT in Crore) Revised Risk Weighted Assets (BDT in Crore) Revised CAR

Guidelines on Stress Testing for NBFIs

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DOWNWARD SHIFT IN ALL CATEGORIES (STD TO SMA, SMA TO SS, SS TO DF & DF TO BL)

Name of the Institution : Reporting Base Date : Required Information to Calculate the Shock

Regulatory Capital (BDT in Crore ) Risk Weigheted Assets (BDT in Crore) Capital Adequacy Ratio (CAR) Current Provision (BDT in Crore)
Particulars STD SMA

SS DF

Loans with VES (BDT in Crore) Loans without VES (BDT in Crore) Value of Eligible Security (BDT in Crore)

Credit Risk-Downward Shift in Loans (STD to SMA, SMA to SS, SS to DF & DF to BL) Magnitude of Shock Minor 5% Moderate 10% Major 15%

Extra Provisions for Loans without VES (BDT in Crore) Extra Provisions for Loans with VES (BDT in Crore) Increase in Provisions (BDT in Crore) Revised Capital (BDT in Crore) Revised Risk Weighted Assets (BDT in Crore) Revised CAR %

Guidelines on Stress Testing for NBFIs

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FALL IN THE VALUE OF ELIGIBLE SECURITIES


Name of the Institution : Reporting Base Date : Required Information to Calculate the Shock

Regulatory Capital (BDT in Crore ) Risk Weigheted Assets (RWA) (BDT in Crore) Capital Adequacy Ratio (CAR) VES for SS Loan (BDT in Crore) VES for DF Loan (BDT in Crore) VES for BL Loan (BDT in Crore) Current Provisions (BDT in Crore)

Credit Risk-Fall in the Value of Eligible Securities Magnitude of Shock Minor 10% Moderate 25% Major 50%

Weighted Amount of Eligible Securities (BDT in Crore) Increase in Provisions (BDT in Crore) Revised Capital (BDT in Crore) Revised Risk Weighted Assets (BDT in Crore) Revised CAR %

Guidelines on Stress Testing for NBFIs

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INCREASE OF NPL IN 2 MAJOR SECTORS


Name of the Institution : Reporting Base Date : Required Information to Calculate the Shock

Regulatory Capital (BDT in Crore ) Risk Weigheted Assets (RWA) (BDT in Crore) Capital Adequacy Ratio (CAR)
Sector of Highest Loan

Sector of 2nd Highest Loan

Particulars

Loan Disbursed to (BDT in Crore) Total NPL (BDT in Crore) Total STD with VES (BDT in Crore) Total STD without VES (BDT in Crore) Value of Eligible Security Against STD (BDT in Crore) Total SMA with VES (BDT in Crore) Total SMA without VES (BDT in Crore) Value of Eligible Security Against SMA (BDT in Crore) Current Provisions (BDT in Crore) NPL to Loans Credit Risk-Increase of NPL in the 2 Major Sectors Magnitude of Shock Minor 5% Moderate 10%

Major 15%

Increase in NPL (BDT in Crore) Revised NPL (BDT in Crore) Revised NPL to Loans Ratio Extra Provision for Loans without VES (BDT in Crore) Extra Provision for Loans with VES (BDT in Crore) Increase in Provisions Revised Capital (BDT in Crore) Revised Risk Weighted Assets (BDT in Crore) Revised CAR

Guidelines on Stress Testing for NBFIs

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INCREASE OF NPL DUE TO TOP 10 BORROWERS


Name of the Institution : Reporting Base Date: Required Information

Regulatory Capital (BDT in Crore ) Risk Weigheted Assets (RWA) (BDT in Crore) Capital Adequacy Ratio (CAR) Total Loan to Top 10 Borrowers (BDT in Crore) Total Loans for which Eligible Securities Held (BDT in Crore) Total Loans for which No Eligible Securities Held (BDT in Crore) Value of Eligible Security (BDT in Crore) Current Provisions (BDT in Crore) NPL to Loans

Credit Risk-Increase of NPL Due to Top 10 Borrowers (Loans without Eligible Securities)
Minor Magnitude of Shock Top 3 Borrowers Moderate Top 5 Borrowers Major Top 10 Borrowers

Total Loans Disbursed to (BDT in Crore) Increase in NPL (BDT in Crore) Increase in Provisions

Credit Risk-Increase of NPL Due to Top 10 Borrowers (Loans with Eligible Securities)
Minor Magnitude of Shock Top 3 Borrowers Moderate Top 5 Borrowers Major Top 10 Borrowers

Total Loans Disbursed to (BDT in Crore) Value of Eligible Securities (BDT in Crore) Increase in NPL(BDT in Crore) Increase in Provisions (after adjustment of eligible securities) (BDT in Crore)

Guidelines on Stress Testing for NBFIs

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INCREASE OF NPL DUE TO TOP 10 BORROWERS


Credit Risk-Increase of NPLs Due to Top 10 Borrowers (Total) Minor Magnitude of Shock Top 3 Borrowers Moderate Top 5 Borrowers Major Top 10 Borrowers

Total Loans Disbursed to (BDT in Crore) Increase in NPL(BDT in Crore) Increase in Provisions (BDT in Crore) Revised Capital(BDT in Crore) Revised Risk Weighted Assets(BDT in Crore) Revised CAR

COMBINED SHOCKS
Combined Shocks (All Credit Shocks) Magnitude of Shock Minor Moderate Major

Revised Capital (BDT in Crore) Revised Risk Weighted Assets (BDT in Crore) Revised CAR

Guidelines on Stress Testing for NBFIs

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FALL IN THE VALUE OF EQUITY


Name of the Institution : Reporting Base Date : Required Information to Calculate the Shock

Regulatory Capital (BDT in Crore) Risk Weigheted Assets (RWA) (BDT in Crore) Capital Adequacy Ratio (CAR) Total Exposure in Stock Market (BDT in Crore)
Equity Price Risk Minor 10%

Magnitude of Shock

Moderate 25%

Major 50%

Fall in the stock prices(BDT in Crore) Revised Capital(BDT in Crore) Revised Risk Weighted Assets(BDT in Crore) Revised CAR

COMBINED SHOCKS
Name of the Institution : Reporting Base Date :

Combined Shocks (Interest, Credit & Equity Price Shocks) Magnitude of Shock Minor Moderate Major

Revised Capital (BDT in Crore) Revised Risk Weighted Assets (BDT in Crore) Revised CAR

Guidelines on Stress Testing for NBFIs

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14.10. LIQUIDITY OUTPUT


Name of the Institution : Reporting Base Date:

(Amount in Crore)
Maturitywise Distribution of Assets-Liabilities

Particulars

1 to 30/31 day Over 1 month Over 2 month Over 3 months Over 6 months Over 1 year to Over 3 years to Over 5 years (One month) to 2 months to 3 months to 6 months to 1 year 3 years 5 years

Total

1 A. TOTAL OUTFLOWS (A) B. TOTAL INFLOWS (B) C. MISMATCH D. CUMULATIVE MISMATCH E. MISMATCH (%) F. CUMULATIVE COUNTER BALANCING CAPACITY (AFTER MISMATCH)

2 3 4 5 6 7 8 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00% 0.00% 0.00% 0.00 0.00 0.00 0.00% 0.00 0.00 0.00 0.00 0.00% 0.00 0.00% 0.00 0.00 0.00 0.00 0.00% 0.00 0.00% 0.00 0.00 0.00 0.00 0.00% 0.00 0.00 0.00 0.00 0.00 0.00% 0.00

9 10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00% 0.00% 0.00 0.00

Scenario 1
A. TOTAL OUTFLOWS (A) 0.00 0.00 0.00 0.00 B. TOTAL INFLOWS (B) 0.00 0.00 0.00 0.00 C. MISMATCH 0.00 0.00 0.00 0.00 D. CUMULATIVE MISMATCH 0.00 0.00 0.00 0.00 E. MISMATCH (%) 0.00% 0.00% 0.00% 0.00% F. CUMULATIVE COUNTER BALANCING CAPACITY (AFTER HAIRCUT & MISMATCH) 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00% 0.00

0.00 0.00 0.00 0.00%

Scenario 2
A. TOTAL OUTFLOWS (A) 0.00 0.00 0.00 0.00 B. TOTAL INFLOWS (B) 0.00 0.00 0.00 0.00 C. MISMATCH 0.00 0.00 0.00 0.00 D. CUMULATIVE MISMATCH 0.00 0.00 0.00 0.00 E. MISMATCH (%) 0.00% 0.00% 0.00% 0.00% F. CUMULATIVE COUNTER BALANCING CAPACITY (AFTER HAIRCUT & MISMATCH) 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00% 0.00

0.00 0.00 0.00 0.00%

Scenario 3
A. TOTAL OUTFLOWS (A) 0.00 0.00 0.00 0.00 B. TOTAL INFLOWS (B) 0.00 0.00 0.00 0.00 C. MISMATCH 0.00 0.00 0.00 0.00 D. CUMULATIVE MISMATCH 0.00 0.00 0.00 0.00 E. MISMATCH (%) 0.00% 0.00% 0.00% 0.00% F. CUMULATIVE COUNTER BALANCING CAPACITY (AFTER HAIRCUT & MISMATCH) 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00% 0.00

0.00 0.00 0.00 0.00 0.00% 0.00

0.00 0.00 0.00 0.00 0.00% 0.00

0.00 0.00 0.00 0.00%

Guidelines on Stress Testing for NBFIs

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14.11. INSOLVENCY OUTPUT


Name of the Institution : Reporting Base Date : Basic Information

Regulatory Capital (BDT in Crore ) Total Loan (BDT in Crore) Total NPL (BDT in Crore) Total of NPL and Regulatory Capital Infection Ratio (NPL to Loans) Critical Infection Ratio (CIR) Insolvency Ratio
Combined Shocks Minor Magnitude of Shock of NPL after CR-1 of NPL after CR-2 of NPL after CR-4 of NPL after CR-5 -

Moderate
-

Major
-

Increase Increase Increase Increase

Revised Regulatory Capital after CR-1 Revised Regulatory Capital after CR-2 Revised Regulatory Capital after CR-4 Revised Regulatory Capital after CR-5 Increase of NPL Revised NPL Revised Regulatory Capital Total of NPL & Regulatory Capital Revised Infection Ratio (Revised NPL to Loans) Revised Critical Infection Ratio Revised Insolvency Ratio

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15. References:
1. 2. DOS Circular No-01, dated-21 April, 2010, Guidelines on Stress Testing. DOS Circular No-1, dated-23 February, 2011, Revised Guidelines on Stress Testing. Basel Committee on Banking Supervision (May 2009), Principles for sound stress testing practices and supervision. Christian Schmieder, Claus Puhr, and Maher Hasan (April 2011), Next Generation Balance Sheet Stress Testing, IMF Working Paper. Christian Schmieder, Heiko Hesse, Benjamin Neudorfer, Claus Puhr, Stefan W. Schmitz (January 2012), Next Generation System-Wide Liquidity Stress Testing, IMF Working Paper.

3.

4.

5.

Guidelines on Stress Testing for NBFIs

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