Definitions

(1) Regulatory Tier 1 capital to assets: This is the ratio of the core capital (Tier 1) to total (balance sheet) assets. For jurisdictions that have implemented the Basel III leverage ratio, this indicator would be calculated using regulatory Tier 1 capital as the numerator and the exposure measure as the denominator, which comprises balance sheet assets, derivatives exposures, securities financing transaction exposures, and off-balance-sheet items.
(2) Regulatory Tier 1 capital to risk-weighted assets: It is calculated using regulatory Tier 1 capital as the numerator and risk-weighted assets as the denominator. The data for this FSI are compiled in accordance with the implemented Basel Accord (i.e., Basel I, Basel II, or Basel III).
(3) Non-performing loans net of provisions to capital: This FSI is calculated by taking the value of nonperforming loans (NPLs) less the value of specific provisions for NPLs as the numerator and total regulatory capital as the denominator. A loan is classified as nonperforming (NPL) when payment of principal or interest is past due by 90 days or more, or when evidence exists that a full or partial amount of a loan is not going to be recovered even in the absence of a 90-day past due payment. Only specific provisions for NPLs are used in this calculation and they refer to charges against the value of specific NPLs. Data exclude accrued interest on NPLs. Capital is measured as total regulatory capital calculated based on Basel I, II, or III depending on countries' supervisory practices.
(4) Non-performing loans to total gross loans: This FSI is calculated by using the value of NPLs as the numerator and the total value of the loan portfolio (including NPLs, and before the deduction of specific provisions for NPLs) as the denominator. A loan is classified as NPL when payment of principal or interest is past due by 90 days or more, or when evidence exists that a full or partial amount of a loan is not going to be recovered even in the absence of a 90-day past due payment.
(5) Return on assets: This FSI is calculated by dividing annualised net income before taxes by the average value of total assets (financial and non-financial) over the same period.
(6) Liquid assets to short-term liabilities: This FSI is calculated by using liquid assets as the numerator and short-term liabilities as the denominator. The components of liquid assets are defined in the IMF's 2019 FSIs Compilation Guide (2019 FSIs Guide). Liquid assets include currency and deposits and other financial assets available on demand or within three months as well as securities traded in liquid markets that can be converted into cash with minimal change in value. Short-term refers to three months and should be defined on a remaining maturity basis. If remaining maturity is not available, original maturity can be used as an alternative.
(7) Net open position in foreign exchange to capital: The net open position in foreign exchange should be calculated based on the guidance in the 2019 FSIs Guide. Capital should be total regulatory capital as net open position in foreign exchange is a supervisory concept.
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Concepts

(1) Regulatory Tier 1 capital to assets: Regulatory Tier 1 capital is calculated based on Basel I, II, or III depending on countries' supervisory practices. Denominator is total balance sheet (non-risk weighted) as-sets. For jurisdictions that have implemented the Basel III leverage ratio, the denominator also includes off-balance-sheet items.
(2) Regulatory Tier 1 capital to risk-weighted assets: Regulatory Tier 1 capital is calculated based on Basel I, II, or III depending on countries' supervisory practices. Denominator is risk-weighted assets also calculated based on Basel standards.
(3) Non-performing loans net of provisions to capital: A loan is classified as non-performing (NPL) when payment of principal or interest is past due by 90 days or more, or when evidence exists that a full or partial amount of a loan is not going to be recovered even in the absence of a 90-day past due payment. Only specific provisions for NPLs are used in this calculation and they refer to charges against the value of specific NPLs. Data exclude accrued interest on NPLs. Capital is measured as total regulatory capital calculated based on Basel I, II, or III depending on countries' supervisory practices.
(4) Non-performing loans to total gross loans: A loan is classified as NPL when payment of principal or interest is past due by 90 days or more, or when evidence exists that a full or partial amount of a loan is not going to be recovered even in the absence of a 90-day past due payment. The denominator is the total value of the loan portfolio (including NPLs, and before the deduction of specific provisions for NPLs).
(5) Return on assets: The numerator is annualized net income before taxes. The denominator is the average value of total assets (financial and non-financial) over the same period.
(6) Liquid assets to short-term liabilities: Liquid assets include currency and deposits and other financial assets available on demand or within three months as well as securities traded in liquid markets that can be converted into cash with minimal change in value. The denominator is short-term elements of debt liabilities plus net market value of financial derivatives position. The latter is calculated as financial derivatives liability position minus financial derivative asset position. Short-term refers to three months and should be defined on a remaining maturity basis. If remaining maturity is not available, original maturity can be used as an alternative.
(7) Net open position in foreign exchange to capital: Net open position should be calculated in accordance with the guidance in the 2019 FSIs Guide. The denominator is total regulatory capital as defined above.
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Computational Method

(1) Regulatory Tier 1 capital to assets: [Core capital (Tier 1)] / [Total balance sheet assets (non-risk weighted)] x 100%
(2) Regulatory Tier 1 capital to risk-weighted assets: [Core capital (Tier 1)] / (Risk weighted assets) x 100%
(3) Non-performing loans net of provisions to capital: [(Value of NPLs) - (Value of specific provisions for NPLs)] / (Total regulatory capital) x 100%
(4) Non-performing loans to total gross loans: (Value of NPLs) / (Total value of the loan portfolio) x 100%
(5) Return on assets: (Annualized net income before taxes) / (Average value of total assets) x 100%
(6) Liquid assets to short-term liabilities: (Liquid assets) / (Short term liabilities) x 100%
(7) Net open position in foreign exchange to capital: (Net open position in foreign exchange) / (Total regulatory capital) x 100%
Refer to SDG global metadata for more information.

Disaggregation

-

Data Source

International Monetary Fund (IMF)

Data Collection

Data reported by banks for supervisory purposes, including balance sheet, income statement, and memorandum series (such as Tier 1 capital, Tier 2 capital, risk-weighted assets).
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Time Period

2015 onwards

Frequency

Annual

SDG Global Metadata

Link to United Nations SDG global metadata

Indicator 10.5.1