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Bank sector variables

Banking sector vulnerabilities are monitored through indicators regrouped under 9 sub-domains. Each category is further divided in core and encouraged indicators, based on their relevance as explanatory RHS variables and the availability of the underlying data. The respective categories are the following:

  • Banking structure: This set of indicators shows the degree of financial intermediation and banking concentration to support the identification of structural risks.
  • Main elements of the P&L: In this section basic components of the profit and loss account are shown.
  • Profitability: Based on the main elements of the P&L the category on profitability includes various ratios concerning profitability and efficiency.
  • Main elements of the balance sheet: The section on elements of the balance sheet covers the structure of assets and liabilities on a detailed basis.
  • Liquidity and funding: These indicators aim at assessing the resilience of banks' liquidity position, the diversification of funding sources and maturity mismatches between assets and liabilities.
  • Lending and leverage: Indicators in this category evaluate different types of risk concentrations from lending to the real economy, like the risk from FX lending, variable rate loans, large exposures and loan concentration per sector and have to be seen complementary to the section on debt and credit variables. The category also includes an indicator measuring the leverage ratio of the balance sheet.
  • Capital: This category assesses the capacity of the financial sector to absorb losses. Indicators also cover the quality of capital as well as the drivers of capitalization.
  • Asset quality: Consists of indicators assessing the credit quality of the loan portfolio and banks' provisioning policy.
  • Locational funding indicators: This section complements indicators provided in the other sections like capital, liquidity and funding.

The list of indicators, together with the underlying SDW codes and indicators calculations, can be accessed via the following catalogue:

Bank sector variables catalogue