Non-bank financial institutions: assessment of their impact on the stability of the financial system

Table 47: Financial Soundness Indicators: Core and Encouraged Sets 
 
Indicator 
Deposit-takers: Core set 
Capital adequacy 
Regulatory capital to risk-weighted assets
 
Regulatory Tier 1 capital to risk-weighted assets
Earnings and profitability 
Return on assets
11
The framework for analysis of FSIs is known as the CAMELS framework (or methodology), which is an acronym for 'Capital adequacy, 
Asset quality, Management soundness, Earnings, Liquidity, Sensitivity to market risk'. For a discussion of FSIs within the CAMELS 
methodology see, for example, Evans et al. (2000), Sundararajan et al. (2002) and IMF and World Bank (2005) in Gersl and Jaroslav 
(2007).

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Annex
 7
│
 Literature on risk measures
 
 
 
 
 
 
 
184 
 
 
 
 
 
 
Table 47: Financial Soundness Indicators: Core and Encouraged Sets 
 
Indicator 
 
Return on equity
 
Interest margin to gross income
 
Noninterest expenses to gross income
Asset quality 
Nonperforming loans net of provisions to capital
 
Nonperforming loans to total gross loans
 
Sectoral distribution of loans to total loans
Liquidity 
Liquid assets to total assets (liquid asset ratio)
 
Liquid assets to short-term liabilities
 
Duration of assets 
Sensitivity to market risk 
Duration of liabilities 
 
Net open position in foreign exchange to capital
Deposit-takers: Encouraged set 
Capital to assets
 
Large exposures to capital
 
Geographical distribution of loans to total loans
 
Gross asset position in financial derivatives to capital
 
Gross liability position in financial derivatives to capital
 
Trading income to total income
 
Personnel expenses to noninterest expenses
 
Spread between reference lending and deposit rates
 
Spread between highest and lowest interbank rate
 
Customer deposits to total (non-interbank) loans
 
Foreign-currency-denominated loans to total loans
 
Foreign-currency-denominated liabilities to total liabilities
Market liquidity 
Average bid-ask spread in the securities market /1
Average daily turnover ratio in the securities market /1
Non-bank financials 
 
Assets to total financial system assets
Assets to GDP
Non-financial undertakings 
Total debt to equity
 
Return on equity
 
Earnings to interest and principal expenses
 
Net foreign exchange exposure to equity
 
Number of bankruptcy proceedings initiated
Households 
Household debt to GDP
 
Household debt service and principal payments to income
Real estate markets 
Residential real estate prices
 
Commercial real estate prices
 
Residential real estate loans to total loans
 
Commercial real estate loans to total loans