Table 1 Liquidity classification of bank activities and formulas to calculate liquidity creation of a bank
From: Non-performing loans (NPLs), liquidity creation, and moral hazard: Case of Chinese banks
Panel A: liquidity classification of bank activities | |||
Illiquid assets (weight = 1/2) | Semiliquid assets (weight = 0) | Liquid assets (weight = −1/2) | |
Assets | |||
Corporate commercial loans | Residential mortgage loans | Cash and due from banks | |
Investment in property | Other mortgage loans | Trading securities and at FV through income | |
Foreclosed real estate | Other consumer/retail loans | Tradable derivatives | |
Fixed assets | Loans and advances to banks | Available for sale securities | |
Goodwill | Reverse repos and cash collateral | Held to maturity securities | |
Other intangibles | At-equity investments in associates | ||
Other assets | Other securities | ||
Liabilities and equity | |||
Liquid liabilities (weight = 1/2) | Semiliquid liabilities (weight = 0) | Illiquid liabilities (−1/2) | |
Customer deposits-current | Customer deposits-term | Senior debt maturing after 1 year | |
Customer deposits-Savings | Deposits from banks | Subordinated borrowings | |
Tradable derivatives | Repos and cash collateral | Other funding | |
Trading liabilities | Other deposits and short term borrowings | Credit impairment reserves | |
Reserves for pension and others | |||
Fair value portion of debt | Current tax liabilities | ||
Deferred tax liabilities | |||
Other deferred liabilities | |||
Other liabilities | |||
Total equity | |||
Off-balance-sheet activities | |||
Illiquid activities (weight = 1/2) | Semiliquid activities (weight = 0) | Liquid activities (weight = −1/2) | |
Acceptances and documentary credits reported off-balance sheet | Managed securitized assets reported off-balance sheet | ||
Committed credit lines | Other off-balance-sheet exposure to securitizations | ||
Other contingent liabilities | |||
Guarantees | |||
Panel B: “cat nonfat” and “cat fat” formulas | |||
Cat nonfat= | +1/2*illiquid assets | 0*semiliquid assets | −1/2*liquid assets |
+1/2*liquid liabilities | 0*semiliquid liabilities | −1/2*illiquid liabilities | |
−1/2*equity | |||
Cat fat= | +1/2*illiquid activities | 0*semiliquid activities | −1/2*liquid activities |
+1/2*illiquid assets | 0*semiliquid assets | −1/2*liquid assets | |
+1/2*liquid liabilities | 0*semiliquid liabilities | −1/2*illiquid liabilities | |
−1/2*equity | |||