Interpretation of indicators: core liabilities include 50% time deposits, issued bonds and demand deposits with a maturity of more than three months (including three months); Total liabilities refer to the total liabilities in the bank's balance sheet.
Core debt ratio is an indicator to judge the change of liquidity risk management. Its calculation formula is the ratio of the ending balance of core liabilities to the ending total liabilities, and the local and foreign currency data are calculated separately, and it is not less than 60%. With the increasingly rich tools of the central bank's open market policy, commercial banks borrow from the central bank, and the debt ratio to the central bank is also increasing. Under the influence of liquidity risk, stabilizing deposits in interbank liabilities has become an important task for bank development.
Measurement indicators and calculation formulas of different risks:
liquidity risk
1, liquidity ratio
Calculation formula:
Liquidity ratio = current assets balance/current liabilities balance × 100%
2. Excess reserve ratio
Calculation formula of RMB excess reserve ratio:
RMB excess reserve ratio = (excess reserve deposits of China People's Bank+cash on hand)/ending balance of RMB deposits × 100%.
Calculation formula of foreign currency excess reserve ratio:
Foreign currency excess reserve ratio = (excess foreign exchange reserve deposits of China People's Bank+foreign exchange deposits of peers+foreign exchange cash)/ending balance of foreign currency deposits × 100%.
3. Core debt ratio
Calculation formula:
Core debt ratio = ending balance of core liabilities/ending balance of total liabilities × 100%.
4. Liquidity gap rate
Calculation formula:
Liquidity gap rate = (liquidity gap+unused irrevocable commitment)/current assets due × 100%.
credit risk
5. Non-performing loan ratio
Calculation formula:
Non-performing loan ratio = (subprime loan+doubtful loan+loss loan)/loan balance × 100%.
6. Ratio of non-performing assets
Calculation formula:
Non-performing asset ratio = ending balance of non-performing assets/ending balance of total assets × 100%.
7. Single customer credit concentration
Calculation formula:
Single customer credit concentration = maximum customer credit/net capital × 100%.
8. Proportion of associated credit
Calculation formula:
Related party credit ratio = total credit of all related parties/net capital × 100%