/liquidity-lcr

name: liquidity-lcr
description: >
  Activate for: LCR, liquidity coverage ratio, HQLA, high quality liquid assets,
  net cash outflow, run-off rate, Level 1 assets, Level 2A, Level 2B, 30-day
  stress scenario, liquidity buffer, liquidity coverage, cash outflow, inflow cap.
  NOT for: structural funding / NSFR calculations (use liquidity-nsfr), capital
  adequacy ratios (use basel-capital), interest rate risk in the banking book (IRRBB).
metadata:
  version: "1.0"
  author: "Panaversity — The AI Agent Factory"
  standard: "Basel III Liquidity Coverage Ratio (BCBS 2013, updated 2014)"

LCR FORMULA

LCR = HQLA Stock / Total Net Cash Outflows (30-day stress) >= 100%

Minimum regulatory: 100% Management buffer best practice: 110-130% (gives operating room above minimum)

HQLA CATEGORISATION AND HAIRCUTS

Level 1 Assets — No Haircut

• Coins and banknotes
• Central bank reserves (eligible for withdrawal in stress)
• Central government / central bank bonds in domestic currency
• Central government / central bank bonds in foreign currency (up to 15% cap per currency)
• Qualifying 0% risk weight sovereign bonds in Basel SA

Level 1 assets: NO haircut, NO cap as proportion of HQLA.

Level 2A Assets — 15% Haircut

• Sovereign / central bank / MDB bonds rated AA- or above (not qualifying for Level 1)
• Non-0% RW sovereign bonds from countries with low risk
• Qualifying corporate bonds rated AA- or above
• Qualifying covered bonds rated AA or above

Level 2A assets after haircut: capped at 40% of total HQLA after haircuts.

Level 2B Assets — 25-50% Haircuts (national discretion to include)

• Qualifying RMBS (residential mortgage-backed securities): 25% haircut
• Qualifying corporate bonds rated A+ to BBB-: 50% haircut
• Qualifying equities in main stock index: 50% haircut

Level 2B assets after haircut: capped at 15% of total HQLA after haircuts. Combined Level 2A + 2B cap: 40% of total HQLA after haircuts.

HQLA CALCULATION EXAMPLE — WITH LEVEL 2 CAP CHECK

Level 1: 800M x 100% = 800M Level 2A: 100M x 85% = 85M Level 2B: 60M x 75% = 45M (after 25% RMBS haircut) Subtotal before cap: 930M Level 2 cap check: Level 2 = 130M. 40% of 930M = 372M. Cap not binding. HQLA Stock = 930M

Example Where Level 2 Cap IS Binding

Level 1: 200M x 100% = 200M Level 2A: 200M x 85% = 170M Level 2B: 100M x 50% = 50M (after 50% equity haircut) Subtotal before cap: 420M Level 2 cap check: Level 2 = 220M. 40% of 420M = 168M. CAP IS BINDING. Adjusted Level 2 = 168M. Excess 52M excluded. HQLA Stock = 200M + 168M = 368M (not 420M)

The Level 2 cap commonly binds for banks with limited sovereign bond portfolios that rely heavily on corporate bonds or RMBS for their liquidity buffer.

CASH OUTFLOWS — KEY RUN-OFF RATES

Retail Deposits

| Category | Run-off Rate | |---|---| | Stable retail deposits (insured, established relationship) | 3% | | Less stable retail deposits (uninsured, online, new customers) | 10% | | Very high rate / promotional deposits | 20% |

Wholesale Deposits

| Category | Run-off Rate | |---|---| | Non-financial corporate (operational) | 25% | | Non-financial corporate (non-operational) | 40% | | Financial institution (non-operational) | 100% | | Central bank / sovereign (operational) | 25% | | Secured funding (government collateral) | 0% | | Secured funding (non-HQLA collateral) | 25% | | Unsecured wholesale < 30 days (financial) | 100% |

Off-Balance-Sheet

| Facility Type | Drawdown Rate | |---|---| | Credit facilities to retail customers | 5% | | Credit facilities to non-financial corporates | 10% | | Credit facilities to financial institutions | 40% | | Liquidity facilities to SPVs / conduits | 100% | | Committed undrawn facilities (unconditional cancellable) | 0% |

CASH INFLOWS — KEY RATES AND 75% CAP

Maturing secured lending collateralised by HQLA: 0% (assumed rolled) Maturing secured lending collateralised by non-HQLA: 100% Retail customer loan repayments: 50% Non-financial corporate loan repayments: 100% Financial institution loan repayments: 100%

CRITICAL: Total inflows are CAPPED at 75% of total outflows. Net Cash Outflows = Total Outflows - MIN(Total Inflows, 75% x Total Outflows)

OPERATIONAL DEPOSITS

Operational deposits (funds held for clearing, custody, cash management): May receive lower run-off treatment (25%) if the bank is the core relationship provider and the customer has no practical alternative for these services. Operational determination requires documented evidence of operational relationship.

INTRADAY LIQUIDITY

LCR measures 30-day liquidity. Banks also need intraday liquidity for payment system settlement. BCBS monitoring tools (April 2013) address intraday liquidity separately — check jurisdiction overlay for monitoring requirements.

OUTPUT FORMAT — LCR REPORT

LCR CALCULATION REPORT
As at:              [YYYY-MM-DD]
Entity:             [Bank / Group name]
Currency:           [Reporting currency]

HIGH QUALITY LIQUID ASSETS (HQLA):
  Level 1 assets:                   [Amount] x 100% = [After haircut]
  Level 2A assets:                  [Amount] x 85%  = [After haircut]
  Level 2B assets:                  [Amount] x [%]  = [After haircut]
  Subtotal before cap:              [Amount]
  Level 2 cap (40%):                [Binding? Y/N — adjusted amount]
  TOTAL HQLA:                       [Amount]

CASH OUTFLOWS (30-day stress):
  Retail deposits:                  [Amount] x [rate] = [Outflow]
  Wholesale non-operational:        [Amount] x [rate] = [Outflow]
  Wholesale operational:            [Amount] x [rate] = [Outflow]
  Secured funding:                  [Amount] x [rate] = [Outflow]
  Off-balance-sheet:                [Amount] x [rate] = [Outflow]
  TOTAL OUTFLOWS:                   [Amount]

CASH INFLOWS:
  Maturing secured (non-HQLA):      [Amount] x 100% = [Inflow]
  Loan repayments:                  [Amount] x [rate] = [Inflow]
  TOTAL INFLOWS (before cap):       [Amount]
  75% CAP:                          [75%