LCR Liquidity Coverage Ratio Calculator
Model caller classified LCR eligible asset haircuts, aggregate level-two share cap and stress inflow offset cap with floor-rounded hard caps; not complete Basel rules, level-2B subcaps/unwind, supervisory liquidity sufficiency or regulatory compliance.
Description
A simplified liquidity coverage ratio (LCR) scenario adjusts eligible assets for haircuts and caps level-two share and stress inflow offset.
A simplified liquidity coverage ratio (LCR) scenario adjusts eligible assets for haircuts and caps level-two share and stress inflow offset. Hard caps use flooring to avoid overshooting.1, 2
The returned values include Caller adjusted eligible hqla minor, Capped stress inflows minor, Net stress cash outflows minor, Modeled lcr percent. The How section below explains the calculation, input rules and interpretation.
When to use LCR Liquidity Coverage Ratio Calculator
Use LCR Liquidity Coverage Ratio Calculator when you need to evaluate the supplied records under the calculation and evidence rules below. No complete Basel implementation, level-2B subcap, unwind, supervisory liquidity sufficiency or compliance determination is supplied.
Prepare observed financial records and verified caller terms. Use one currency for integer minor-unit money and preserve leading zeros in identifier text. One basis point is 0.01 percentage points. Resolve dates, local clocks, counting rules and evidence flags as specified.
How to use LCR Liquidity Coverage Ratio Calculator and understand its results
- Prepare observed financial records and verified caller terms. Use one currency for integer minor-unit money and preserve leading zeros in identifier text. One basis point is 0.01 percentage points. Resolve dates, local clocks, counting rules and evidence flags as specified.
- Enter callerEligibleAssetValuesMinor, callerAssetHaircutBasisPoints, levelTwoFlags, callerLevelTwoShareCapBasisPoints, observedStressOutflowsMinor, observedStressInflowsMinor, callerInflowOffsetCapBasisPoints using the field table and calculation rules, then run the tool.
- Read callerAdjustedEligibleHqlaMinor, cappedStressInflowsMinor, netStressCashOutflowsMinor, modeledLcrPercent. The explanation below defines the units, signs, ordering and any flags or placeholder values.
- If the tool reports an input issue, correct the values and run it again. Apply the stated assumptions when interpreting a successfully returned result.
| Input field | Meaning | Value type; see rules below | Requirement |
|---|---|---|---|
| callerEligibleAssetValuesMinor | Caller eligible asset values minor | list of number | Required |
| callerAssetHaircutBasisPoints | Caller asset haircut basis points | list of number | Required |
| levelTwoFlags | Level two flags | list of number | Required |
| callerLevelTwoShareCapBasisPoints | Caller level two share cap basis points | number | Required |
| observedStressOutflowsMinor | Observed stress outflows minor | number | Required |
| observedStressInflowsMinor | Observed stress inflows minor | number | Required |
| callerInflowOffsetCapBasisPoints | Caller inflow offset cap basis points | number | Required |
Enter aligned nonempty nonnegative safe-integer assets, integer haircuts 0–10000 and binary level-two flags, integer cap basis points 0–9999, and nonnegative safe-integer stress flows. Round each haircut-adjusted asset, cap total level-two assets by the level-one-derived floor, cap inflows by the outflow-derived floor and require positive net outflows. Return capped HQLA, inflows, net outflows and 100×HQLA/netOutflows.
adjusted_i=roundMinor(asset_i×(10000−haircut_i)/10000); maxLevel2=floor(level1×capBps/(10000−capBps)); maxInflow=floor(outflows×inflowCapBps/10000) Units, indexing, boundary conditions and exceptional cases are defined in the calculation rules above.
| Output field | Meaning | Value type |
|---|---|---|
| callerAdjustedEligibleHqlaMinor | Caller adjusted eligible hqla minor | number |
| cappedStressInflowsMinor | Capped stress inflows minor | number |
| netStressCashOutflowsMinor | Net stress cash outflows minor | number |
| modeledLcrPercent | Modeled lcr percent | number |
{
"input": {
"callerEligibleAssetValuesMinor": [
1000,
1000
],
"callerAssetHaircutBasisPoints": [
0,
2000
],
"levelTwoFlags": [
0,
1
],
"callerLevelTwoShareCapBasisPoints": 4000,
"observedStressOutflowsMinor": 2000,
"observedStressInflowsMinor": 1500,
"callerInflowOffsetCapBasisPoints": 7500
},
"output": {
"callerAdjustedEligibleHqlaMinor": 1666,
"cappedStressInflowsMinor": 1500,
"netStressCashOutflowsMinor": 500,
"modeledLcrPercent": 333.2
}
}Limitations and assumptions
No complete Basel implementation, level-2B subcap, unwind, supervisory liquidity sufficiency or compliance determination is supplied.
Numeric inputs, where present, must be finite. Follow the calculation-specific rules for overflow, underflow and exceptional cases. Numeric lists are limited to 10,000 entries; string lists to 128 strings of at most 128 characters each. The rules above may impose smaller limits. Missing required fields, extra fields, wrong value types and violations of the calculation rules are input errors.
Alternative or Complementary methods
Use NSFR Net Stable Funding Ratio Calculator: NSFR compares available with required stable funding after classification weights. Supplied factors and category rounding shape this simplified scenario. For a complementary task, use CET1 Capital Adequacy Ratio Calculator: CET1 scenarios deduct specified adjustments before dividing by supplied RWA. Capital and policy margin can remain negative.
Further background: Basel Framework: Liquidity Coverage Ratio.
References
-
LCR Liquidity Coverage Ratio Calculator — tool.io
-
Basel Framework: Liquidity Coverage Ratio — Bank for International Settlements
Similar or alternative tools
- NSFR Net Stable Funding Ratio Calculator
NSFR compares available with required stable funding after classification weights. Supplied factors and category rounding shape this simplified scenario.
- CET1 Capital Adequacy Ratio Calculator
CET1 scenarios deduct specified adjustments before dividing by supplied RWA. Capital and policy margin can remain negative.