Bank Treasury Liquidity Coverage Ratio

Keep liquidity coverage ratio compliance front and center by translating Level 1, Level 2A, and Level 2B assets into Basel III high-quality liquid assets, enforcing haircut and concentration caps, scaling stressed outflows for alternative horizons, and monitoring surplus or shortfall versus the 100% target.

Cash, reserves, and sovereign bonds that receive no Basel III haircut.
Projected stressed outflows net of capped inflows for the regulatory horizon.
Defaults to $0 when left blank; a 15% regulatory haircut is applied automatically.
Defaults to $0; haircut of 25% with a 15% Level 2B concentration cap.
Defaults to 30 days. Adjust to model shorter (15-day) or longer (45-day) LCR windows.
Defaults to $0. Enter encumbrances as negatives or incremental HQLA as positives.

Simplified Basel III implementation. Always validate calculations against regulatory reporting templates before submission.

Examples

  • Level 1 $2.8B, Level 2A $400M, Level 2B $120M, net outflows $2.1B, horizon 30 days ⇒ Eligible HQLA after haircuts totals $3,230,000,000.00. Against $2,100,000,000.00 of 30.0-day stressed outflows, LCR stands at 153.81%. Level 2 assets contribute 13.31% of the stack, and you have a surplus of $1,130,000,000.00 versus the 100% requirement.
  • Level 1 $1.05B, Level 2A blank, Level 2B blank, net outflows $1.2B, horizon 45 days ⇒ Eligible HQLA after haircuts totals $1,050,000,000.00. Against $1,800,000,000.00 of 45.0-day stressed outflows, LCR stands at 58.33%. Level 2 assets contribute 0.00% of the stack, and you have a shortfall of $750,000,000.00 versus the 100% requirement.

FAQ

How are caps on Level 2 assets enforced?

Level 2B holdings are first limited to 17.65% of Level 1 plus Level 2A, then total Level 2 contributions are capped at two-thirds of Level 1 so the combined share never exceeds the 40% Basel III limit.

Can I model intraday liquidity gaps?

Yes. Shorten the stress horizon to the number of days you want to cover, or duplicate the scenario with intraday net-outflow assumptions and compare results.

Where should Level 1 deductions be entered?

Use the adjustments field for any known encumbrances, collateral calls, or ring-fenced balances that reduce the amount of usable HQLA.

Additional Information

  • Level 2A instruments absorb a 15% haircut and Level 2B instruments 25%, then they are limited to 66.7% and 15% shares respectively per Basel III guidance.
  • Net outflows scale linearly from the standard 30-day window, letting you stress 15-, 30-, or 45-day supervisory horizons with one input.
  • Adjustments capture intraday add-ons, pledged collateral deductions, or liquidity premiums that treasury teams track outside core HQLA buckets.

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