Liquidity lcr

Skill panaversity/agentfactory-business-plugins/banking/skills/liquidity-lcr

Marketplace of domain-specific plugins for AI agents (Cowork, Claude Code, OpenClaw). Build autonomous business workflows for finance, banking, legal operations, and sales using modular agent skills and commands.

Install

npx -y skills add panaversity/agentfactory-business-plugins --skill liquidity-lcr

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What its author says it does

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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).

SKILL.md

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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% x Total Outflows]
  INFLOWS RECOGNISED:               MIN([Inflows], [Cap])

NET CASH OUTFLOWS:                  [Outflows - Inflows Recognised]
LCR:                                [HQLA / Net Cash Outflows] = [Ratio]%
Regulatory Minimum:                 100%
Management Target:                  [Target]%

NEVER DO THESE

NEVER include Level 2B assets without checking if jurisdiction permits them (national discretion)
NEVER forget the combined 40% Level 2 cap
NEVER forget the 75% inflow cap (can't assume all counterparties pay)
NEVER include encumbered assets in HQLA (must be unencumbered)
NEVER double-count assets that are both HQLA and maturing loan collateral
NEVER classify deposits as "operational" without documented evidence of the operational relationship — regulators audit operational deposit determinations closely

ALL OUTPUTS REQUIRE REVIEW BY A QUALIFIED PROFESSIONAL BEFORE USE IN REGULATORY FILINGS OR BUSINESS DECISIONS.