OpenChainGraph Suite · ART-364 · Bank Liquidity & Capital

LCR / NSFR / Leverage Ratio Calculator

Basel III Liquidity Coverage Ratio (BCBS 238), Net Stable Funding Ratio (BCBS 295), and Leverage Ratio (BCBS 270 / BCBS 360) deterministic point calculation from a single reporting date's positions. For a stochastic multi-scenario stress distribution, see sim-01-lcr-nsfr-liquidity-stress-test. Provable version of tools/469-lcr-calculator.html, tools/470-nsfr-calculator.html, and tools/471-leverage-ratio-calculator.html.

BCBS 238BCBS 295BCBS 270 / 360
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LCR — HQLA Positions
Category
Level
Market value ($M)
Government bonds / central bank reserves
Qualifying RMBS
Non-financial corp bonds (BBB-, 25% haircut)
LCR — Cash Outflows (30-day)
Category
Balance ($M)
Outflow rate (%)
Retail stable deposits
Retail less-stable deposits
Wholesale deposits — financial institution
Committed credit facilities — non-financial corp
LCR — Cash Inflows (30-day, capped 75% of outflows)
Category
Balance ($M)
Inflow rate (%)
Retail customer inflows
Non-financial corporate inflows
NSFR — Available Stable Funding
Category
Amount ($M)
ASF factor (%)
Tier 1 + Tier 2 regulatory capital
Retail stable deposits ≥1yr
Retail less-stable <1yr
Other liabilities residual <1yr
NSFR — Required Stable Funding
Category
Amount ($M)
RSF factor (%)
Unencumbered Level 1 HQLA
Loans to retail/SME <1yr
Loans to non-financial corp ≥1yr
All other assets residual
Leverage Ratio
LCR Detail
NSFR Detail
Leverage Detail
Execution Hash (SHA-256)