LCR, NSFR and pricing of banking products

Consultancy services on the analytical invoicing of costs and income resulting from the compliance to regulatory LCR and NSFR liquidity ratios, in order to take them into account in the pricing of banking products.

Pricing of banking products

The consultancy service relates to the analytical invoicing of costs and income resulting from the saturation of this constraint

- from a banking group's central finance unit to its business lines and entities,

- from an entity's central funding unit to each commercial transaction (loan or deposit) recorded on its balance sheet; this involves the respective contributions (positive or negative) of the LCR and NSFR to the Fund Transfer Price (FTP) of the transaction.

Pricing adjusted accordingly

LCR et NSFR

Following the financial crisis of 2007-2008, the Basel Committee on Banking Supervision introduced two liquidity risk metrics in 2010 (Basel III), subject to a limit: LCR (Liquidity Coverage Ratio) for the short term and NSFR (Net Stable Funding Ratio) for the medium/long term.

The addition of these regulatory indicators directly affects the liquidity risk management strategy: on the one hand, it leads to a shift in the static liquidity position (liquidity gap) and, on the other hand, it makes management more complex, since it is now subject to multiple constraints. Above all, it changes the structure of the bank's balance sheet and the pricing of its products.