ALMM reporting (EBA)

Implemented through EU CRR / UK PRA rules, ALMM is a detailed regulatory health check on how stable, diversified, and resilient a bank’s liquidity is.

ALMM reporting provides regulators with a granular, future-looking insight into a bank’s liquidity position that goes beyond core liquidity ratios, like LCR (Liquidity Coverage Ratio) and NSFR (Net Stable Funding Ratio).

ALMM reports include additional details like: 

• Funding concentration by counterparty, product, and currency 
• Maturity ladders of assets and liabilities 
• Roll-over risks and contractual cash flows 
• Encumbered vs. unencumbered assets 
• Liquidity by currency 
• Market-dependent funding reliance 

The goal of these reports is to be a bellwether that helps regulators detect emerging liquidity problems before they reach headline ratios.   

Banks and credit institutions that are subject to CRR and PRA liquidity supervision must file ALMM reports. Typically, ALMM reports must be filed monthly or quarterly but differ depending on the jurisdiction and the size of the financial institution.

ALMM reporting serves finance teams, risk management professionals, and regulators.

For finance and risk management:

ALMM exposes possible vulnerabilities in a bank’s liquidity profile and, by mandating more stringent reporting processes and granular treasury and risk data, promotes stronger liquidity forecasting and scenario planning. Because ALMM data feeds directly into cash flow projections, stress tests, and what-if scenarios, it must be reviewed at a detailed level and be accurate. Without ALMM-level detail, forecasts tend to skew optimistic and rely on averages rather than funding concentrations. In this way, ALMM helps banks assess whether their funding is truly stable and resilient under stress.

For regulators:

ALMM reporting acts as an alarm bell for liquidity vulnerabilities and concentration risk. It seeks to identify liquidity problems before they can develop into a full-blown crisis. KPIs such as the LCR and NSFR can appear healthy while material risks go unseen, including so-called stable funding concentrated among a small number of counterparties or liquidity gaps that emerge only in specific currencies or maturities. Historically, bank liquidity crises have been driven by sudden withdrawals from concentrated funding sources rather than the abrupt failure of regulatory ratios. ALMM reporting reveals where these concentrations exist.

Supervisory reporting allows regulators to examine the financial situation of institutions. It is designed to ensure sound financial processes, adequate capital coverage of risk, and overall financial system resilience.

Take FINREP and COREP for example. The European Banking Authority (EBA) FINREP and COREP reports fall under the category of supervisory reports. These supervisory reports handle the recognition and reporting forms for financial companies, banks, securities, and investment companies. 

Supervisory statistical reporting typically analyzes balance sheets and income statements collected from companies within a banking group for information related to: 

• Credit quality 
• Security exposure 
• Maturity of derivative contracts 
• Intra-group transactions 
• Capital adequacy 
• Solvency ratios 
• Large exposures 
• Market risks 
• International investment positions  

For financial institutions, international regulatory standards and reports are defined by the Basel Committee on Banking Supervision. The latest widely implemented set of guidelines is Basel II, which is adapted to each country through Country Specific Adjustments (CSAs).

For the insurance business, similar principles are applied under the Solvency framework.

• Generally, the purpose of supervisory reporting is to:
• Ensure sound financial controls
• Ensure that available capital covers the risks taken
• Account for correlations between various kinds of risk
• They ensure that if risks materialize, the institution has the funds to cover losses.

Supervisory reporting is an essential tool for regulators and financial institutions that provides visibility into a bank’s financial health and potential risks. Just like ALMM reporting, supervisory reports helps identify and prevent problems before they worsen into a disaster and promotes stronger liquidity forecasting, scenario planning, improved cash flow projections, more accurate stress tests, and better decision-making for finance and risk management teams.

ALMM reporting is a specialized part of supervisory reporting focused on liquidity and funding risk.