Definition
The ALMM (additional liquidity monitoring metrics) are a set of supervisory reporting templates that complement the LCR and NSFR. They give the supervisor a detailed view of an institution's maturity structure, concentrations and funding costs.
Template content
- The contractual maturity ladder, which spreads contractual inflows and outflows across maturity buckets, together with counterbalancing capacity.
- Concentration of funding by counterparty and product type.
- Concentration of counterbalancing capacity by issuer and counterparty.
- Prices for funding by maturity and rollover of funding.
Regulatory requirement
The ALMM are provided for by the CRR and defined in the implementing technical standards on supervisory reporting. They are reported with the same frequency and scope as the other liquidity templates and feed the supervisor's analysis in the SREP and its assessment of the ILAAP.
Practical challenges
- The required granularity, counterparty by counterparty and bucket by bucket, which puts heavy demands on source data.
- Consistency with the LCR and NSFR, which must start from the same accounting basis.
- Using the templates beyond compliance, to steer concentrations and funding costs.
In RIALTO
This concept is covered by the ALMM Insight Core module. The use case 'Securing regulatory production' shows it in practice.