Long awaited Commission Regulations settling the approach to the new ALMM reporting regime have been published. As previously thought the regulations drop Maturity analysis (for the time being anyway).
The reporting regime will require certain institutions to submit the required reports monthly (with April 2016 as the first month for which information is to be reported); however for most UK firms the reporting requirement will be quarterly.
Reports to be submitted will cover: Concentration of funding by Counterparty, Concentration of funding by Product Type, Prices for various lengths of funding, Roll-over of funding and Concentration of Counterparty Capacity by Issuer/Counterparty.
A key challenge will be the need for firms to collect data on new funding and rollovers.
We continue to liaise with the EBA on details regarding reporting deadlines as well as the content of submissions when reported on a quarterly basis. We are continuing to monitor for any update from the PRA related to this statement on ALMM.