In the guidance annexes for DPM 2.7 for ALMM returns C 67.00, C 68.00 and C 69.00 (Annex XIX) the requirement for ‘volume’ and ‘amount of funding’ has been further specified to ‘carrying amount’ for these templates only. Annex XIX does not define ‘carrying amount’ for liabilities – with reference to the ALMM templates mentioned, should it include accrued interest?
Updates to the guidance for ALMM in Annex XIX for final draft ITS 680/2014 and DPM 2.7 following EBA/CP/2016/22 state that for C 67.00, C 67.00, C 68.00 and C69.00 ‘volume’ and ‘amount of funding’ should be taken to mean ‘carrying amount’ for the deposits / funding reported in these returns. Annex XIX does not provide any further information on what is meant by ‘carrying amount’.
Annex V (FINREP) could be used as a source for the definition of carrying amount. Or is a different definition intended for ALMM?
For the purposes of reporting template C 67.00, C 68.00 and C 69.0 of Annex XVIII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) as amended by Regulation (EU) 2017/2114 (applicable from 1 March 2018 onwards), ‘carrying amount’ shall mean the amount to be reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest.
This is in line with the definition given in Annex V, Part 1, paragraph 27 of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) as amended by Regulation (EU) 2017/1443 (applicable from 1 March 2018 onwards) and used for the purposes of reporting the FINREP templates of Annexes III and IV thereto.