ANNEX XXII

ANNEX XXII

REPORTING ON AMM MATURITY LADDER

AMM TEMPLATES
Template number	Template code	Name of the template /group of templates
		MATURITY LADDER TEMPLATE
66	C 66.01	MATURITY LADDER TEMPLATE

C 66.01 - MATURITY LADDER

Total and significant currencies

Code	ID	Item	Contractual Flow Maturity
Code	ID	Item	010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	220
010-380	1	OUTFLOWS		Overnight	Greater than overnight up to 2 days	Greater than 2 days up to 3 days	Greater than 3 days up to 4 days	Greater than 4 days up to 5 days	Greater than 5 days up to 6 days	Greater than 6 days up to 7 days	Greater than 7 days up to 2 weeks	Greater than 2 weeks up to 3 weeks	Greater than 3 weeks up to 30 days	Greater than 30 days up to 5 weeks	Greater than 5 weeks up to 2 months	Greater than 2 months up to 3 months	Greater than 3 months up to 4 months	Greater than 4 months up to 5 months	Greater than 5 months up to 6 months	Greater than 6 months up to 9 months	Greater than 9 months up to 12 months	Greater than 12 months up to 2 years	Greater than 2 years up to 5 years	Greater than 5 years
010	1.1	Liabilities resulting from securities issued (if not treated as retail deposits)
020	1.1.1	unsecured bonds due
030	1.1.2	regulated covered bonds
040	1.1.3	securitisations due
050	1.1.4	other
060	1.2	Liabilities resulting from secured lending and capital market driven transactions collateralised by:
070	1.2.1	Level 1 tradable assets
080	1.2.1.1	Level 1 excluding covered bonds
090	1.2.1.1.1	Level 1 central bank
100	1.2.1.1.2	Level 1 (CQS 1)
110	1.2.1.1.3	Level 1 (CQS2, CQS3)
120	1.2.1.1.4	Level 1 (CQS4+)
130	1.2.1.2	Level 1 covered bonds (CQS1)
140	1.2.2	Level 2A tradable assets
150	1.2.2.1	Level 2A corporate bonds (CQS1)
160	1.2.2.2	Level 2A covered bonds (CQS1, CQS2)
170	1.2.2.3	Level 2A public sector (CQS1, CQS2)
180	1.2.3	Level 2B tradable assets
190	1.2.3.1	Level 2B Asset Backed Securities (ABS) (CQS1)
200	1.2.3.2	Level 2B covered bonds (CQS1-6)
210	1.2.3.3	Level 2B: corporate bonds (CQ1-3)
220	1.2.3.4	Level 2B shares
230	1.2.3.5	Level 2B public sector (CQS 3-5)
240	1.2.4	other tradable assets
250	1.2.5	other assets
260	1.3	Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral)
270	1.3.1	stable retail deposits
280	1.3.2	other retail deposits
290	1.3.3	operational deposits
300	1.3.4	non-operational deposits from credit institutions
310	1.3.5	non-operational deposits from other financial customers
320	1.3.6	non-operational deposits from central banks
330	1.3.7	non-operational deposits from non-financial corporates
340	1.3.8	non-operational deposits from other counterparties
350	1.4	FX-swaps maturing
360	1.5	Derivatives amount payables other than those reported in 1.4
370	1.6	Other outflows
380	1.7	Total outflows
390-720	2	INFLOWS		Overnight	Greater than overnight up to 2 days	Greater than 2 days up to 3 days	Greater than 3 days up to 4 days	Greater than 4 days up to 5 days	Greater than 5 days up to 6 days	Greater than 6 days up to 7 days	Greater than 7 days up to 2 weeks	Greater than 2 weeks up to 3 weeks	Greater than 3 weeks up to 30 days	Greater than 30 days up to 5 weeks	Greater than 5 weeks up to 2 months	Greater than 2 months up to 3 months	Greater than 3 months up to 4 months	Greater than 4 months up to 5 months	Greater than 5 months up to 6 months	Greater than 6 months up to 9 months	Greater than 9 months up to 12 months	Greater than 12 months up to 2 years	Greater than 2 years up to 5 years	Greater than 5 years
390	2.1	Monies due from secured lending and capital market driven transactions collateralised by:
400	2.1.1	Level 1 tradable assets
410	2.1.1.1	Level 1 excluding covered bonds
420	2.1.1.1.1	Level 1 central bank
430	2.1.1.1.2	Level 1 (CQS 1)
440	2.1.1.1.3	Level 1 (CQS2, CQS3)
450	2.1.1.1.4	Level 1 (CQS4+)
460	2.1.1.2	Level 1 covered bonds (CQS1)
470	2.1.2	Level 2A tradable assets
480	2.1.2.1	Level 2A corporate bonds (CQS1)
490	2.1.2.2	Level 2A covered bonds (CQS1, CQS2)
500	2.1.2.3	Level 2A public sector (CQS1, CQS2)
510	2.1.3	Level 2B tradable assets
520	2.1.3.1	Level 2B ABS (CQS1)
530	2.1.3.2	Level 2B covered bonds (CQS1-6)
540	2.1.3.3	Level 2B: corporate bonds (CQ1-3)
550	2.1.3.4	Level 2B shares
560	2.1.3.5	Level 2B public sector (CQS 3-5)
570	2.1.4	other tradable assets
580	2.1.5	other assets
590	2.2	Monies due not reported in 2.1 resulting from loans and advances granted to:
600	2.2.1	retail customers
610	2.2.2	non-financial corporates
620	2.2.3	credit institutions
630	2.2.4	other financial customers
640	2.2.5	central banks
650	2.2.6	other counterparties
660	2.3	FX-swaps maturing
670	2.4	Derivatives amount receivables other than those reported in 2.3
680	2.5	Paper in own portfolio maturing
690	2.6	Other inflows
700	2.7	Total inflows
710	2.8	Net contractual gap
720	2.9	Cumulated net contractual gap
730-1080	3	COUNTERBALANCING CAPACITY	Initial stock	Overnight	Greater than overnight up to 2 days	Greater than 2 days up to 3 days	Greater than 3 days up to 4 days	Greater than 4 days up to 5 days	Greater than 5 days up to 6 days	Greater than 6 days up to 7 days	Greater than 7 days up to 2 weeks	Greater than 2 weeks up to 3 weeks	Greater than 3 weeks up to 30 days	Greater than 30 days up to 5 weeks	Greater than 5 weeks up to 2 months	Greater than 2 months up to 3 months	Greater than 3 months up to 4 months	Greater than 4 months up to 5 months	Greater than 5 months up to 6 months	Greater than 6 months up to 9 months	Greater than 9 months up to 12 months	Greater than 12 months up to 2 years	Greater than 2 years up to 5 years	Greater than 5 years
730	3.1	coins and bank notes
740	3.2	Withdrawable central bank reserves
750	3.3	Level 1 tradable assets
760	3.3.1	Level 1 excluding covered bonds
770	3.3.1.1	Level 1 central bank
780	3.3.1.2	Level 1 (CQS 1)
790	3.3.1.3	Level 1 (CQS2, CQS3)
800	3.3.1.4	Level 1 (CQS4+)
810	3.3.2	Level 1 covered bonds (CQS1)
820	3.4	Level 2A tradable assets
830	3.4.1	Level 2A corporate bonds (CQS1)
840	3.4.3	Level 2A covered bonds (CQS 1, CQS2)
850	3.4.4	Level 2A public sector (CQS1, CQS2)
860	3.5	Level 2B tradable assets
870	3.5.1	Level 2B ABS (CQS1)
880	3.5.2	Level 2B covered bonds (CQS1-6)
890	3.5.3	Level 2B corporate bonds (CQ1-3)
900	3.5.4	Level 2B shares
910	3.5.5	Level 2B public sector (CQS 3-5)
920	3.6	other tradable assets
930	3.6.1	central government (CQS1)
940	3.6.2	central government (CQS 2 & 3)
950	3.6.3	shares
960	3.6.4	covered bonds
970	3.6.5	ABS
980	3.6.6	other tradable assets
990	3.7	non tradable assets eligible for central banks
1000	3.8	undrawn committed facilities received
1010	3.8.1	Level 1 facilities
1020	3.8.2	Level 2B restricted use facilities
1030	3.8.3	Level 2B IPS facilities
1040	3.8.4	other facilities
1050	3.8.4.1	from intragroup counterparties
1060	3.8.4.2	from other counterparties
1070	3.9	Net change of Counterbalancing Capacity
1080	3.10	Cumulated Counterbalancing Capacity
1090-1130	4	CONTINGENCIES		Overnight	Greater than overnight up to 2 days	Greater than 2 days up to 3 days	Greater than 3 days up to 4 days	Greater than 4 days up to 5 days	Greater than 5 days up to 6 days	Greater than 6 days up to 7 days	Greater than 7 days up to 2 weeks	Greater than 2 weeks up to 3 weeks	Greater than 3 weeks up to 30 days	Greater than 30 days up to 5 weeks	Greater than 5 weeks up to 2 months	Greater than 2 months up to 3 months	Greater than 3 months up to 4 months	Greater than 4 months up to 5 months	Greater than 5 months up to 6 months	Greater than 6 months up to 9 months	Greater than 9 months up to 12 months	Greater than 12 months up to 2 years	Greater than 2 years up to 5 years	Greater than 5 years
1090	4.1	Outflows from committed facilities
1100	4.1.1	Committed credit facilities
1110	4.1.1.1	considered as Level 2B by the receiver
1120	4.1.1.2	other
1130	4.1.2	Liquidity facilities
1140	4.2	Outflows due to downgrade triggers
1150-1290	MEMORANDUM ITEMS		Initial stock	Overnight	Greater than overnight up to 2 days	Greater than 2 days up to 3 days	Greater than 3 days up to 4 days	Greater than 4 days up to 5 days	Greater than 5 days up to 6 days	Greater than 6 days up to 7 days	Greater than 7 days up to 2 weeks	Greater than 2 weeks up to 3 weeks	Greater than 3 weeks up to 30 days	Greater than 30 days up to 5 weeks	Greater than 5 weeks up to 2 months	Greater than 2 months up to 3 months	Greater than 3 months up to 4 months	Greater than 4 months up to 5 months	Greater than 5 months up to 6 months	Greater than 6 months up to 9 months	Greater than 9 months up to 12 months	Greater than 12 months up to 2 years	Greater than 2 years up to 5 years	Greater than 5 years
1200	10	Intragroup or IPS outflows (excluding FX)
1210	11	Intragroup or IPS inflows (excluding FX and maturing securities)
1220	12	Intragroup or IPS inflows from maturing securities
1230	13	HQLA central bank eligible
1240	14	non-HQLA central bank eligible
1270	17	Behavioural outflows from deposits
1280	18	Behavioural inflows from loans and advances
1290	19	Behavioural draw-downs of committed facilities

Recitals

CHAPTER 1 - SUBJECT MATTER AND SCOPE (Article 1)

CHAPTER 2 - REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS (Article 2-4)

CHAPTER 3 - FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION (Article 5-11)

CHAPTER 4 - FORMAT AND FREQUENCY OF SPECIFIC REPORTING OBLIGATIONS ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY ACCORDING TO ARTICLE 101 OF REGULATION (EU) No 575/2013 (Article 12)

CHAPTER 5 - FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS (Article 13)

CHAPTER 6 - FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS (Article 14)

CHAPTER 7 - FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS (Article 15-16)

CHAPTER 7a - FORMAT AND FREQUENCY OF REPORTING ON ASSET ENCUMBRANCE ON AN INDIVIDUAL AND A CONSOLIDATED BASIS (Article 16a)

CHAPTER 7b - FORMAT AND FREQUENCY OF REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS ON AN INDIVIDUAL AND A CONSOLIDATED BASIS (Article 16b)

CHAPTER 8 - IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES (Article 17)

CHAPTER 9 - TRANSITIONAL AND FINAL PROVISIONS (Article 18-19)

ANNEX I Q&A ANNEX II Q&A ANNEX III Q&A ANNEX IV Q&A ANNEX V Q&AGL ANNEX VI Q&A ANNEX VII Q&A ANNEX VIII Q&A ANNEX IX Q&A ANNEX X Q&A ANNEX XI Q&A ANNEX XII Q&AGL ANNEX XIII Q&A ANNEX XIV Q&A ANNEX XV Q&A ANNEX XVI Q&A ANNEX XVII Q&A ANNEX XVIII Q&AGL ANNEX XIX Q&AGL ANNEX XX Q&AGL ANNEX XXI Q&AGL ANNEX XXII Q&AGL ANNEX XXIII Q&AGL ANNEX XXIV Q&A ANNEX XXV Q&A

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