ANNEX XXII

AMM TEMPLATES

Template number

Template code

Name of the template /group of templates

MATURITY LADDER TEMPLATE

66

C 66.01

MATURITY LADDER TEMPLATE

Code

ID

Item

Contractual Flow Maturity

0010

0020

0025

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0010-0380

1

OUTFLOWS

Initial stock

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

Overnight

of which: Open Maturity items

0010

1.1

Liabilities resulting from securities issued (if not treated as retail deposits)

0011

1.1.0.1

of which: Intragroup or IPS

0020

1.1.1

unsecured bonds due

0030

1.1.2

regulated covered bonds

0040

1.1.3

securitisations due

0050

1.1.4

other

0065

1.2

Liabilities resulting from secured lending and capital market driven transactions collateralised by (Counterparty is non-Central Bank):

0066

1.2.0.1

of which: Intragroup or IPS

0075

1.2.1

Level 1 tradable assets

0085

1.2.1.1

Level 1 excluding covered bonds

0095

1.2.1.1.1

Level 1 central bank

0105

1.2.1.1.2

Level 1 (CQS 1)

0115

1.2.1.1.3

Level 1 (CQS2, CQS3)

0125

1.2.1.1.4

Level 1 (CQS4+)

0135

1.2.1.2

Level 1 covered bonds (CQS1)

0145

1.2.2

Level 2A tradable assets

0155

1.2.2.1

Level 2A corporate bonds (CQS1)

0165

1.2.2.2

Level 2A covered bonds (CQS1, CQS2)

0175

1.2.2.3

Level 2A public sector (CQS1, CQS2)

0185

1.2.3

Level 2B tradable assets

0195

1.2.3.1

Level 2B Asset Backed Securities (ABS) (CQS1)

0205

1.2.3.2

Level 2B covered bonds (CQS1-6)

0215

1.2.3.3

Level 2B: corporate bonds (CQ1-3)

0225

1.2.3.4

Level 2B shares

0235

1.2.3.5

Level 2B public sector (CQS 3-5)

0245

1.2.4

other tradable assets

0251

1.2.5

other assets

0252

1.2a

Liabilities resulting from secured lending and capital market driven transactions collateralised by (Counterparty is Central Bank):

0253

1.2a.1

Level 1 tradable assets

0254

1.2a.2

Level 2A tradable assets

0255

1.2a.3

Level 2B tradable assets

0256

1.2a.4

other tradable assets

0257

1.2a.5

other assets

0260

1.3

Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral)

0261

1.3.0.1

of which: Intragroup or IPS

0270

1.3.1

stable retail deposits

0280

1.3.2

other retail deposits

0290

1.3.3

operational deposits

0300

1.3.4

non-operational deposits from credit institutions

0310

1.3.5

non-operational deposits from other financial customers

0320

1.3.6

non-operational deposits from central banks

0330

1.3.7

non-operational deposits from non-financial corporates

0340

1.3.8

non-operational deposits from other counterparties

0350

1.4

FX-swaps maturing

0360

1.5

Derivatives amount payables other than those reported in 1.4

0370

1.6

Other outflows

0380

1.7

Total outflows

0390-0720

2

INFLOWS

Initial stock

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

Overnight

of which: Open Maturity items

0390

2.1

Monies due from secured lending and capital market driven transactions collateralised by:

0391

2.1.0.1

of which: Intragroup or IPS

0400

2.1.1

Level 1 tradable assets

0410

2.1.1.1

Level 1 excluding covered bonds

0420

2.1.1.1.1

Level 1 central bank

0430

2.1.1.1.2

Level 1 (CQS 1)

0440

2.1.1.1.3

Level 1 (CQS2, CQS3)

0450

2.1.1.1.4

Level 1 (CQS4+)

0460

2.1.1.2

Level 1 covered bonds (CQS1)

0470

2.1.2

Level 2A tradable assets

0480

2.1.2.1

Level 2A corporate bonds (CQS1)

0490

2.1.2.2

Level 2A covered bonds (CQS1, CQS2)

0500

2.1.2.3

Level 2A public sector (CQS1, CQS2)

0510

2.1.3

Level 2B tradable assets

0520

2.1.3.1

Level 2B ABS (CQS1)

0530

2.1.3.2

Level 2B covered bonds (CQS1-6)

0540

2.1.3.3

Level 2B: corporate bonds (CQ1-3)

0550

2.1.3.4

Level 2B shares

0560

2.1.3.5

Level 2B public sector (CQS 3-5)

0570

2.1.4

other tradable assets

0580

2.1.5

other assets

0590

2.2

Monies due not reported in 2.1 resulting from loans and advances granted to:

0600

2.2.1

retail customers

0610

2.2.2

non-financial corporates

0620

2.2.3

credit institutions

0621

2.2.3.1

of which: Intragroup or IPS

0630

2.2.4

other financial customers

0640

2.2.5

central banks

0650

2.2.6

other counterparties

0660

2.3

FX-swaps maturing

0670

2.4

Derivatives amount receivables other than those reported in 2.3

0680

2.5

Paper in own portfolio maturing

0690

2.6

Other inflows

0691

2.6.1

of which: Intragroup or IPS

0700

2.7

Total inflows

0710

2.8

Net contractual gap

0720

2.9

Cumulated net contractual gap

0730-1080

3

COUNTERBALANCING CAPACITY

Initial stock

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

Overnight

of which: Open Maturity items

0730

3.1

coins and bank notes

0740

3.2

Withdrawable central bank reserves

0750

3.3

Level 1 tradable assets

0760

3.3.1

Level 1 excluding covered bonds

0770

3.3.1.1

Level 1 central bank

0780

3.3.1.2

Level 1 (CQS 1)

0790

3.3.1.3

Level 1 (CQS2, CQS3)

0800

3.3.1.4

Level 1 (CQS4+)

0810

3.3.2

Level 1 covered bonds (CQS1)

0820

3.4

Level 2A tradable assets

0830

3.4.1

Level 2A corporate bonds (CQS1)

0840

3.4.3

Level 2A covered bonds (CQS 1, CQS2)

0850

3.4.4

Level 2A public sector (CQS1, CQS2)

0860

3.5

Level 2B tradable assets

0870

3.5.1

Level 2B ABS (CQS1)

0880

3.5.2

Level 2B covered bonds (CQS1-6)