Annex IX

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

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