Annex XI
United Kingdom
‘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 66.00 MATURITY LADDER TEMPLATE C 66.00 - MATURITY LADDER
Total and significant currencies 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 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 390-720 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 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 710 2.8 Net contractual gap 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 720 2.9 Cumulated net contractual gap 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 730-1080 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 (CQS1, 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 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1080 3.10 Cumulated Counterbalancing Capacity 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 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 ’