EN

ANNEX XXIV - Examples

Example file related to "C 66.00 - MATURITY LADDER (Annex XXIV - ITS on AMM))"
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
Greater Greater Greater Greater Greater Greater Greater Greater Greater Greater Greater Greater
Greater Greater Greater Greater Greater Greater Greater
than than 2 than 3 than 4 than 5 than 2 than 3 than 4 than 5 than 6 than 9 than 12 Greater
010- than 2 than 3 than 4 than 5 than 6 than 7 than 2
380
1 OUTFLOWS Overnight overnight
days up to days up to days up to days up to days up to days up to
weeks up weeks up weeks up weeks up months months months months months months months
years up
than 5
up to 2 to 3 to 4 to 5 to 2 up to 3 up to 4 up to 5 up to 6 up to 9 up to 12 up to 2 years
3 days 4 days 5 days 6 days 7 days 2 weeks to 5 years
days weeks weeks weeks months months months months months months months years
Liabilities resulting from securities issued (if not treated as retail
010 1.1
deposits)
020 1.1.1 unsecured bonds due 100
030 1.1.2 regulated covered bonds
040 1.1.3 securitisations due
050 1.1.4 other
Liabilities resulting from secured lending and capital market driven
060 1.2
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) 100 100
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) 200

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 ABS (CQS1) 50
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
Liabilities not reported in 1.2, resulting from deposits received (excluding
260 1.3
deposits received as collateral)
270 1.3.1 stable retail deposits 1000
280 1.3.2 other retail deposits 100
290 1.3.3 operational deposits
300 1.3.4 non-operational deposits from credit institutions 100
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 1000 0 50 0 100 0 0 100 300 0 0 0 100 0 0 100 0 0 0 0 0

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 EN
ANNEX XXIV - Examples

Example file related to "C 66.00 - MATURITY LADDER (Annex XXIV - ITS on AMM))"
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
Greater Greater Greater Greater Greater Greater Greater Greater Greater Greater Greater Greater
Greater Greater Greater Greater Greater Greater Greater
than than 2 than 3 than 4 than 5 than 2 than 3 than 4 than 5 than 6 than 9 than 12 Greater
390- than 2 than 3 than 4 than 5 than 6 than 7 than 2
720 2 INFLOWS Overnight overnight
days up to days up to days up to days up to days up to days up to
weeks up weeks up weeks up weeks up months months months months months months months
years up
than 5
up to 2 to 3 to 4 to 5 to 2 up to 3 up to 4 up to 5 up to 6 up to 9 up to 12 up to 2 years
3 days 4 days 5 days 6 days 7 days 2 weeks to 5 years
days weeks weeks weeks months months months months months months months years
Monies due from secured lending and capital market driven transactions
390 2.1
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) 100
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) 200

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 50
580 2.1.5 other assets
Monies due not reported in 2.1 resulting from loans and advances granted
590 2.2
to:
600 2.2.1 retail customers 100 100
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 50 0 0 100 200 0 100 0 0 0 0 0 0 0 100 0 0 0

710 2.8 Net funding gap -1000 0 -50 50 -100 0 100 100 -300 100 0 0 -100 0 0 -100 0 100 0 0 0

720 2.9 Cumulated net funding gap -1000 -1000 -1050 -1000 -1100 -1100 -1000 -900 -1200 -1100 -1100 -1100 -1200 -1200 -1200 -1300 -1300 -1200 -1200 -1200 -1200

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 EN
ANNEX XXIV - Examples

Example file related to "C 66.00 - MATURITY LADDER (Annex XXIV - ITS on AMM))"
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
Greater Greater Greater Greater Greater Greater Greater Greater Greater Greater Greater Greater
Greater Greater Greater Greater Greater Greater Greater
than than 2 than 3 than 4 than 5 than 2 than 3 than 4 than 5 than 6 than 9 than 12 Greater
730- than 2 than 3 than 4 than 5 than 6 than 7 than 2
1080 3 COUNTERBALANCING CAPACITY Initial stock Overnight overnight
days up to days up to days up to days up to days up to days up to
weeks up weeks up weeks up weeks up months months months months months months months
years up
than 5
up to 2 to 3 to 4 to 5 to 2 up to 3 up to 4 up to 5 up to 6 up to 9 up to 12 up to 2 years
3 days 4 days 5 days 6 days 7 days 2 weeks to 5 years
days weeks weeks weeks months months months months months months months 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) -110 110 110
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) -210 210
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) 80
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 -100

990 3.7 non tradable assets eligible for central banks 100 -100

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 100 -100

1070 3.9 Net change of Counterbalancing Capacity 0 0 80 -100 0 0 -110 -100 320 0 0 0 100 0 0 0 -100 -100 0 0 0

1080 3.10 Cumulated Counterbalancing Capacity 100 100 100 180 80 80 80 -30 -130 190 190 190 190 290 290 290 290 190 90 90 90 90

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 EN
ANNEX XXIV - Examples

Example file related to "C 66.00 - MATURITY LADDER (Annex XXIV - ITS on AMM))"
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
Greater Greater Greater Greater Greater Greater Greater Greater Greater Greater Greater Greater
Greater Greater Greater Greater Greater Greater Greater
than than 2 than 3 than 4 than 5 than 2 than 3 than 4 than 5 than 6 than 9 than 12 Greater
1090- than 2 than 3 than 4 than 5 than 6 than 7 than 2
1130
4 CONTINGENCIES Overnight overnight
days up to days up to days up to days up to days up to days up to
weeks up weeks up weeks up weeks up months months months months months months months
years up
than 5
up to 2 to 3 to 4 to 5 to 2 up to 3 up to 4 up to 5 up to 6 up to 9 up to 12 up to 2 years
3 days 4 days 5 days 6 days 7 days 2 weeks to 5 years
days weeks weeks weeks months months months months months months months 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 100 -100
Greater Greater Greater Greater Greater Greater Greater Greater Greater Greater Greater Greater
Greater Greater Greater Greater Greater Greater Greater
than than 2 than 3 than 4 than 5 than 2 than 3 than 4 than 5 than 6 than 9 than 12 Greater
1150- than 2 than 3 than 4 than 5 than 6 than 7 than 2
1290 MEMORANDUM ITEMS Initial stock Overnight overnight
days up to days up to days up to days up to days up to days up to
weeks up weeks up weeks up weeks up months months months months months months months
years up
than 5
up to 2 to 3 to 4 to 5 to 2 up to 3 up to 4 up to 5 up to 6 up to 9 up to 12 up to 2 years
3 days 4 days 5 days 6 days 7 days 2 weeks to 5 years
days weeks weeks weeks months months months months months months months years
1150 5 LCR short positions NOT covered by collateralised SFT
LCR "Outflows from secured lending and capital market-driven
1160 0 0 14
6 transactions" (weighted)
LCR "Inflows from secured lending and capital market-driven
1170 25 14
7 transactions" (weighted)
1180 8 LCR "Total outflows from collateral swaps" (weighted)
1190 9 LCR "Total inflows from collateral swaps" (weighted)
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 100 -110 110 110 -100
1240 14 non-HQLA central bank eligible
1250 15 collateral received re-used (receiving leg) 210
1260 16 collateral received re-used (re-using leg) 210
1270 17 Behavioural outflows from deposits 50 100 100 150 200 200 200
1280 18 Behavioural inflows from loans and advances
1290 19 Behavioural draw-downs of committed facilities

working examples (for the sake of simplicit, the items are reported only in the ultimate cells):
1. 2w repo with central bank eligible Level 1 (CQS1), loan 100, collateral 110

2. unsecured bond issued by the reporting bank in the amount of 100 maturing in 6m, which would become due in 5 days, should the bank be downgraded by 3 notches

3. 2w reverse repo with non-central bank eligible level 1 covered bond, loan 200, collateral 210, where the collateral has been rehypothycated in 3w repo, loan 200, collateral 210

4. loan to retail client in the amount of 100 maturing in 2w where the client has a revolving facility of 100 which enables the client to extend the maturity of the outstanding loan to 1m

5. 100 of retail non-stable deposit called "3m term deposit" with an early withdrawal clause enabling the client to withdraw the money in 5 days
forward starting repo with central bank eligible Level 1 (CQS1) starting in 7 days that will mature in 2 weeks from the start, loan 100 collateral 110. No entry in rows 1140,1150 because not
6. reported in LCR due to starts and ends within 30 days
unencumbered loan to retail client in the amount of 100 maturing in 1 year, which is immediately eligible for central bank facility and which will cease to be eligible for the central bank 3 months
7. before maturity

8. 3 day Level 2B (ABS) repo with market counterparty, loan 50, collateral 80. This would be 25% outflow, BUT this repo is with a central bank therefore outflow is 0%

9. 4 day Non-HQLA (other) reverse repo, loan 50, collateral 100. This would be 100% inflow (50), BUT the purpose is margin lending therefore inflow is 50%

10. 1000 retail sight deposits (qualifying as stable for the LCR) having the following expected cash flow rundown profile: 50 1w; 100 2w; 100 1m; 150 3m; 200 1y; 200 2y; 200 3y
committed credit facility from a credit institution in the amount of 100 expiring in 1y, where the reporting institution has already used the full capacity of the facility. The reporting institution must
repay the loan under the facility in 3m, after which the reporting institution may again use the full capacity of the facility. There are no restrictions that would limit the reporting institution from
11. using the facility to cover potential funding gaps

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