[F1ANNEX XXII U.K.

Textual Amendments

C 66.01 - MATURITY LADDER

Total and significant currencies

ANNEX XXII Table 2: rows 1 - 129

[F1Code 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
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 ]