Repricing Tenor (time) bucketsRepricing Tenor (time) buckets

Repricing Tenor (time) buckets

There are 17 time buckets in this form. The time buckets on the form indicate the periods in which the interest rates applying to repricing items are expected to reprice (i.e. term to next interest rate repricing/change). They do not indicate the residual term of the original maturity of the instrument itself, however the two may coincide (e.g. bank bills, term deposits, money market loans).

The amount recorded in each time bucket for each item is the amount of principal and interest cash flow that is expected to reprice during that time period rather than any fair value representation.

The “Overnight (O/N)” bucket is to represent exposures that reprice overnight. Not all balance sheet items may be exposed to interest rate risk. For such items, these should be reported under the “Non-interest rate sensitive” time bucket.