Time Bucket rules allow users to create the various time bucket definitions used for computing and outputting aggregated cash flows. Time Bucket rules determine the granularity of cash flow output and can be set at any frequency through a combination of daily, monthly and yearly buckets.
BSP shares the same user interface as ALM, but is limited to monthly time buckets set up using the Income Simulation tab. BSP does not utilize Interest Rate GAP or Liquidity GAP Time Bucket definitions.
Only BSP System Administrators actively use Time Bucket rules. In BSP, all other users (Planning Administrators and Planning Users) do not actively set up any time buckets. Instead, BSP builds its own synthetic time bucketing rules whenever you define a new Forecast Set.
For example, if you define a new Forecast Set that has a duration of 18 months, any planning user who executes cash flows against that Forecast Set will be using an 18-month, monthly time bucket rule.
For BSP, it is recommended that the System Administrator use a single Time Bucket rule whose duration will be longer than the duration of any Forecast Set you may plan to use.
In general, Time Buckets can be defined for the following type of output:
· Income Simulation
· Interest Rate GAP
· Liquidity GAP
Income Simulation Buckets allow you to specify the time periods used for storing and reporting results. These bucket definitions set the modeling horizon for date-related business rule assumptions. When you change the number or frequency of the modeling buckets, existing business rules are affected.
Note Be cautious when changing Time Bucket definitions when known dependencies exist. You can specify any combination of days, months, and years when setting up the buckets. Although, all cash flows are generated on a daily basis, they are aggregated into defined income simulation buckets when results are stored. Reports access information from the income simulation buckets and let you aggregate buckets. For example, you can define monthly income simulation buckets but generate a quarterly income statement. On the other hand, you cannot generate a weekly balance sheet if all income simulation buckets are monthly. If you want to use different configurations of income simulation buckets, such as all monthly or all quarterly, you should create a separate Time Bucket rule for each and use an appropriate naming convention to identify these characteristics. All date-related assumption rules should be defined and used in the context of a single set of Income Simulation buckets or a single Time Bucket rule. |
Income Simulation Bucket definitions are referenced by all bucket based forecast business rules, including Forecast Rates, Forecast Balances, Pricing Margins and Maturity Mix rules and also by BSP Deterministic Processes during BSP engine processing.
Interest Rate GAP Buckets allow you to define Interest Rate (repricing) GAP buckets including a catch all bucket to move reprice gap output for Non Interest Rate Sensitive products. Interest Rate GAP Buckets are not utilized by BSP. For information on how Interest Rate GAP Buckets are used by OFSAA Cash Flow Engine, see the OFSAA ALM User Guide and the OFSAA Cash Flow Engine Reference Guide.
With this Dynamic Start Date capability, users can also define forward start dates for computing dynamic market valuations. The Dynamic Start Date capability allows you to consider amortization of existing business and any new business assumptions that are applicable between the current as of date and the future dated – Dynamic Start Date. You must set up Income Simulation Buckets before defining Interest Rate GAP Buckets. Note that Dynamic Start dates are not supported in BSP.
Note Only Interest Rate GAP financial elements are impacted by the Interest Rate GAP bucket definitions. The Interest Rate GAP financial elements range from FE660 to FE700. |
Liquidity GAP Buckets are similar to Interest Rate GAP buckets. The only difference is that Liquidity Bucket definitions impact only the Liquidity Runoff financial elements, which range from FE 1660 to 1717.
The procedure for working with and managing Time Bucket rules is similar to that of other Balance Sheet Planning business rules. It includes the following steps:
· Searching for Time Bucket rules. For more information, refer to Searching for Rules section.
· Creating Time Bucket Rules, For more information, refer to Creating Rules section.
· Viewing and Editing Time Bucket rules. For more information, refer to Viewing and Editing Rules section.
· Copying Time Bucket rules. For more information, refer to Copying Rules section.
· Deleting Time Bucket rules. For more information, refer to Deleting Rules section.