16 Time Buckets
This module describes the procedure for working with and managing the Time Bucket rules.
The Time Bucket rules allow users to create the time bucket definitions used for computing and out- putting aggregated cash flows. The 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. Time Buckets can be defined for the following types of ALM output:
- Income Simulation
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.
Be cautious when changing Time Bucket definitions when known dependenciesexist.
You can specify any combination of days, months, and years when setting up the buckets. Although, all Oracle ALM cash flows are generated daily, 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 definemonthly 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 ALM Deterministic Processes during ALM engine processing.
- Interest Rate GAP
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. From this screen, you can also define Dynamic Start Dates (as of date is always the initial start date), which allows you to generate both static and dynamic GAP simulations.
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 the 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.
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
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 Asset Liability Management business rules.
Topics