9.6 Rolling between Accounts

Inter-Account Rolling can be achieved with no difficulty if the new instruments do not pay during the modeling bucket in which they are originated. In this simple case, the current position runoff that occurs in bucket 1 will define the new business generated in bucket 1. The new business run-off generated in bucket 2 plus the current position run-off in bucket 2 will impact the business generated in bucket 2, and so on.

If the instruments do pay during the bucket in which they are originated, then, ideally, a new business instrument should be created on the day of run-off for the new instrument for the account that it is rolling into.