1. User Guide
  2. Time Buckets
  3. Cash Flow Bucketing
  4. Business Days

7.4.2 Business Days

Under the business days approach, the start and end date of each time bucket is computed based on the number of business days. The time bucket dates are not continuous calendar days in this approach but will exclude holidays. The time bucket dates will be different for each legal entity based on its respective holiday calendar.

The process of computing the time buckets based on business days and subsequent bucketing of cash flows based on each business day convention is illustrated below.

  1. Input

    For Input data refer to the Calendar Days.

  2. Calculation
    1. Time Bucket Start and End Date for Legal Entity 1

      The following is an example of time bucket stand and end date for legal entity 1.

      Table 6-14 Time Bucket Start and End Date for Legal Entity 1

      Level 0 Bucket Open Maturity Overnight 1-1 Day 2-2 Day 3-3 Day 4-4 Day 5-5 Day 6-6 Day 7-7 Day 8-14 Day >14 Days
      Bucket Size (Days) 1 1 1 1 1 1 1 7
      Start Date 1/28/2015 1/29/2015 1/30/2015 2/2/2015 2/3/2015 2/5/2015 2/6/2015 2/9/2015 2/18/2015
      End Date 1/28/2015 1/29/2015 1/30/2015 2/2/2015 2/3/2015 2/5/2015 2/6/2015 2/17/2015
    2. Time Bucket Start and End Date for Legal Entity 2

      The following is an example of time bucket stand and end date for legal entity 2.

      Table 6-15 Time Bucket Start and End Date for Legal Entity 2

      Level 0 Bucket Open Maturity Overnight 1-1 Day 2-2 Day 3-3 Day 4-4 Day 5-5 Day 6-6 Day 7-7 Day 8-14 Day >14 Days
      Bucket Size (Days) 1 1 1 1 1 1 1 7
      Start Date 1/28/2015 1/29/2015 2/1/2015 2/2/2015 2/3/2015 2/4/2015 2/5/2015 2/8/2015 2/18/2015
      End Date 1/28/2015 1/29/2015 2/1/2015 2/2/2015 2/3/2015 2/4/2015 2/5/2015 2/17/2015
    3. Cash Flow Bucketing for Legal Entity 1

      The following is an example of cash flow bucketing under each Business Day Convention for legal entity 1:

      Table 6-16 Cash Flow Bucketing for Legal Entity 1

      Time Buckets     Bucketing under each Business Day Convention              
      Time Buckets     Prior   Conditional Prior   Following   Conditional Following  
      Bucket Name Start Date End Date Inflow Outflow Inflow Outflow Inflow Outflow Inflow Outflow
      Open Maturity
      Overnight
      1-1 Day 1/28/2015 1/28/2015 20 22 20 22 20 22 20 22
      2-2 Day 1/29/2015 1/29/2015 11 29 11 29 11 29 11 29
      3-3 Day 1/30/2015 1/30/2015 55 69 11 26 11 26 55 69
      4-4 Day 2/2/2015 2/2/2015 24 18 68 61 68 61 24 18
      5-5 Day 2/3/2015 2/3/2015 59 44 29 23 29 23 59 44
      6-6 Day 2/5/2015 2/5/2015 18 23 48 44 48 44 18 23
      7-7 Day 2/6/2015 2/6/2015 62 68 11 22 11 22 62 68
      8-14 Day 2/9/2015 2/17/2015 50 41 101 87 101 87 50 41
      >14 Days 2/18/2015
      Total 299 314 299 314 299 314 299 314
    4. Cash Flow Bucketing for Legal Entity 2

      The following is an example of cash flow bucketing under each Business Day Convention for legal entity 2:

      Table 6-17 Example of cash flow bucketing

      Time Buckets     Bucketing under each Business Day Convention              
      Time Buckets     Prior   Conditional Prior   Following   Conditional Following  
      Bucket Name Start Date End Date Inflow Outflow Inflow Outflow Inflow Outflow Inflow Outflow
      Open Maturity
      Overnight
      1-1 Day 1/28/2015 1/28/2015 14 19 14 19 14 19 14 19
      2-2 Day 1/29/2015 1/29/2015 56 63 15 27 15 27 56 63
      3-3 Day 2/1/2015 2/1/2015 25 11 66 47 66 47 25 11
      4-4 Day 2/2/2015 2/2/2015 26 14 26 14 26 14 26 14
      5-5 Day 2/3/2015 2/3/2015 16 28 16 28 16 28 16 28
      6-6 Day 2/4/2015 2/4/2015 26 22 26 22 26 22 26 22
      7-7 Day 2/5/2015 2/5/2015 63 65 30 21 30 21 63 65
      8-14 Day 2/8/2015 2/17/2015 74 51 107 95 107 95 74 51
      >14 Days 2/18/2015
      Total 300 273 300 273 300 273 300 273

      Note:

      The method of calculating the time buckets based on business days is applicable only when the Business Day Convention in the Run Management window is selected as either Prior, Conditional Prior, Following or Conditional Following.

      If the Business Day Convention is selected as No Adjustment, then the process followed for calendar day based calculation is followed here as well. The times bucket start and end dates are calculated based on calendar days irrespective of the selection of Time Buckets Based On in the Run Management window. Cash flows are then bucketed without considering special treatment for holidays as illustrated in section Calendar Days above.