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

7.4.1 Calendar Days

Under the calendar days approach, the start and end date of each time bucket is computed based on the number of calendar days. The time bucket dates are in running calendar day sequence. The time bucket dates are consistent across multiple legal entities, each with different holidays.

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

  1. Inputs
    1. Cash Flows

      The following table illustrates the cash flows based on each date for legal entities 1 and 2.

      Table 6-7 Cash Flows

      Date Legal Entity 1 Legal Entity 2 Legal Entity 2 Legal Entity 2
      Item Inflow Outflow Inflow Outflow
      1/28/2015 20 22 14 19
      1/29/2015 11 29 15 27
      1/30/2015 11 26 18 26
      1/31/2015 22 22 23 10
      2/1/2015 22 21 25 11
      2/1/2015 24 18 26 14
      2/3/2015 29 23 16 28
      2/4/2015 30 21 26 22
      2/5/2015 18 23 30 21
      2/6/2015 11 22 23 26
      2/7/2015 23 17 10 18
      2/8/2015 28 29 24 19
      2/9/2015 27 23 27 11
      2/10/2015 23 18 23 21
      Total 299 314 300 273
    2. Holiday Calendar

      The following table illustrates Holidays (including weekends) based on each date for legal entities 1 and 2.

      Table 6-8 Holiday Calendar

      Legal Entity 1 Legal Entity 1 Legal Entity 2 Legal Entity 2
      Date Type Date Type
      1/31/2015 Weekend 1/30/2015 Weekend
      2/1/2015 Weekend 1/31/2015 Weekend
      2/4/2015 Holiday 2/6/2015 Weekend
      2/7/2015 Weekend 2/7/2015 Weekend
      2/8/2015 Weekend 2/10/2015 Holiday
      2/14/2015 Weekend 2/13/2015 Weekend
      2/15/2015 Weekend 2/14/2015 Weekend
    3. Time Bucket Definition

      The time bucket start and end date is calculated by each of the level 0 time buckets which are specified as part of the time bucket definition above.

      Table 6-9 Time Bucket Definition

      Level 0 Buckets Level 1 Bucket
      Open Maturity Open Maturity
      Overnight Overnight
      1-1 Day 1-5 Days
      2-2 Day 1-5 Days
      3-3 Day 1-5 Days
      4-4 Day 1-5 Days
      5-5 Day 1-5 Days
      6-6 Day 6-14 Days
      7-7 Day 6-14 Days
      8-14 Day 6-14 Days
      >14 Days >14 Days
    4. As of Date

      Table 6-10 As of Date

      As of Date
      1/27/2015
  2. Calculation
    1. Time Bucket Start and End Date

      The following is an example of time bucket start and end date.

      Table 6-11 Time Bucket Start and End Date

      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) N/A N/A 1 1 1 1 1 1 1 7
      Start Date N/A N/A 1/28/2015 1/29/2015 1/30/2015 1/31/2015 2/1/2015 2/2/2015 2/3/2015 2/4/2015 2/11/2015
      End Date N/A N/A 1/28/2015 1/29/2015 1/30/2015 1/31/2015 2/1/2015 2/2/2015 2/3/2015 2/10/2015
    2. 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 6-12 Cash Flow Bucketing for Legal Entity 1

      Time Buckets Time Buckets Time Buckets Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention
      Time Buckets Time Buckets Time Buckets Prior Conditional Prior Following Following Conditional Following Conditional Following No Adjustment No Adjustment No Adjustment No Adjustment
      Bucket Name Start Date End Date Inflow Outflow Inflow Outflow Inflow Outflow Inflow Outflow Inflow Outflow
      Open Maturity N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
      Overnight N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
      1-1 Day 1/28/2015 1/28/2015 20 22 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 11 29
      3-3 Day 1/30/2015 1/30/2015 55 69 11 26 11 26 55 69 11 26
      4-4 Day 1/31/2015 1/31/2015 N/A N/A N/A N/A N/A N/A N/A N/A 22 22
      5-5 Day 2/1/2015 2/1/2015 N/A N/A N/A N/A N/A N/A N/A N/A 22 21
      6-6 Day 2/2/2015 2/2/2015 24 18 68 61 68 61 24 18 24 18
      7-7 Day 2/3/2015 2/3/2015 59 44 29 23 29 23 29 23 29 23
      8-14 Day 2/4/2015 2/10/2015 130 132 160 153 160 153 160 153 160 153
      >14 Days 2/11/2015 N/A N/A N/A N/A N/A N/A N/A N/A N/A
      Total 299 314 299 314 299 314 299 314 299 314
    3. Cash Flow Bucketing for Legal Entity 2

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

      Table 6-13 Cash Flow Bucketing for Legal Entity 2

      Time Buckets Time Buckets Time Buckets Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention Bucketing under each Business Day Convention
      Time Buckets Time Buckets Time Buckets Prior Conditional Prior Following Following Conditional Following Conditional Following No Adjustment No Adjustment No Adjustment No Adjustment
      Bucket Name Start Date End Date Inflow Outflow Inflow Outflow Inflow Outflow Inflow Outflow Inflow Outflow
      Open Maturity N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
      Overnight N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
      1-1 Day 1/28/2015 1/28/2015 14 19 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 15 27
      3-3 Day 1/30/2015 1/30/2015 N/A N/A N/A N/A N/A N/A N/A N/A 18 26
      4-4 Day 1/31/2015 1/31/2015 N/A N/A N/A N/A N/A N/A N/A N/A 23 10
      5-5 Day 2/1/2015 2/1/2015 25 11 66 47 66 47 25 11 25 11
      6-6 Day 2/2/2015 2/2/2015 26 14 26 14 26 14 26 14 26 14
      7-7 Day 2/3/2015 2/3/2015 16 28 16 28 16 28 16 28 16 28
      8-14 Day 2/4/2015 2/10/2015 163 138 163 138 140 117 163 138 163 138
      >14 Days 2/11/2015 N/A N/A N/A N/A N/A 23 21 N/A N/A N/A N/A
      Total 300 273 300 273 300 273 300 273 300 273