If you're being pedantic, you should use 'Public Holiday', rather than 'Bank Holiday', throughout for consistency. Christmas Day and Good Friday are NOT bank holidays within the legal definition as such. [Banking and Financial Dealings Act 1971]. However they are public holidays.
The usual convention on calendars seems to be to to use capitals at the start of both words for bank holidays. (i.e. 'Bank Holiday'). Where the term 'public holiday' is used instead though, it seems more common only to use a capital letter at the start of the first word (i.e. 'Public holiday').