In Template F 18.00 the “cross carrying amount / nominal amount” and the “accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions of non-performing exposures” have to be allocated to different “past-due” columns according to its number of days past due. How many days past due have to be assumed in order to allocate an exposure to past-due column “1 year” or “5 years” respectively?

Banks have to count the number of days “past due” to allocate the exposures to its respective column. The number of days in column 070 or 160 “Unlikely to pay that are not past-due or past-due < = 90 days” and column 080 or 170 “Past due > 90 days <= 180 days” are self-explanatory. However, the number of days for columns 090 “Past due > 180 days <= 1 year”, column 100 “Past due > 1 year <= 5 years” and column 105 “Past due > 5 years” provide some room for interpretation since it is not explicitly expressed how many days have to be assumed for “1 year” or “5 years”.

The definition of ‘1 year’ and ‘5 years’ should be based on the interest calculation method lenders are using in accordance with the applicable accounting framework. If the methods 30/360 or actual/360 are used, ‘1 year’ should be defined as 360 days. If the method Actual/Actual is used, ‘1 year’ should be defined as 365/366 days. ‘5 years’ is defined accordingly.