Question
What day count convention is to be used in Regulation (EU) No 575/2013 (CRR) Article 116 (3) ?
Background on the question
There are some different day count conventions discribing a 'three month runtime', What exact convention is to use in the sense of Regulation (EU) No 575/2013 (CRR) Article 116 (3) ?
Answer
In the absence of Regulation (EU) No 575/2013 (CRR) prescribing any day count convention, the actual exact number of days should be used when an institution needs to convert into days a specific number of weeks, months or years referenced in the CRR. For the purpose of Article 116(3) CRR, "three months or less" means within three calendar months, or, if converted into days, within the exact number of days of these three calendar months. By way of example, a loan granted on 1 January must have an original maturity date on or before 31 March of the same year in order to qualify for the 20% risk weight. Similarly, a loan granted on 25 August must have an original maturity date on or before 24 November of the same year in order to qualify for the 20% risk weight.