Guidelines on corrections to modified duration for debt instruments

  • Status: Final and translated into the EU official languages

These Guidelines establish what type of adjustments to the Modified Duration (MD), defined according to the formulas in Article 340(3) of the CRR, have to be performed in order to reflect appropriately the effect of the prepayment risk. These draft Guidelines are relevant for institutions applying the standardised approach for general risk on debt instruments under the Duration-Based calculation.

Summary of document history

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Final report on Guidelines on corrections to modified duration for debt instruments

  • Status:
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Documents
Compliance table

(184.56 KB - PDF) Last update 24 March 2021

Final report on Guidelines on corrections to modified duration for debt instruments (EBA-GL-2016-09)

(514.62 KB - PDF) Last update 12 December 2016

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