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

Previous versions Current version Ongoing versions

Consultation on Guidelines on corrections to modified duration for debt instruments

  • Status: Closed
  • Deadline: 22 JUNE 2016
Documents
Consultation Paper

(641.33 KB - PDF) Last update 22 March 2016

Responses

The form is now closed.

Received responses to the EBA

Public hearings

Public Hearing on Consultation on Guidelines on corrections to modified duration for debt instruments

Press contacts

Franca Rosa Congiu