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.

 

Press Release

Consultation Papers