+Article 340 3.

Article 340 3.

The institution shall then calculate the modified duration of each debt instrument on the basis of the following formula:

image

where:

D

=

duration calculated according to the following formula:

image

where:

R

=

yield to maturity;

Ct

=

cash payment in time t;

M

=

total maturity.

Correction shall be made to the calculation of the modified duration for debt instruments which are subject to prepayment risk. EBA shall, in accordance with Article 16 of Regulation (EU) No 1093/2010, issue guidelines about how to apply such corrections.

1. Übersicht

,

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards
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