Article 340 3.
The institution shall then calculate the modified duration of each debt instrument on the basis of the following formula:
where:
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D
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=
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duration calculated according to the following formula:
where:
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Ct
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=
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cash payment in time t;
|
|
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. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
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