28.

Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of investment firms and credit institutions (recast) · European Union

The institution shall then calculate the modified duration of each debt instrument on the basis of the following formula: modified duration = ((duration (D))/(1 + r)), where: D = ((Σ_(t=1)^(m)((t C_(t))/((1+r)^(t))))/(Σ_(t=1)^(m)((C_(t))/((1+r)^(t))))) where: R = yield to maturity (see point 25), C_(t) = cash payment in time t, M = total maturity (see point 25).

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Source: EUR-Lex (Cellar) · retrieved 2026-10-10 · Text as adopted (Official Journal); later amendments are not incorporated in this text.