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Article 340 › 3

CRR
REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance) · European Union

The institution shall then calculate the modified duration of each debt instrument on the basis of the following formula: where: D duration calculated according to the following formula: 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.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04