Article 340 › 5 CRR — REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND…

Article 340 › 5

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 duration-weighted position for each instrument by multiplying its market price by its modified duration and by the assumed interest-rate change for an instrument with that particular modified duration (see column 3 in Table 3).

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