11th October , 2016
The European Banking Authority (EBA) has published its final Guidelines on corrections to modified duration for debt instruments. The objective of these Guidelines is to establish what type of adjustments to the modified duration (MD) – as defined according to the formulas in the Capital Requirements Regulation (CRR) – have to be performed in order to appropriately reflect the effect of the prepayment risk. The Guidelines will contribute towards the successful implementation of the Commission’s securitisation package under the Capital Markets Union reform, giving clarity on the matter to credit institutions.
Link for original press release.