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EBA final Guidelines on corrections to modified duration for debt instruments under Article 340(3) of CRR (EBA/GL/2016/09)

These GL establish what type of adjustments to the Modified Duration (MD), defined according to the formulas in Article 340(3) of the CRR, have to be performed in order to reflect appropriately the effect of the prepayment risk. They are relevant for institutions applying the standardised approach for general risk on debt instruments under the Duration-Based calculation.

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