EIOPA · 2222
Reporting Templates
- Regulation
- (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
- Article
- N/A
- Topic
- Reporting Templates
- Submitted
- 2020-11-19
- Answered
- 2021-08-11
Question
Question regarding S.06.02 C0360 Duration. How should the following be understood in regards to callable bonds? "For assets without fixed maturity the first call date shall be used. The duration shall be calculated based on economic value." Should the duration for all callable bonds be based on the first call/put date? And if so how can the duration be calculated based on economics value when the embedded option is out-the-money?
Answer
The duration of a callable bond without fixed maturity (perpetuals with call options) should be calculated based on the next call date, when the probability of the embedded option being exercised is high (is in-the-money or based on another kind of assumption), and the duration of a perpetuity should be calculated otherwise
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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