Solvency Capital Requirement (SCR)

How to calculate modified duration for liquid leveraged loans, held directly or via the funds? As those are acquisition debt to finance LBOs held by private equity funds, "change of control" clause is embedded in origination documents of the loan and de facto repay once private equity fund sells the asset, which is substantially earlier than the loan's legal maturity. While newly originated leveraged loans usually have 7-8 years legal maturity, ELLI lev loan index , for example, calculates weighted average life ("WAL") of the European Leveraged Loan universe as being de facto 3.5-4 years. Can we base our calculation thus on expected WAL rather than legal maturity for this type of loan landscape?

The amplitude of modified durations resulting from variety of calculation concepts proposed by the fund managers and their advisors, results in solvency capital charge that varies greatly for this type of loan.