EIOPA · 3133
Reporting Templates
- Regulation
- (EU) 2023/894 - ITS with regard to the templates for the submission of information necessary for supervision
- Article
- C0230 - Duration
- Topic
- Reporting Templates
- Submitted
- 2024-07-31
- Answered
- 2024-11-15
Question
We have some trouble to identify the correct meaning of "Duration" in S.08.01. We have a doubt between : - Modified duration - Macaulay duration Can you please clarify what type of duration is required for "residual modified duration" please ? And possibly define it.
Answer
This question has been rejected because the issue it deals with is already explained in the (EU) 2023/894 - ITS with regard to the templates for the submission of information necessary for supervision: "Derivative duration, defined as the residual modified duration, for derivatives for which a duration measure is applicable. Calculated as the net duration between in and out flows from the derivative, when applicable." (We are using modified [so not Macaulay] duration.)
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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