Question ID: 2222
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Topic: Reporting Templates
Article: N/A
Template: S.06.02
Status: Final
Date of submission: 19 Nov 2020
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?
EIOPA 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