Question ID: 3133
Regulation Reference: (EU) 2023/894 - ITS with regard to the templates for the submission of information necessary for supervision
Topic: Reporting Templates
Article: C0230 - Duration
Template: S.08.01
Status: Rejected
Date of submission: 31 Jul 2024
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.
EIOPA 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.)