According to the Authority’s notices (e.g. Resolution on Comments No. 86 on EIOPA-CP-009/2011, Final Report on CP No.14/036) the approach adopted by the Group to compute the duration (QRT S.06.02-S.08.01) for floating coupon bond is consistent to the Article 176 Par. 2 second sentence of the Delegated Regulation (Commission Delegated Regulation (EU) 2015/35 of 10 October 2014): “For variable interest rate bonds or loans, the duration shall be equivalent to the modified duration of a fixed interest rate bond or loan of the same maturity and with coupon payment equal to forward interest rate”.

As an example according to that definition the bond with isin code CZ0001004105 (6M PRIBOR-10bp, 11/19/2027) should have a duration greater than 1 (about 11ys). We kindly ask if the approach adopted is correct and the duration of the bond reported is in line with the Authority’s expectations, otherwise we ask for a detailed explanation of the duration required.