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Division (b) Duration-basedF1

United Kingdom Repealed

Original text. Later amendments are not shown.

  1. 26Division 26
  2. 27Division 27
  3. 28The institution shall then calculate the modified duration of each debt instrument on the basis of the following formula: modified duration = ((duration (D))/(1 + r)), where:
  4. 29Division 29
  5. 30Division 30
  6. 31The institution shall calculate its duration-weighted long and its duration-weighted short positions within each zone. The amount of the former which are matched by the latter within each zone shall be the matched duration-weighted position for that zone.
  7. 32Division 32

Annotations

Textual amendments

F1

Repealed by Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (Text with EEA relevance).