Regulatory Alerts2020-02-17
Regulation on the application of the Guidelines on corrections to modified duration for debt instruments under Article 340(3) of Regulation (EU) No 575/2013
The Bank of Slovenia issued this regulation to formally adopt the European Banking Authority's Guidelines on corrections to modified duration for debt instruments within Slovenia. It mandates that banks calculating own funds requirements for general interest rate risk under the standardized approach must fully apply these guidelines to instruments subject to prepayment risk. The regulation also requires the Bank of Slovenia to consider the guidelines when exercising its supervisory powers over these institutions, with the rules becoming applicable on 1 March 2017.
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