EBA is consulting on draft guidelines for institutions applying the duration-based calculation under the Capital Requirements Regulation (CRR). The guidelines set out the necessary adjustments to the modified duration to appropriately reflect the effect of prepayment risk. EBA proposes two approaches: the first treats the instrument with embedded optionality as if it were a combination of a plain vanilla bond and an option and the second proposes to calculate directly the change in value of the whole instrument subject to prepayment risk. Consultation closes on 22 June. (Source: EBA consults on modified duration for debt instruments)