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OFPH000465 – Holding Modified Duration
Modified duration in years: - only applies to CIC categories 1, 2, 4 (when applicable, e.g. for investment funds mainly invested in bonds), 5 and 6 (i.e. OFPH000210 Holding Instrument Type in one of these groups). - For assets without fixed maturity the first call date shall be used. - For derivatives with a duration measure defined as the ’residual modified duration’ for which a duration measure is applicable - this has been explained by EIOPA as the duration based on the remaining lifetime of the derivative. - Calculated as net duration between in and out flows from the derivative, when applicable - The duration to be calculated based on economic value.
// The correspondent field introduced by FinDatEx with their Solvency II Tripartite Template (TPT) is: TPT: 90_Modified_duration_to_maturity_date. //
| Property | Value |
|---|---|
| OF-ID | OFPH000465 |
| Name | Holding Modified Duration |
| Area | Portfolio holdings |
| Level | Holding |
| Format | Decimal number |
| Tags | Portfolio Holdings |
| Introduced in | openfunds 1.28 |
| FinDatEx TPT field | 90_Modified_duration_to_maturity_date |
Values
Percentage described as a decimal figure
Example
0.01
FundsXML 4 mapping
The holding value becomes TPT field 90 and is written like a TPT position: Fund/…/Portfolio/Positions/Position and AssetMasterData/Asset (see the TPT field pages).
The field mapping table lists every field; openfunds to FundsXML explains the rules behind it.
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