06-05-2014 Annual statements 2013 : modified durations

On form J502 of the annual statements 2013, different modified durations of the investments have to be reported. These are the modified durations of the fixed income securities excluding derivatives, the fixed income securities including derivatives and the total investments. There is some confusion about how to calculate these durations. The different durations have to be reported in the following way:

- Modified duration fixed income securities excluding derivatives (question 9.2): This needs to be equal to the modified duration of the fixed income securities excluding derivatives on K203.
- Modified duration fixed income securities including derivatives (question 9.3): This is equal to the change in the value of the fixed income securities and derivatives as a percentage of the market value of the fixed income securities and derivatives.
- Modified duration total investments (question 9.5): This needs to be equal to the modified duration of total investments including derivatives on K203.

More information on the exact calculation of these durations can be found in the explanatory notes.