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Commission Implementing Regulation (EU) 2016/165 of 5 February 2016 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 1 January until 30 March 2016 in accordance with Directive 2009/138/EC of the European Parliament and of the Council (Solvency II) (Text with EEA relevance)

Type Implementing Regulation
Publication 2016-02-09
State In force
Text As published
Department European Commission
Source EUR-Lex
articles 2

This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.

Reform history JSON API
Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 42 57 64 88 212 318 3 052
2 42 57 64 88 212 352 2 283
3 41 57 66 92 205 363 1 731
4 40 57 68 95 202 362 1 342
5 40 58 70 96 201 352 1 068
6 40 60 72 98 199 338 868
7 41 61 72 99 198 323 719
8 39 61 72 100 197 306 606
9 39 61 73 102 196 289 517
10 38 60 74 104 195 289 445
11 38 60 73 104 194 288 387
12 37 59 72 103 193 287 340
13 36 58 72 102 193 286 299
14 35 58 71 101 192 285 285
15 35 57 70 101 191 285 285
16 34 56 69 100 190 284 284
17 33 55 69 99 190 283 283
18 32 55 68 99 189 282 282
19 32 54 68 98 189 282 282
20 32 54 67 98 188 282 282
21 32 54 67 98 188 282 282
22 31 54 67 97 188 281 281
23 31 53 68 97 188 281 281
24 30 53 71 96 187 280 280
25 30 52 73 96 186 280 280
26 29 51 77 95 186 279 279
27 29 51 79 95 185 279 279
28 28 50 82 94 185 278 278
29 27 50 85 94 184 277 277
30 27 49 88 94 184 277 277

3.14   Baht

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 8 23 30 54 178 314 3 013
2 12 28 34 58 182 349 2 257
3 15 31 40 67 179 360 1 713
4 18 35 46 73 180 359 1 331
5 20 39 51 76 181 350 1 059
6 19 39 51 77 179 336 861
7 25 46 57 84 183 320 713
8 24 45 57 85 182 304 601
9 25 47 60 89 183 287 512
10 27 50 63 93 184 278 441
11 29 51 64 95 186 279 384
12 30 52 65 96 186 280 337
13 30 52 66 96 187 280 298
14 31 53 66 97 187 281 281
15 31 53 66 97 187 281 281
16 30 52 66 96 187 280 280
17 30 52 66 96 187 280 280
18 29 51 65 95 186 279 279
19 29 51 64 95 185 279 279
20 29 51 64 95 185 279 279
21 29 51 64 95 185 279 279
22 28 51 65 95 185 278 278
23 28 50 68 94 185 278 278
24 28 50 71 94 184 278 278
25 27 50 73 93 184 277 277
26 27 49 77 93 183 277 277
27 26 49 79 92 183 276 276
28 26 48 82 92 182 276 276
29 25 48 85 91 182 275 275
30 25 47 88 94 181 275 275

3.15   Canadian dollar

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 7 22 29 53 177 311 2 983
2 8 24 30 54 178 345 2 232
3 9 25 34 60 173 356 1 693
4 9 27 38 65 171 355 1 314
5 11 29 41 67 172 345 1 045
6 12 32 44 70 172 332 850
7 14 35 46 72 172 317 705
8 14 35 47 75 172 300 594
9 15 36 49 78 172 284 507
10 15 37 51 81 172 267 437
11 16 38 51 82 172 266 381
12 16 38 52 82 173 266 334
13 16 38 52 82 173 266 295
14 16 39 52 82 173 266 266
15 16 39 52 83 173 266 266
16 16 38 52 82 173 266 266
17 16 38 52 82 173 266 266
18 16 38 53 82 173 266 266
19 16 38 56 82 173 266 266
20 16 39 59 82 173 266 266
21 16 39 61 83 173 266 266
22 16 39 64 82 173 266 266
23 16 38 67 82 173 266 266
24 16 38 69 82 173 266 266
25 15 38 73 82 172 266 266
26 15 37 75 83 172 265 265
27 15 37 78 85 172 265 265
28 15 37 81 88 171 265 265
29 14 37 84 90 171 264 264
30 14 36 87 92 171 264 264

3.16   Chilean peso

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 43 59 65 89 213 326 3 140
2 46 62 68 92 216 362 2 356
3 49 65 74 100 213 375 1 788
4 50 67 78 105 212 373 1 388
5 51 69 82 107 212 363 1 103
6 53 73 85 111 212 349 896
7 54 75 86 113 212 333 743
8 54 75 87 115 212 315 625
9 54 76 88 118 211 305 533
10 54 76 90 120 211 304 459
11 54 76 90 120 211 304 399
12 53 76 89 120 210 303 350
13 53 75 88 119 209 303 308
14 52 74 87 118 208 302 302
15 51 73 86 117 207 301 301
16 50 72 85 116 206 300 300
17 49 71 85 115 206 299 299
18 48 70 84 114 205 298 298
19 47 70 83 114 204 297 297
20 47 69 82 113 203 297 297
21 46 68 82 112 203 296 296
22 45 67 81 111 202 295 295
23 44 67 80 110 201 294 294
24 43 66 79 110 200 293 293
25 42 65 78 109 199 292 292
26 42 64 78 108 198 292 292
27 41 63 81 107 197 291 291
28 40 62 84 106 197 290 290
29 39 61 87 105 196 289 289
30 38 60 90 104 195 288 288

3.17   Colombian peso

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 75 90 97 121 244 340 3 173
2 79 94 101 125 249 366 2 379
3 78 95 103 130 243 378 1 805
4 77 95 106 133 239 376 1 401
5 80 98 111 136 241 366 1 113
6 82 102 114 140 242 352 905
7 84 105 116 142 242 336 750
8 85 106 118 146 243 336 632
9 86 108 120 150 243 337 539
10 86 109 122 152 243 337 466
11 86 108 122 152 243 336 405
12 85 107 121 151 242 335 355
13 84 106 119 150 240 334 334
14 82 105 118 148 239 332 332
15 81 103 116 147 237 331 331
16 79 102 115 145 236 329 329
17 78 100 113 144 235 328 328
18 76 99 112 143 233 326 326
19 75 97 111 141 232 325 325
20 74 96 109 140 230 324 324
21 72 95 108 139 229 322 322
22 71 93 107 137 228 321 321
23 69 92 105 136 226 319 319
24 68 90 103 134 225 318 318
25 66 89 102 132 223 316 316
26 65 87 100 131 221 315 315
27 63 85 99 129 220 313 313
28 62 84 97 128 218 312 312
29 60 82 96 126 217 310 310
30 59 81 94 125 215 309 309

3.18   Hong Kong dollar

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 0 15 22 46 169 310 2 974
2 3 18 25 49 173 345 2 233
3 5 21 30 57 169 357 1 696
4 7 24 35 62 169 356 1 318
5 9 28 40 66 170 347 1 048
6 12 31 43 70 171 333 852
7 14 34 46 72 172 317 706
8 14 35 47 75 172 301 595
9 15 36 49 78 172 284 507
10 15 37 51 80 172 267 437
11 15 38 51 81 172 265 380
12 15 37 51 81 172 265 333
13 15 37 50 81 171 265 294
14 14 36 49 80 171 264 264
15 13 35 49 79 170 263 263
16 12 34 48 78 169 262 262
17 12 34 50 78 168 262 262
18 11 33 53 77 168 261 261
19 11 33 56 77 168 261 261
20 11 33 59 77 168 261 261
21 11 33 61 77 168 261 261
22 11 34 64 77 168 261 261
23 11 33 67 77 168 261 261
24 11 33 69 79 168 261 261
25 11 33 73 81 168 261 261
26 11 33 75 83 168 261 261
27 12 33 78 85 167 261 261
28 12 33 81 88 167 261 261
29 13 33 84 90 167 261 261
30 13 33 87 92 167 260 260

3.19   Indian rupee

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 85 100 107 131 254 350 3 310
2 85 100 107 131 255 380 2 484
3 84 100 109 136 248 393 1 885
4 84 101 112 139 246 391 1 463
5 84 103 115 140 245 381 1 162
6 85 105 117 143 244 366 944
7 86 107 118 144 244 349 782
8 86 107 119 147 244 337 657
9 85 107 120 149 243 336 560
10 84 106 120 149 241 334 482
11 83 105 118 148 239 333 419
12 81 103 116 147 237 331 367
13 79 101 114 145 235 329 329
14 77 99 112 143 233 327 327
15 75 97 110 141 232 325 325
16 73 95 108 139 229 323 323
17 71 93 107 137 228 321 321
18 69 92 105 136 226 319 319
19 68 90 104 134 225 318 318
20 67 89 103 133 224 317 317
21 66 88 102 132 223 316 316
22 65 87 101 131 222 315 315
23 64 86 100 130 221 314 314
24 63 85 98 129 220 313 313
25 62 84 97 128 218 312 312
26 61 83 96 127 217 311 311
27 60 82 95 126 216 310 310
28 59 81 94 125 215 309 309
29 58 80 93 124 214 308 308
30 57 79 93 123 213 307 307

3.20   Mexican peso

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 360 375 382 406 529 625 3 117
2 69 85 91 115 239 361 2 346
3 72 88 97 123 236 376 1 792
4 75 92 103 130 236 376 1 396
5 77 95 107 133 238 367 1 113
6 79 99 111 137 239 354 907
7 81 102 113 139 239 338 752
8 82 103 115 143 240 333 634
9 83 105 117 146 240 333 540
10 83 105 119 148 240 333 466
11 83 105 119 149 240 333 406
12 83 105 119 149 240 333 356
13 84 106 119 150 240 334 334
14 84 106 120 150 241 334 334
15 85 107 121 151 242 335 335
16 86 108 122 152 243 336 336
17 87 109 123 153 244 337 337
18 88 110 124 154 245 338 338
19 89 111 125 155 246 339 339
20 90 112 125 156 247 340 340
21 90 112 126 156 247 340 340
22 90 112 126 156 247 340 340
23 90 112 125 156 246 340 340
24 89 111 124 155 246 339 339
25 88 110 124 154 245 338 338
26 87 109 123 153 244 337 337
27 86 108 121 152 242 336 336
28 84 107 120 151 241 335 335
29 83 106 119 149 240 333 333
30 82 104 118 148 239 332 332

3.21   New Taiwan dollar

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 0 3 10 34 157 309 2 965
2 0 3 10 34 157 343 2 219
3 1 3 12 38 151 354 1 683
4 1 3 14 42 148 353 1 306
5 2 5 17 42 147 343 1 038
6 3 7 19 45 146 330 844
7 3 9 22 46 146 314 699
8 3 9 25 48 145 298 589
9 4 9 28 50 144 281 502
10 4 9 30 52 144 264 433
11 5 11 33 53 144 249 377
12 5 11 36 53 143 237 330
13 5 13 39 53 144 237 291
14 7 14 42 53 144 237 259
15 7 14 44 56 144 237 237
16 7 16 47 58 144 237 237
17 8 17 50 60 144 237 237
18 8 17 53 63 144 238 238
19 8 19 56 65 145 238 238
20 9 20 59 68 146 239 239
21 9 20 61 70 147 240 240
22 10 22 64 73 148 241 241
23 10 23 67 75 148 241 241
24 11 23 69 77 149 242 242
25 11 25 72 80 149 243 243
26 11 25 75 82 150 243 243
27 12 26 78 85 150 243 243
28 12 28 80 88 150 244 244
29 13 28 84 89 151 244 244
30 13 30 86 92 152 244 244

3.22   New Zealand dollar

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 48 64 70 94 218 320 3 071
2 49 64 71 95 219 355 2 301
3 48 65 73 100 213 367 1 746
4 48 65 76 103 210 365 1 355
5 47 66 78 104 208 356 1 078
6 48 68 80 106 208 342 877
7 49 69 80 107 206 326 727
8 48 69 81 109 206 309 612
9 48 69 82 111 205 298 522
10 46 69 82 112 203 297 450
11 45 67 81 111 202 295 391
12 43 66 79 109 200 293 343
13 42 64 77 108 198 292 302
14 40 62 76 106 197 290 290
15 38 61 74 105 195 288 288
16 37 59 72 103 193 287 287
17 35 57 71 101 192 285 285
18 34 56 70 100 191 284 284
19 33 55 69 99 190 283 283
20 32 55 68 98 189 282 282
21 32 54 67 98 188 282 282
22 31 53 67 97 188 281 281
23 30 53 68 97 187 280 280
24 30 52 72 96 186 280 280
25 29 51 74 95 186 279 279
26 28 51 77 94 185 278 278
27 28 50 80 94 184 278 278
28 27 49 83 93 184 277 277
29 26 49 86 93 183 276 276
30 26 48 89 94 182 276 276

3.23   Rand

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 107 123 129 153 277 373 3 319
2 109 124 131 154 278 384 2 508
3 109 125 134 161 274 398 1 911
4 110 127 138 165 272 398 1 486
5 111 129 142 167 272 388 1 182
6 112 132 144 170 271 373 961
7 113 134 145 171 271 364 797
8 112 133 145 173 270 363 671
9 111 133 146 175 269 362 572
10 111 133 146 176 268 361 493
11 109 132 145 175 266 359 428
12 107 130 143 173 264 357 375
13 105 127 141 171 262 355 355
14 103 125 138 169 259 353 353
15 100 123 136 166 257 350 350
16 97 120 133 164 254 347 347
17 95 117 131 161 252 345 345
18 93 115 128 159 249 343 343
19 91 113 126 157 247 341 341
20 89 111 125 155 246 339 339
21 87 110 123 153 244 337 337
22 85 108 121 152 242 335 335
23 84 106 119 150 240 334 334
24 82 104 118 148 239 332 332
25 80 102 116 146 237 330 330
26 78 101 114 145 235 328 328
27 77 99 112 143 234 327 327
28 75 98 111 141 232 325 325
29 74 96 109 140 230 324 324
30 72 95 108 138 229 322 322

3.24   Real

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 167 182 189 213 336 432 3 749
2 177 192 199 223 346 442 2 839
3 180 196 205 232 344 445 2 159
4 181 198 209 236 343 444 1 677
5 181 200 212 237 342 435 1 336
6 181 201 213 239 341 434 1 083
7 181 202 213 239 339 432 895
8 180 201 213 240 337 431 752
9 178 200 213 242 336 429 640
10 177 200 213 243 334 428 551
11 175 198 211 241 332 426 478
12 173 195 209 239 330 423 423
13 170 192 206 236 327 420 420
14 167 189 202 233 323 417 417
15 163 186 199 230 320 413 413
16 160 182 196 226 317 410 410
17 157 179 193 223 314 407 407
18 154 176 189 220 310 404 404
19 151 173 186 217 307 401 401
20 148 170 183 214 304 398 398
21 144 167 180 211 301 394 394
22 141 164 177 207 298 391 391
23 138 160 174 204 295 388 388
24 135 157 171 201 292 385 385
25 132 154 168 198 289 382 382
26 129 151 165 195 286 379 379
27 126 148 162 192 283 376 376
28 123 145 159 189 280 373 373
29 120 143 156 186 277 370 370
30 118 140 153 184 274 368 368

3.25   Renminbi-yuan

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 20 35 42 66 189 317 3 049
2 21 36 43 67 190 352 2 282
3 20 36 45 72 185 364 1 731
4 20 37 48 75 182 362 1 342
5 20 39 51 76 181 352 1 067
6 21 41 53 79 180 338 867
7 22 43 54 80 180 322 718
8 21 42 54 82 178 305 604
9 20 42 55 84 178 288 515
10 20 42 55 85 177 271 444
11 19 42 55 85 176 269 386
12 19 41 54 85 176 269 338
13 18 41 54 84 175 268 298
14 18 40 53 84 175 268 268
15 17 40 53 84 174 267 267
16 17 40 53 83 174 267 267
17 17 40 53 83 174 267 267
18 17 40 54 83 174 267 267
19 17 40 57 84 174 267 267
20 18 40 60 84 174 268 268
21 18 40 63 84 174 268 268
22 18 40 65 84 174 268 268
23 18 40 68 84 174 268 268
24 17 40 71 84 174 267 267
25 17 40 73 83 174 267 267
26 17 39 77 84 174 267 267
27 17 39 79 87 174 267 267
28 17 39 82 88 173 267 267
29 16 39 85 91 173 266 266
30 16 38 87 94 173 266 266

3.26   Ringgit

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 15 30 37 61 184 325 3 127
2 17 32 39 63 186 361 2 343
3 18 34 43 69 182 372 1 776
4 19 36 47 75 181 370 1 378
5 21 40 52 77 182 360 1 094
6 23 43 55 81 183 346 889
7 26 46 57 84 183 330 737
8 26 47 59 86 183 313 620
9 26 48 61 90 184 295 529
10 27 49 63 92 184 278 456
11 28 50 63 94 185 278 396
12 28 50 64 94 185 278 347
13 28 50 64 94 185 278 306
14 28 50 64 94 185 278 278
15 28 50 63 94 184 278 278
16 27 49 63 93 184 277 277
17 27 49 63 93 184 277 277
18 27 49 63 93 184 277 277
19 27 49 63 93 184 277 277
20 27 50 63 94 184 278 278
21 28 50 64 94 184 278 278
22 28 50 67 94 184 278 278
23 28 50 70 94 184 278 278
24 27 50 72 93 184 277 277
25 27 49 75 93 184 277 277
26 27 49 78 93 183 277 277
27 26 48 81 92 183 276 276
28 26 48 84 92 182 276 276
29 25 48 87 93 182 275 275
30 25 47 90 96 182 275 275

3.27   Russian rouble

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 115 130 137 161 284 380 3 521
2 114 129 136 160 284 399 2 625
3 113 129 138 164 277 415 2 003
4 112 129 140 167 274 411 1 547
5 112 131 143 169 273 397 1 217
6 113 132 144 170 272 383 993
7 113 134 145 172 271 364 816
8 113 134 146 174 270 364 686
9 112 134 146 175 269 363 584
10 112 134 148 177 269 362 501
11 112 134 147 177 268 362 434
12 110 133 146 177 267 361 379
13 109 132 145 176 266 359 359
14 108 131 144 174 265 358 358
15 106 128 142 172 263 356 356
16 104 126 140 170 261 354 354
17 101 123 137 167 258 351 351
18 99 121 135 165 256 349 349
19 97 119 132 163 253 347 347
20 95 117 130 161 251 345 345
21 92 115 128 158 249 342 342
22 90 112 126 156 247 340 340
23 88 110 124 154 245 338 338
24 86 108 121 152 242 336 336
25 84 106 119 150 240 334 334
26 81 104 117 148 238 332 332
27 79 102 115 146 236 329 329
28 77 100 113 144 234 327 327
29 75 98 111 142 232 326 326
30 74 96 109 140 230 324 324

3.28   Singapore dollar

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 0 1 8 32 155 315 3 027
2 0 3 10 34 158 351 2 270
3 1 5 14 40 153 363 1 725
4 1 7 18 45 152 361 1 339
5 2 10 23 48 153 352 1 065
6 3 14 26 52 154 338 866
7 3 17 28 54 154 322 718
8 4 18 29 57 154 306 605
9 4 19 31 60 154 288 516
10 4 19 33 62 154 272 444
11 5 19 34 63 154 255 387
12 5 19 36 63 154 247 339
13 6 19 40 63 153 247 299
14 7 19 43 63 153 247 265
15 7 19 46 63 153 246 246
16 7 18 48 62 153 246 246
17 8 18 51 62 153 246 246
18 8 18 54 65 153 246 246
19 8 19 57 67 153 246 246
20 9 20 60 70 154 247 247
21 9 20 63 72 154 248 248
22 10 22 65 74 155 248 248
23 10 23 68 77 155 249 249
24 11 23 71 79 156 249 249
25 11 25 73 82 156 249 249
26 12 26 77 84 156 249 249
27 12 27 79 87 156 250 250
28 12 28 82 88 156 250 250
29 13 28 85 91 157 250 250
30 13 30 87 94 157 250 250

3.29   South Korean won

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 29 44 51 75 199 314 3 016
2 30 45 52 76 199 348 2 256
3 28 44 53 80 193 359 1 710
4 27 44 55 82 189 357 1 326
5 27 45 58 83 188 348 1 053
6 30 50 62 88 190 334 856
7 28 49 60 86 186 318 709
8 32 54 65 93 190 301 596
9 32 54 66 95 189 284 508
10 26 48 62 91 183 276 438
11 21 43 57 87 178 271 381
12 17 40 53 84 174 267 334
13 15 37 50 81 171 265 294
14 13 35 48 79 169 263 263
15 11 33 47 77 168 261 261
16 9 32 47 76 166 259 259
17 9 31 50 75 165 259 259
18 8 30 53 74 165 258 258
19 8 30 56 74 164 257 257
20 9 30 58 74 164 258 258
21 9 30 61 74 164 258 258
22 10 30 64 74 164 258 258
23 10 30 67 75 164 258 258
24 10 30 69 77 164 258 258
25 11 30 72 80 164 258 258
26 11 30 75 82 164 257 257
27 12 30 78 85 164 257 257
28 12 30 81 88 164 257 257
29 13 29 83 89 164 257 257
30 13 30 87 92 164 257 257

3.30   Turkish lira

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 180 195 202 226 350 445 3 555
2 178 193 200 224 347 443 2 666
3 173 189 198 224 337 433 2 021
4 169 186 197 224 331 425 1 564
5 165 184 196 222 326 420 1 241
6 163 182 194 220 322 415 1 006
7 160 181 192 218 318 411 831
8 156 177 189 217 314 407 698
9 152 174 187 216 310 403 594
10 149 171 184 214 306 399 511
11 145 167 181 211 302 395 443
12 141 163 177 207 298 391 391
13 137 159 173 203 294 387 387
14 133 156 169 200 290 383 383
15 130 152 166 196 287 380 380
16 127 149 162 193 283 377 377
17 124 146 159 190 280 374 374
18 121 143 156 187 277 371 371
19 118 140 154 184 275 368 368
20 115 138 151 181 272 365 365
21 113 135 148 179 269 363 363
22 110 133 146 176 267 360 360
23 108 130 143 174 264 358 358
24 105 128 141 171 262 355 355
25 103 125 139 169 260 353 353
26 101 123 136 167 257 351 351
27 98 121 134 165 255 348 348
28 96 119 132 162 253 346 346
29 94 117 130 160 251 344 344
30 92 115 128 158 249 342 342

3.31   US dollar

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 0 15 27 55 175 312 2 990
2 0 15 27 55 175 347 2 245
3 1 17 29 58 171 359 1 706
4 1 19 32 63 170 358 1 325
5 2 22 37 69 171 348 1 054
6 3 26 40 70 172 335 857
7 5 30 42 72 173 319 710
8 7 33 45 74 173 302 598
9 8 35 49 75 173 286 510
10 9 37 50 75 174 269 440
11 10 39 52 76 174 267 383
12 11 40 53 78 174 267 335
13 12 41 54 78 174 267 296
14 12 42 54 78 174 267 267
15 12 42 54 78 174 267 267
16 12 42 54 78 174 267 267
17 12 42 54 78 174 267 267
18 12 42 54 78 174 267 267
19 12 42 56 78 174 267 267
20 12 42 59 78 175 268 268
21 12 42 61 78 175 268 268
22 12 42 64 78 175 269 269
23 12 42 67 78 175 269 269
24 12 42 70 79 175 269 269
25 12 42 73 81 176 269 269
26 12 42 75 83 176 269 269
27 12 42 78 85 176 269 269
28 12 42 81 88 175 269 269
29 13 42 84 91 175 269 269
30 13 42 87 92 175 269 269

3.32   Yen

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 0 0 4 13 134 308 2 953
2 0 1 6 17 132 342 2 208
3 1 2 10 20 125 352 1 673
4 1 3 13 23 122 350 1 297
5 2 4 16 27 121 341 1 030
6 3 5 19 30 121 327 837
7 3 6 22 33 120 311 693
8 3 7 25 36 121 295 583
9 4 8 27 39 121 278 498
10 4 9 30 42 121 262 429
11 5 11 33 44 121 246 373
12 5 11 36 47 122 231 327
13 5 13 39 50 122 217 288
14 6 13 41 52 122 216 256
15 7 14 44 55 123 216 228
16 7 16 47 57 126 216 216
17 8 16 50 60 128 217 217
18 8 17 53 62 130 217 217
19 8 19 54 65 133 218 218
20 9 19 57 67 135 219 219
21 9 20 60 69 137 219 219
22 10 21 63 72 138 220 220
23 10 22 65 75 140 220 220
24 10 23 69 77 142 221 221
25 11 24 71 79 143 221 221
26 11 25 74 81 144 221 221
27 12 26 76 83 146 221 221
28 12 27 80 86 147 222 222
29 13 28 82 88 148 222 222
30 13 28 84 90 150 222 222

ANNEX III

Volatility adjustment to the relevant risk-free interest rate term structure

Currency National insurance market Volatility adjustment (in bps)
Euro Austria 22
Euro Belgium 22
Euro Cyprus 22
Euro Estonia 22
Euro Finland 22
Euro France 22
Euro Germany 22
Euro Greece 55
Euro Ireland 22
Euro Italy 22
Euro Latvia 22
Euro Lithuania 22
Euro Luxembourg 22
Euro Malta 22
Euro Netherlands 22
Euro Portugal 22
Euro Slovakia 22
Euro Slovenia 22
Euro Spain 22
Czech koruna Czech Republic 6
Danish krone Denmark 60
Forint Hungary 19
Krona Sweden 6
Kuna Croatia 12
Lev Bulgaria 29
Pound sterling United Kingdom 31
Romanian leu Romania 1
Zloty Poland 8
Króna Iceland 12
Norwegian krone Norway 18
Swiss franc Liechtenstein 9
Swiss franc Switzerland 9
Australian dollar Australia 11
Canadian dollar Canada 6
US dollar United States 78
Yen Japan 3

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