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Commission Implementing Regulation (EU) 2016/869 of 27 May 2016 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 March until 29 June 2016 in accordance with Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Text with EEA relevance)

Type Implementing Regulation
Publication 2016-06-03
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 3 090
2 42 57 64 88 212 354 2 321
3 41 57 66 92 205 366 1 762
4 40 57 68 95 202 364 1 368
5 40 58 70 96 201 355 1 086
6 40 60 72 98 200 341 882
7 41 61 72 99 198 325 730
8 40 61 73 100 197 308 613
9 39 61 73 102 196 290 522
10 38 61 74 104 195 289 449
11 38 60 73 104 194 288 390
12 37 59 72 103 194 287 342
13 36 58 72 102 193 286 301
14 35 58 71 102 192 285 285
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 33 55 68 99 189 282 282
19 32 54 68 98 189 282 282
20 32 54 67 98 189 282 282
21 32 54 67 98 188 282 282
22 31 54 67 98 188 281 281
23 31 53 67 97 188 281 281
24 30 53 70 97 187 280 280
25 30 52 73 96 187 280 280
26 29 52 75 95 186 279 279
27 29 51 78 95 185 279 279
28 28 50 81 94 185 278 278
29 28 50 84 94 184 277 277
30 27 49 87 93 184 277 277

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 54 178 315 3 052
2 13 28 34 58 182 350 2 294
3 15 31 40 67 180 363 1 744
4 18 35 46 73 180 361 1 354
5 20 39 51 77 181 352 1 076
6 20 39 51 77 179 338 874
7 26 46 57 84 183 322 723
8 24 45 57 85 182 305 608
9 25 47 60 89 183 288 518
10 28 50 63 93 184 278 445
11 29 51 65 95 186 279 387
12 30 52 65 96 187 280 339
13 30 53 66 96 187 280 299
14 31 53 66 97 187 281 281
15 31 53 66 97 188 281 281
16 30 52 66 96 187 280 280
17 30 52 66 96 187 280 280
18 29 52 65 95 186 279 279
19 29 51 64 95 186 279 279
20 29 51 64 95 186 279 279
21 29 51 64 95 186 279 279
22 29 51 64 95 185 279 279
23 28 50 67 94 185 278 278
24 28 50 69 94 185 278 278
25 27 50 73 94 184 277 277
26 27 49 75 93 184 277 277
27 26 49 78 93 183 276 276
28 26 48 81 92 183 276 276
29 25 48 84 92 182 275 275
30 25 47 87 92 182 275 275

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 53 177 312 3 027
2 9 24 30 54 178 348 2 274
3 9 25 34 61 174 360 1 727
4 10 27 38 65 172 358 1 340
5 11 29 41 67 172 349 1 064
6 13 32 44 70 172 335 865
7 14 35 46 72 172 319 716
8 14 35 47 75 172 303 602
9 15 37 49 78 172 286 513
10 15 38 51 81 172 269 442
11 16 38 51 82 173 266 384
12 16 38 52 82 173 266 336
13 16 39 52 82 173 266 296
14 16 39 52 83 173 266 266
15 17 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 58 83 173 266 266
21 17 39 61 83 173 266 266
22 16 39 64 83 173 266 266
23 16 38 66 82 173 266 266
24 16 38 69 82 173 266 266
25 16 38 71 82 172 266 266
26 15 38 74 82 172 265 265
27 15 37 77 84 172 265 265
28 15 37 80 86 171 265 265
29 14 37 83 89 171 264 264
30 14 36 86 91 171 264 264

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 44 59 66 90 213 325 3 164
2 47 62 69 93 216 363 2 381
3 49 65 74 100 213 375 1 811
4 50 67 78 105 212 374 1 407
5 51 70 82 107 212 365 1 118
6 53 73 85 111 213 351 908
7 55 75 86 113 212 334 752
8 54 75 87 115 212 317 632
9 54 76 88 118 212 305 538
10 55 77 90 120 211 305 463
11 54 77 90 120 211 304 402
12 54 76 89 120 210 304 352
13 53 75 88 119 210 303 310
14 52 74 87 118 209 302 302
15 51 73 86 117 208 301 301
16 50 72 86 116 207 300 300
17 49 71 85 115 206 299 299
18 48 71 84 115 205 298 298
19 48 70 83 114 204 298 298
20 47 69 83 113 204 297 297
21 46 68 82 112 203 296 296
22 45 68 81 112 202 295 295
23 45 67 80 111 201 294 294
24 44 66 79 110 200 294 294
25 43 65 78 109 199 293 293
26 42 64 77 108 199 292 292
27 41 63 80 107 198 291 291
28 40 62 83 106 197 290 290
29 39 61 86 105 196 289 289
30 38 61 89 104 195 288 288

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 3 202
2 79 94 101 125 249 367 2 411
3 79 95 104 130 243 380 1 834
4 78 95 106 133 240 379 1 425
5 80 99 111 136 241 369 1 132
6 82 102 114 140 242 355 919
7 84 105 116 142 242 339 761
8 85 106 118 146 243 336 640
9 86 108 120 150 244 337 546
10 87 109 122 152 244 337 471
11 86 108 122 152 243 336 409
12 85 108 121 151 242 335 358
13 84 106 120 150 241 334 334
14 83 105 118 149 239 332 332
15 81 103 117 147 238 331 331
16 80 102 115 146 236 329 329
17 78 100 114 144 235 328 328
18 77 99 112 143 233 327 327
19 75 98 111 141 232 325 325
20 74 96 110 140 231 324 324
21 73 95 108 139 229 323 323
22 71 93 107 137 228 321 321
23 70 92 105 136 226 320 320
24 68 90 104 134 225 318 318
25 67 89 102 133 223 316 316
26 65 87 101 131 222 315 315
27 63 86 99 130 220 313 313
28 62 84 97 128 219 312 312
29 60 83 96 127 217 310 310
30 59 81 95 125 216 309 309

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 46 170 311 3 013
2 3 18 25 49 173 347 2 269
3 5 21 30 57 170 360 1 726
4 7 24 35 63 169 358 1 340
5 10 28 40 66 171 349 1 066
6 12 31 43 70 171 336 865
7 14 35 46 72 172 320 716
8 14 35 47 75 172 303 602
9 15 37 49 78 172 286 512
10 15 37 51 81 172 269 441
11 16 38 51 81 172 265 383
12 15 37 51 81 172 265 335
13 15 37 50 81 171 265 295
14 14 36 50 80 171 264 264
15 13 35 49 79 170 263 263
16 12 34 48 78 169 262 262
17 12 34 50 78 169 262 262
18 11 34 53 77 168 261 261
19 11 33 55 77 168 261 261
20 11 33 58 77 168 261 261
21 11 34 61 78 168 261 261
22 11 34 64 78 168 261 261
23 11 34 66 78 168 261 261
24 11 34 69 77 168 261 261
25 11 33 72 79 168 261 261
26 11 33 75 82 168 261 261
27 12 33 78 84 168 261 261
28 12 33 80 86 168 261 261
29 13 33 83 89 167 261 261
30 13 33 86 91 167 260 260

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 85 100 107 131 255 350 3 339
2 86 101 107 131 255 381 2 518
3 85 101 110 136 249 395 1 916
4 84 101 112 140 246 394 1 488
5 85 103 115 141 246 384 1 182
6 86 105 117 143 245 369 960
7 87 107 118 145 244 352 794
8 86 108 119 147 244 337 667
9 86 108 120 149 243 336 567
10 85 107 120 150 242 335 488
11 83 105 119 149 240 333 423
12 81 103 117 147 238 331 370
13 79 101 115 145 236 329 329
14 77 99 113 143 234 327 327
15 75 98 111 142 232 325 325
16 73 95 109 139 230 323 323
17 72 94 107 138 228 321 321
18 70 92 106 136 227 320 320
19 69 91 104 135 225 318 318
20 68 90 103 134 224 317 317
21 67 89 102 133 223 317 317
22 66 88 101 132 222 315 315
23 64 87 100 131 221 314 314
24 63 86 99 129 220 313 313
25 62 84 98 128 219 312 312
26 61 83 97 127 218 311 311
27 60 82 96 126 217 310 310
28 59 81 95 125 216 309 309
29 58 80 94 124 215 308 308
30 57 79 93 123 214 307 307

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
1 357 372 379 403 527 622 3 177
2 70 85 91 115 239 365 2 398
3 72 88 97 123 236 380 1 833
4 75 92 103 130 237 380 1 426
5 77 95 108 133 238 371 1 135
6 79 99 111 137 239 357 924
7 82 102 113 140 239 341 765
8 82 104 115 143 240 333 643
9 83 105 117 147 240 334 548
10 83 105 119 148 240 333 472
11 83 106 119 149 240 333 410
12 83 106 119 150 240 333 359
13 84 106 119 150 241 334 334
14 84 107 120 151 241 334 334
15 85 107 121 151 242 335 335
16 86 108 122 152 243 336 336
17 87 110 123 153 244 337 337
18 88 111 124 155 245 338 338
19 89 112 125 156 246 339 339
20 90 112 126 156 247 340 340
21 90 113 126 157 247 340 340
22 90 112 126 156 247 340 340
23 90 112 125 156 247 340 340
24 89 111 125 155 246 339 339
25 88 110 124 154 245 338 338
26 87 109 123 153 244 337 337
27 86 108 122 152 243 336 336
28 85 107 120 151 241 335 335
29 83 106 119 150 240 333 333
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 34 158 309 2 995
2 0 3 10 34 158 345 2 252
3 1 3 12 39 152 357 1 711
4 1 4 14 42 148 355 1 328
5 2 5 17 43 148 346 1 055
6 2 7 19 45 147 332 857
7 3 9 22 47 146 317 709
8 3 9 25 48 145 300 596
9 4 9 28 51 144 283 508
10 4 9 30 52 144 266 437
11 5 11 33 53 144 250 380
12 5 11 36 53 144 237 333
13 5 13 39 53 144 237 293
14 6 13 41 53 144 237 260
15 7 14 44 55 144 237 237
16 7 16 47 57 144 237 237
17 7 16 50 60 144 238 238
18 8 17 53 62 145 238 238
19 8 19 55 65 145 239 239
20 9 19 58 67 146 240 240
21 9 20 61 70 147 240 240
22 9 21 64 72 148 241 241
23 10 22 66 74 149 242 242
24 10 23 69 77 149 242 242
25 11 24 71 79 150 243 243
26 11 25 74 82 150 243 243
27 12 26 77 84 150 244 244
28 12 27 80 86 151 244 244
29 13 28 82 88 151 244 244
30 13 29 86 91 152 245 245

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 63 70 94 218 318 3 083
2 49 64 71 95 219 354 2 317
3 49 65 73 100 213 366 1 762
4 48 65 76 103 210 365 1 368
5 48 66 78 104 209 356 1 087
6 49 68 80 106 208 342 883
7 49 69 80 107 206 326 731
8 48 69 81 109 206 309 615
9 48 69 82 111 205 298 524
10 47 69 82 112 204 297 451
11 45 67 81 111 202 295 392
12 43 66 79 110 200 293 343
13 42 64 77 108 199 292 302
14 40 62 76 106 197 290 290
15 39 61 74 105 195 288 288
16 37 59 72 103 193 287 287
17 35 58 71 102 192 285 285
18 34 56 70 100 191 284 284
19 33 55 69 99 190 283 283
20 33 55 68 99 189 282 282
21 32 54 68 98 189 282 282
22 31 54 67 97 188 281 281
23 31 53 68 97 187 281 281
24 30 52 70 96 187 280 280
25 29 51 73 95 186 279 279
26 29 51 76 95 185 278 278
27 28 50 79 94 185 278 278
28 27 49 81 93 184 277 277
29 27 49 85 93 183 276 276
30 26 48 87 93 183 276 276

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
1 108 123 130 154 277 373 3 363
2 109 124 131 155 278 385 2 542
3 110 126 135 161 274 399 1 937
4 110 127 138 165 272 398 1 505
5 111 130 142 167 272 389 1 196
6 113 132 144 170 272 374 972
7 114 134 145 172 271 364 804
8 113 134 146 173 270 363 676
9 112 134 146 175 269 362 575
10 111 133 147 176 268 361 495
11 110 132 145 176 266 360 429
12 108 130 143 174 264 358 376
13 106 128 141 172 262 355 355
14 103 125 139 169 260 353 353
15 101 123 136 167 258 351 351
16 98 120 134 164 255 348 348
17 96 118 131 162 252 346 346
18 93 116 129 159 250 343 343
19 91 113 127 157 248 341 341
20 90 112 125 156 246 339 339
21 88 110 123 154 245 338 338
22 86 108 122 152 243 336 336
23 84 106 120 150 241 334 334
24 82 105 118 149 239 332 332
25 81 103 116 147 237 331 331
26 79 101 115 145 236 329 329
27 77 100 113 143 234 327 327
28 76 98 111 142 233 326 326
29 74 96 110 140 231 324 324
30 73 95 108 139 229 323 323

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
1 168 183 190 214 337 433 3 681
2 177 192 199 223 347 443 2 777
3 181 197 206 232 345 441 2 114
4 182 199 210 237 344 438 1 641
5 182 200 213 238 343 436 1 305
6 182 202 214 240 342 435 1 060
7 182 203 214 240 340 433 877
8 181 202 213 241 338 431 736
9 179 201 214 243 337 430 626
10 178 200 214 244 335 428 538
11 177 199 212 242 333 426 466
12 174 196 209 240 331 424 424
13 171 193 206 237 328 421 421
14 168 190 203 234 324 418 418
15 165 187 200 231 321 414 414
16 161 183 197 227 318 411 411
17 158 180 194 224 315 408 408
18 155 177 190 221 311 405 405
19 152 174 187 218 308 402 402
20 149 171 184 215 305 398 398
21 145 168 181 212 302 395 395
22 142 164 178 208 299 392 392
23 139 161 175 205 296 389 389
24 136 158 172 202 293 386 386
25 133 155 168 199 290 383 383
26 130 152 165 196 287 380 380
27 127 149 162 193 284 377 377
28 124 146 159 190 281 374 374
29 121 143 157 187 278 371 371
30 118 141 154 185 275 368 368

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 66 190 318 3 089
2 21 36 43 67 190 354 2 322
3 20 36 45 72 185 367 1 765
4 20 37 48 75 182 365 1 371
5 21 39 51 77 182 356 1 090
6 21 41 53 79 181 342 885
7 22 43 54 80 180 326 732
8 21 42 54 82 179 309 615
9 21 42 55 84 178 291 524
10 20 42 56 85 177 274 451
11 20 42 55 86 176 270 392
12 19 41 55 85 176 269 343
13 19 41 54 85 175 268 302
14 18 40 54 84 175 268 268
15 18 40 53 84 174 268 268
16 18 40 53 84 174 267 267
17 18 40 53 84 174 267 267
18 18 40 54 84 174 267 267
19 18 40 57 84 174 268 268
20 18 40 60 84 175 268 268
21 18 40 62 84 175 268 268
22 18 40 65 84 175 268 268
23 18 40 68 84 175 268 268
24 18 40 70 84 174 268 268
25 18 40 73 84 174 267 267
26 17 40 77 84 174 267 267
27 17 39 79 86 174 267 267
28 17 39 81 88 174 267 267
29 17 39 85 91 173 267 267
30 16 39 87 93 173 266 266

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 61 185 325 3 160
2 17 32 39 63 187 362 2 375
3 18 34 43 70 183 374 1 805
4 20 37 48 75 182 372 1 400
5 22 40 52 78 183 363 1 112
6 24 43 55 81 183 349 903
7 26 46 58 84 184 332 747
8 26 47 59 87 184 315 628
9 27 48 61 90 184 297 535
10 28 50 63 93 185 280 460
11 28 50 64 94 185 278 400
12 28 51 64 95 185 278 350
13 28 51 64 95 185 278 308
14 28 50 64 94 185 278 278
15 28 50 64 94 185 278 278
16 28 50 63 94 184 277 277
17 28 50 63 94 184 277 277
18 28 50 63 94 184 277 277
19 28 50 63 94 184 277 277
20 28 50 63 94 185 278 278
21 28 50 64 94 185 278 278
22 28 50 66 94 185 278 278
23 28 50 69 94 185 278 278
24 28 50 72 94 184 278 278
25 27 50 74 94 184 277 277
26 27 49 77 93 184 277 277
27 27 49 80 93 183 277 277
28 26 48 83 92 183 276 276
29 26 48 86 92 182 276 276
30 25 47 89 94 182 275 275

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
1 116 131 137 161 285 381 3 552
2 115 130 137 161 284 400 2 659
3 113 129 138 165 278 412 2 014
4 113 130 141 168 275 410 1 558
5 113 131 144 169 274 398 1 234
6 113 133 145 171 273 382 999
7 114 135 146 172 272 365 824
8 113 135 146 174 271 364 691
9 113 134 147 176 270 363 587
10 113 135 148 178 270 363 505
11 112 134 148 178 269 362 437
12 111 133 147 177 268 361 382
13 110 132 146 176 267 360 360
14 109 131 144 175 266 359 359
15 107 129 142 173 263 357 357
16 104 127 140 171 261 354 354
17 102 124 137 168 258 352 352
18 99 122 135 166 256 349 349
19 97 119 133 163 254 347 347
20 95 117 131 161 252 345 345
21 93 115 128 159 250 343 343
22 91 113 126 157 247 341 341
23 88 111 124 155 245 338 338
24 86 108 122 152 243 336 336
25 84 106 120 150 241 334 334
26 82 104 118 148 239 332 332
27 80 102 115 146 237 330 330
28 78 100 113 144 235 328 328
29 76 98 112 142 233 326 326
30 74 96 110 140 231 324 324

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 32 156 313 3 039
2 0 3 10 34 158 350 2 288
3 1 5 14 41 154 362 1 741
4 1 8 19 46 153 361 1 352
5 2 11 23 49 154 352 1 075
6 2 14 26 52 154 338 873
7 3 17 28 55 154 323 723
8 3 18 30 58 155 306 608
9 4 19 31 61 155 288 518
10 4 20 33 63 154 271 446
11 5 20 33 63 154 255 387
12 5 20 36 63 154 247 339
13 6 19 39 63 154 247 299
14 6 19 42 63 154 247 264
15 7 19 45 63 154 247 247
16 7 19 47 63 153 246 246
17 8 19 50 63 153 246 246
18 8 19 53 63 153 246 246
19 8 19 56 65 154 247 247
20 9 20 58 68 154 247 247
21 9 20 61 70 155 248 248
22 10 22 64 73 155 248 248
23 10 22 66 75 156 249 249
24 10 23 69 77 156 249 249
25 11 25 73 80 156 249 249
26 11 25 75 82 156 250 250
27 12 26 78 85 157 250 250
28 12 27 80 87 157 250 250
29 13 28 83 89 157 250 250
30 13 29 86 92 157 250 250

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 3 046
2 30 45 52 76 199 350 2 288
3 28 44 53 80 193 361 1 738
4 27 44 55 82 189 360 1 348
5 27 45 58 83 188 350 1 070
6 30 50 62 88 190 336 869
7 28 49 60 86 186 320 719
8 32 54 65 93 190 303 604
9 32 54 66 95 189 286 514
10 26 48 62 91 183 276 442
11 21 43 57 87 178 271 384
12 17 40 53 84 174 267 336
13 15 37 50 81 172 265 296
14 13 35 48 79 169 263 263
15 11 33 47 77 168 261 261
16 10 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 55 74 164 258 258
20 9 30 58 74 164 258 258
21 9 30 61 74 165 258 258
22 9 30 64 74 165 258 258
23 10 30 66 75 165 258 258
24 10 30 69 77 164 258 258
25 11 30 71 79 164 258 258
26 11 30 74 82 164 257 257
27 12 30 77 83 164 257 257
28 12 30 80 86 164 257 257
29 13 29 82 88 164 257 257
30 13 29 85 91 164 257 257

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
1 180 195 202 226 350 446 3 552
2 178 193 200 224 348 443 2 671
3 173 189 198 225 338 433 2 029
4 169 186 197 225 331 425 1 573
5 166 184 196 222 327 420 1 248
6 163 182 194 221 322 416 1 011
7 160 181 192 218 318 411 835
8 156 177 189 217 314 407 700
9 153 174 187 216 310 403 595
10 149 171 185 214 306 399 511
11 145 168 181 211 302 395 443
12 141 164 177 207 298 391 391
13 138 160 173 204 294 387 387
14 134 156 169 200 291 384 384
15 130 153 166 196 287 380 380
16 127 149 163 193 284 377 377
17 124 146 160 190 281 374 374
18 121 143 157 187 278 371 371
19 118 141 154 184 275 368 368
20 116 138 151 182 272 366 366
21 113 135 149 179 270 363 363
22 111 133 146 177 267 361 361
23 108 130 144 174 265 358 358
24 106 128 141 172 262 356 356
25 103 126 139 169 260 353 353
26 101 123 137 167 258 351 351
27 99 121 134 165 256 349 349
28 97 119 132 163 253 347 347
29 95 117 130 161 251 345 345
30 93 115 128 159 249 343 343

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 3 023
2 0 15 27 55 175 348 2 274
3 1 17 29 58 171 360 1 729
4 1 19 32 63 170 359 1 343
5 2 22 37 69 172 350 1 067
6 3 26 40 70 172 336 867
7 6 30 42 72 173 320 718
8 8 34 46 74 173 304 604
9 9 36 49 75 173 287 514
10 10 37 51 76 174 270 443
11 10 39 52 77 174 267 385
12 11 40 53 78 174 267 337
13 12 41 54 79 174 267 297
14 12 42 54 79 174 267 267
15 12 42 54 79 174 267 267
16 12 42 54 79 174 267 267
17 12 42 54 79 174 267 267
18 12 42 54 79 174 267 267
19 12 42 56 79 174 267 267
20 12 42 58 79 175 268 268
21 12 42 61 79 175 268 268
22 12 42 64 79 175 268 268
23 12 42 66 79 175 269 269
24 12 42 69 79 176 269 269
25 12 42 72 79 176 269 269
26 12 42 75 82 176 269 269
27 12 42 77 84 176 269 269
28 12 42 80 86 176 269 269
29 13 42 83 89 175 269 269
30 13 42 86 91 175 268 268

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 3 13 134 308 2 984
2 0 1 6 17 133 343 2 239
3 1 2 10 20 125 354 1 700
4 1 3 13 23 122 353 1 319
5 2 4 16 26 121 343 1 048
6 2 5 19 29 121 330 850
7 3 6 22 32 121 314 704
8 3 7 25 35 121 297 591
9 4 8 27 38 121 280 504
10 4 9 30 41 122 264 433
11 5 11 33 44 122 248 377
12 5 11 36 46 122 232 330
13 5 13 38 49 122 218 290
14 6 13 41 52 123 216 257
15 7 14 44 54 123 216 229
16 7 16 47 56 123 217 217
17 7 16 48 59 126 217 217
18 8 17 51 62 129 217 217
19 8 18 54 64 131 218 218
20 9 19 57 67 133 219 219
21 9 20 60 69 135 220 220
22 9 20 62 71 136 220 220
23 10 22 65 73 138 221 221
24 10 23 67 75 140 221 221
25 11 23 70 78 142 221 221
26 11 25 72 80 143 222 222
27 12 25 76 83 145 222 222
28 12 26 78 84 146 222 222
29 12 27 81 87 147 222 222
30 13 28 84 89 148 222 222

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 67
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 7
Danish krone Denmark 62
Forint Hungary 19
Krona Sweden 4
Kuna Croatia 11
Lev Bulgaria 33
Pound sterling United Kingdom 37
Romanian leu Romania 2
Zloty Poland 7
Króna Iceland 11
Norwegian krone Norway 16
Swiss franc Liechtenstein 8
Swiss franc Switzerland 8
Australian dollar Australia 14
Canadian dollar Canada 7
US dollar United States 78
Yen Japan 3

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