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Commission Implementing Regulation (EU) 2016/1376 of 8 August 2016 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 June until 29 September 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 2016-08-18
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 88 211 318 3 083
2 42 57 64 88 211 353 2 315
3 41 57 66 92 205 365 1 758
4 40 57 68 95 202 364 1 364
5 40 58 70 96 201 354 1 083
6 40 60 72 98 199 340 879
7 41 61 72 99 198 324 727
8 40 61 72 100 197 307 611
9 39 61 73 102 196 289 520
10 39 60 74 104 195 288 448
11 38 60 73 104 194 288 389
12 37 59 72 103 193 287 340
13 36 58 72 102 193 286 300
14 36 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 33 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 32 54 67 97 188 281 281
23 31 53 66 97 187 281 281
24 31 53 69 96 187 280 280
25 30 52 73 96 186 280 280
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 83 94 184 277 277
30 27 49 86 93 183 277 277

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 35 58 182 351 2 295
3 16 31 40 67 180 363 1 745
4 18 35 46 73 180 362 1 355
5 21 39 51 76 181 352 1 077
6 20 39 51 77 179 339 874
7 26 46 57 84 183 323 724
8 24 45 57 85 182 306 608
9 26 47 60 89 183 288 518
10 28 50 63 93 184 278 446
11 29 51 64 95 185 279 387
12 30 52 65 96 186 280 339
13 30 53 66 96 187 280 299
14 31 53 66 97 187 280 280
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 52 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 29 51 64 95 185 278 278
23 28 51 67 94 185 278 278
24 28 50 69 94 184 278 278
25 28 50 73 94 184 277 277
26 27 49 75 93 183 277 277
27 27 49 78 93 183 276 276
28 26 48 81 92 182 276 276
29 26 48 84 91 182 275 275
30 25 47 87 92 181 275 275

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 53 177 312 3 025
2 9 24 30 54 178 347 2 273
3 9 25 34 61 173 359 1 726
4 10 27 38 65 171 358 1 339
5 11 29 41 67 172 348 1 064
6 13 32 44 70 172 335 864
7 14 35 46 72 172 319 714
8 14 35 47 75 172 302 601
9 15 37 49 78 172 285 512
10 16 38 51 81 172 268 441
11 16 38 51 82 172 266 383
12 16 38 52 82 173 266 335
13 16 39 52 82 173 266 295
14 17 39 52 83 173 266 266
15 17 39 52 83 173 266 266
16 16 38 52 82 173 266 266
17 16 39 52 82 173 266 266
18 16 38 53 82 173 266 266
19 16 38 55 82 173 266 266
20 17 39 58 83 173 266 266
21 17 39 61 83 173 266 266
22 17 39 64 83 173 266 266
23 16 38 66 82 173 266 266
24 16 38 69 82 172 266 266
25 16 38 71 82 172 265 265
26 15 37 74 82 172 265 265
27 15 37 77 83 172 265 265
28 15 37 80 86 171 264 264
29 15 37 82 88 171 264 264
30 14 36 85 90 171 264 264

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 90 213 324 3 153
2 47 62 69 93 216 361 2 371
3 49 65 74 100 213 374 1 803
4 50 67 78 105 212 373 1 400
5 52 70 82 107 212 363 1 113
6 54 73 85 111 213 349 904
7 55 75 86 113 212 333 748
8 54 75 87 115 212 316 629
9 55 76 89 118 211 305 536
10 55 77 90 120 211 305 461
11 55 77 90 120 211 304 400
12 54 76 89 120 210 304 350
13 53 75 88 119 209 303 308
14 52 74 88 118 209 302 302
15 51 73 87 117 208 301 301
16 50 72 86 116 207 300 300
17 49 72 85 115 206 299 299
18 49 71 84 115 205 298 298
19 48 70 83 114 204 298 298
20 47 69 83 113 204 297 297
21 47 69 82 112 203 296 296
22 46 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 78 108 198 292 292
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 39 61 88 104 195 288 288

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 94 101 125 248 367 2 411
3 79 95 103 130 243 380 1 834
4 78 95 106 133 239 379 1 428
5 80 99 111 136 241 371 1 136
6 83 102 114 140 242 357 924
7 85 105 116 142 242 340 765
8 85 106 118 146 243 336 643
9 86 108 120 150 243 337 548
10 87 109 122 152 243 337 472
11 86 109 122 152 243 336 410
12 86 108 121 151 242 335 359
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 76 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 64 86 99 130 220 313 313
28 62 84 98 128 219 312 312
29 61 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 46 169 312 3 022
2 4 18 25 49 173 348 2 274
3 6 21 30 57 170 360 1 729
4 8 24 35 63 169 359 1 343
5 10 28 40 66 171 349 1 067
6 12 31 43 70 171 336 867
7 14 35 46 72 172 320 717
8 14 35 47 75 172 303 603
9 15 37 49 78 172 286 514
10 16 37 51 81 172 269 442
11 16 38 51 81 172 265 384
12 15 38 51 81 172 265 336
13 15 37 50 81 171 265 296
14 14 36 50 80 171 264 264
15 13 36 49 79 170 263 263
16 12 35 48 78 169 262 262
17 12 34 50 78 168 262 262
18 12 34 53 77 168 261 261
19 11 33 56 77 168 261 261
20 12 34 58 77 168 261 261
21 12 34 61 78 168 261 261
22 12 34 64 78 168 261 261
23 12 34 66 78 168 261 261
24 12 34 69 78 168 261 261
25 11 34 72 80 168 261 261
26 11 33 75 82 168 261 261
27 12 33 78 85 168 261 261
28 12 33 80 87 167 261 261
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 86 101 107 131 255 351 3 332
2 86 101 108 132 255 380 2 512
3 85 101 110 136 249 394 1 911
4 85 102 113 140 246 393 1 484
5 85 103 116 141 246 383 1 179
6 86 105 117 144 245 369 957
7 87 108 119 145 245 351 792
8 87 108 120 147 244 338 665
9 86 108 120 150 243 337 566
10 85 107 120 150 242 335 487
11 84 106 119 149 240 333 423
12 82 104 117 148 238 331 369
13 80 102 115 146 236 329 329
14 78 100 113 144 234 327 327
15 76 98 111 142 232 326 326
16 74 96 109 140 230 323 323
17 72 94 107 138 228 322 322
18 70 93 106 136 227 320 320
19 69 91 104 135 225 319 319
20 68 90 103 134 224 318 318
21 67 89 102 133 223 317 317
22 66 88 101 132 222 316 316
23 65 87 100 131 221 315 315
24 64 86 99 130 220 313 313
25 63 85 98 129 219 312 312
26 62 84 97 128 218 311 311
27 61 83 96 126 217 310 310
28 60 82 95 125 216 309 309
29 59 81 94 124 215 308 308
30 58 80 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
1 355 370 377 401 524 620 3 195
2 70 85 91 115 239 367 2 413
3 72 88 97 123 236 382 1 843
4 75 92 103 130 237 381 1 433
5 77 95 108 133 238 372 1 139
6 80 99 111 137 239 358 926
7 82 102 113 140 239 341 766
8 83 104 115 143 240 333 644
9 83 105 117 147 240 334 549
10 84 105 119 149 240 333 472
11 84 106 119 149 240 333 410
12 84 106 119 150 240 333 359
13 84 106 120 150 240 334 334
14 85 107 120 151 241 334 334
15 85 108 121 151 242 335 335
16 87 109 122 152 243 336 336
17 88 110 123 154 244 337 337
18 89 111 124 155 245 338 338
19 90 112 125 156 246 339 339
20 90 112 126 156 247 340 340
21 91 113 126 157 247 340 340
22 91 113 126 156 247 340 340
23 90 112 125 156 246 340 340
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 84 106 119 150 240 333 333
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 34 158 310 3 004
2 0 3 10 34 158 346 2 258
3 1 3 12 39 152 358 1 716
4 1 4 15 42 148 356 1 332
5 2 5 17 43 148 347 1 058
6 2 7 19 45 147 333 859
7 3 9 22 47 146 317 711
8 3 9 25 48 145 301 598
9 4 9 28 51 144 284 509
10 4 9 30 52 144 267 438
11 5 11 33 53 144 251 381
12 5 11 36 53 144 237 334
13 5 13 39 53 144 237 294
14 6 13 41 53 144 237 261
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 22 64 72 148 241 241
23 10 22 66 75 149 242 242
24 10 23 69 77 149 242 242
25 11 25 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 89 151 244 244
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 3 092
2 49 64 71 95 219 355 2 323
3 49 64 73 100 213 367 1 765
4 48 65 76 103 209 365 1 369
5 48 66 78 104 208 356 1 088
6 49 68 80 106 208 342 883
7 49 69 80 107 206 325 731
8 48 69 81 109 206 308 614
9 48 69 82 111 205 298 523
10 47 69 82 112 203 297 450
11 45 67 81 111 202 295 391
12 44 66 79 109 200 293 342
13 42 64 77 108 198 292 302
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 36 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 32 54 67 97 188 281 281
23 31 53 68 97 187 280 280
24 30 52 70 96 187 280 280
25 29 51 73 95 186 279 279
26 29 51 75 95 185 278 278
27 28 50 79 94 184 278 278
28 27 49 81 93 184 277 277
29 27 49 84 93 183 276 276
30 26 48 87 92 183 276 276

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 3 362
2 109 124 131 155 278 384 2 535
3 110 126 135 161 274 398 1 929
4 111 128 139 166 272 396 1 498
5 112 130 142 168 272 387 1 190
6 113 132 144 170 272 372 966
7 114 134 145 172 271 365 800
8 113 134 146 174 270 364 672
9 112 134 146 176 269 363 572
10 112 134 147 177 268 361 493
11 110 132 146 176 267 360 428
12 108 130 144 174 265 358 374
13 106 128 141 172 262 356 356
14 104 126 139 170 260 353 353
15 101 123 137 167 258 351 351
16 98 121 134 164 255 348 348
17 96 118 132 162 253 346 346
18 94 116 129 160 250 343 343
19 92 114 127 158 248 341 341
20 90 112 125 156 246 340 340
21 88 110 124 154 245 338 338
22 87 109 122 152 243 336 336
23 85 107 120 151 241 334 334
24 83 105 118 149 239 333 333
25 81 103 117 147 238 331 331
26 79 102 115 145 236 329 329
27 78 100 113 144 234 327 327
28 76 98 112 142 233 326 326
29 75 97 110 141 231 324 324
30 73 95 109 139 230 323 323

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
1 168 183 190 214 338 433 3 666
2 178 193 200 224 347 443 2 741
3 181 197 206 233 345 441 2 076
4 182 199 210 237 344 438 1 609
5 183 201 213 238 343 437 1 277
6 183 202 214 240 342 435 1 036
7 183 203 214 241 340 433 856
8 181 202 214 242 338 432 718
9 180 201 214 243 337 430 610
10 179 201 214 244 335 429 524
11 177 199 212 243 333 427 455
12 174 196 210 240 331 424 424
13 171 193 207 237 328 421 421
14 168 190 204 234 325 418 418
15 165 187 200 231 321 415 415
16 162 184 197 228 318 411 411
17 158 181 194 224 315 408 408
18 155 177 191 221 312 405 405
19 152 174 187 218 308 402 402
20 149 171 184 215 305 399 399
21 146 168 181 212 302 396 396
22 143 165 178 209 299 392 392
23 140 162 175 205 296 389 389
24 136 158 172 202 293 386 386
25 133 155 169 199 290 383 383
26 130 152 166 196 287 380 380
27 127 149 163 193 284 377 377
28 124 146 160 190 281 374 374
29 122 144 157 187 278 371 371
30 119 141 154 185 275 368 368

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 66 189 319 3 100
2 21 36 43 67 190 356 2 331
3 21 37 45 72 185 368 1 772
4 20 37 48 75 182 367 1 376
5 21 39 51 77 182 357 1 093
6 22 41 53 79 181 344 888
7 23 43 54 80 180 327 735
8 21 42 54 82 179 310 617
9 21 42 55 84 178 292 525
10 21 42 56 86 177 275 452
11 20 42 55 86 176 270 393
12 19 41 55 85 176 269 344
13 19 41 54 85 175 269 303
14 18 40 54 84 175 268 268
15 18 40 54 84 174 268 268
16 18 40 53 84 174 268 268
17 18 40 53 84 174 268 268
18 18 40 54 84 174 268 268
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 84 174 268 268
26 18 40 75 84 174 267 267
27 17 40 79 85 174 267 267
28 17 39 81 88 174 267 267
29 17 39 85 91 173 267 267
30 17 39 87 92 173 266 266

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 16 31 37 61 185 324 3 155
2 18 32 39 63 187 361 2 372
3 19 35 44 70 183 374 1 802
4 20 37 48 75 182 372 1 398
5 22 40 53 78 183 362 1 110
6 24 43 55 82 183 348 901
7 26 47 58 84 184 332 746
8 26 47 59 87 184 314 627
9 27 49 61 90 184 296 533
10 28 50 63 93 185 279 459
11 29 51 64 94 185 278 399
12 29 51 64 95 185 279 349
13 29 51 64 95 185 279 307
14 29 51 64 95 185 278 278
15 29 51 64 94 185 278 278
16 28 50 63 94 184 278 278
17 28 50 63 94 184 278 278
18 28 50 63 94 184 278 278
19 28 50 63 94 184 278 278
20 28 50 64 94 185 278 278
21 29 51 64 94 185 278 278
22 29 51 65 94 185 278 278
23 28 50 68 94 185 278 278
24 28 50 72 94 184 278 278
25 28 50 74 94 184 277 277
26 27 49 77 93 184 277 277
27 27 49 80 93 183 277 277
28 27 49 83 92 183 276 276
29 26 48 86 92 182 276 276
30 26 48 88 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
1 116 131 138 162 286 381 3 514
2 115 130 137 161 285 396 2 628
3 114 130 139 165 278 408 1 988
4 113 130 141 168 275 405 1 537
5 114 132 144 170 274 393 1 217
6 114 133 145 171 273 377 986
7 115 135 146 172 272 365 813
8 114 135 147 174 271 365 681
9 113 135 147 176 270 363 579
10 113 135 148 178 270 363 497
11 113 135 148 178 269 362 431
12 112 134 147 177 268 361 376
13 110 132 146 176 267 360 360
14 109 131 145 175 266 359 359
15 107 129 142 173 263 357 357
16 105 127 140 171 261 354 354
17 102 124 137 168 258 352 352
18 100 122 135 166 256 349 349
19 98 120 133 163 254 347 347
20 95 117 131 161 252 345 345
21 93 115 129 159 250 343 343
22 91 113 126 157 247 341 341
23 89 111 124 155 245 338 338
24 87 109 122 152 243 336 336
25 84 106 120 150 241 334 334
26 82 104 118 148 239 332 332
27 80 102 116 146 237 330 330
28 78 100 114 144 235 328 328
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 2 9 32 156 314 3 045
2 0 4 11 34 158 350 2 292
3 1 6 15 41 154 363 1 744
4 1 8 19 46 153 362 1 354
5 2 11 23 49 154 352 1 076
6 3 14 26 53 154 339 874
7 3 18 29 55 155 323 724
8 3 18 30 58 155 306 608
9 4 19 32 61 155 289 518
10 4 20 33 63 155 272 446
11 5 20 33 64 154 255 388
12 5 20 36 64 154 247 339
13 6 20 39 63 154 247 299
14 6 19 42 63 154 247 265
15 7 19 45 63 154 247 247
16 7 19 47 63 153 246 246
17 8 19 50 63 153 247 247
18 8 19 53 63 153 247 247
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 73 155 249 249
23 10 22 66 75 156 249 249
24 10 23 69 77 156 249 249
25 11 25 73 80 156 250 250
26 11 25 75 82 156 250 250
27 12 26 78 85 157 250 250
28 12 27 81 87 157 250 250
29 13 28 83 89 157 250 250
30 13 29 87 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 30 44 51 75 199 314 3 047
2 30 45 52 76 199 350 2 288
3 28 44 53 80 192 361 1 738
4 27 44 55 82 189 360 1 348
5 27 45 58 83 188 350 1 070
6 30 50 62 88 189 336 868
7 28 49 60 86 186 320 718
8 33 54 65 93 190 303 603
9 32 54 66 95 189 286 514
10 26 48 61 91 183 276 442
11 21 43 57 87 178 271 384
12 18 40 53 84 174 267 336
13 15 37 50 81 171 265 296
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 74 164 257 257
20 9 30 58 74 164 258 258
21 9 30 61 74 164 258 258
22 9 30 64 74 164 258 258
23 10 30 66 75 164 258 258
24 10 30 69 77 164 258 258
25 11 30 71 79 164 257 257
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 90 164 257 257

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
1 181 195 202 226 350 445 3 466
2 178 193 200 224 347 443 2 613
3 173 189 198 225 338 433 1 989
4 170 187 197 225 331 425 1 543
5 166 184 196 222 327 420 1 225
6 163 182 194 221 322 416 994
7 161 181 192 219 318 411 821
8 157 178 189 217 314 407 689
9 153 175 187 216 310 403 586
10 149 171 185 214 306 399 504
11 146 168 181 211 302 395 437
12 142 164 177 208 298 391 391
13 138 160 173 204 294 388 388
14 134 156 170 200 291 384 384
15 131 153 166 197 287 380 380
16 127 150 163 193 284 377 377
17 124 146 160 190 281 374 374
18 121 144 157 187 278 371 371
19 119 141 154 185 275 368 368
20 116 138 152 182 273 366 366
21 114 136 149 180 270 363 363
22 111 133 146 177 267 361 361
23 109 131 144 174 265 358 358
24 106 128 142 172 263 356 356
25 104 126 139 170 260 353 353
26 101 123 137 167 258 351 351
27 99 121 135 165 256 349 349
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 55 174 312 3 019
2 0 15 27 55 174 347 2 270
3 1 17 29 58 171 359 1 726
4 1 20 32 63 170 358 1 340
5 2 22 37 69 171 349 1 065
6 3 26 40 70 172 335 865
7 6 30 42 72 173 319 716
8 8 34 46 74 173 303 602
9 9 36 49 75 173 285 513
10 10 38 51 76 173 269 441
11 11 39 52 77 173 267 383
12 11 40 53 78 174 267 336
13 12 42 54 79 174 267 296
14 13 42 54 79 174 267 267
15 13 42 54 79 174 267 267
16 13 42 54 79 173 267 267
17 13 42 54 79 174 267 267
18 13 42 54 79 174 267 267
19 13 42 55 79 174 267 267
20 13 42 58 79 174 267 267
21 13 42 61 79 175 268 268
22 13 42 64 79 175 268 268
23 13 42 66 79 175 268 268
24 13 42 69 79 175 268 268
25 13 42 71 79 175 269 269
26 13 42 74 82 175 269 269
27 13 42 77 83 175 269 269
28 13 42 80 86 175 268 268
29 13 42 82 88 175 268 268
30 13 42 85 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 2 982
2 0 1 6 17 133 343 2 238
3 1 2 10 20 126 354 1 699
4 1 3 13 23 122 352 1 318
5 2 4 16 26 122 343 1 046
6 2 5 19 29 121 329 849
7 3 6 22 32 121 313 703
8 3 7 25 35 121 297 590
9 4 8 27 38 121 280 503
10 4 9 30 41 122 263 433
11 5 11 33 44 122 247 376
12 5 11 36 46 122 232 329
13 5 12 38 48 122 217 290
14 6 13 41 51 123 216 256
15 7 14 44 53 123 216 228
16 7 15 46 56 123 217 217
17 7 16 48 59 125 217 217
18 8 17 51 62 128 218 218
19 8 17 54 63 131 218 218
20 9 19 57 65 132 219 219
21 9 20 59 69 134 220 220
22 9 20 62 71 136 220 220
23 10 22 65 73 138 221 221
24 10 23 67 75 139 221 221
25 11 23 70 77 141 221 221
26 11 25 72 80 142 222 222
27 11 25 75 81 143 222 222
28 12 26 78 84 145 222 222
29 12 27 80 86 146 222 222
30 13 28 83 88 148 222 222

ANNEX III

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

Currency National insurance market Volatility adjustment (in bps)
Euro Austria 18
Euro Belgium 18
Euro Cyprus 18
Euro Estonia 18
Euro Finland 18
Euro France 18
Euro Germany 18
Euro Greece 66
Euro Ireland 18
Euro Italy 18
Euro Latvia 18
Euro Lithuania 18
Euro Luxembourg 18
Euro Malta 18
Euro Netherlands 18
Euro Portugal 18
Euro Slovakia 18
Euro Slovenia 18
Euro Spain 18
Czech koruna Czech Republic 8
Danish krone Denmark 59
Forint Hungary 19
Krona Sweden 3
Kuna Croatia 11
Lev Bulgaria 40
Pound sterling United Kingdom 36
Romanian leu Romania 3
Zloty Poland 7
Króna Iceland 11
Norwegian krone Norway 16
Swiss franc Liechtenstein 5
Swiss franc Switzerland 5
Australian dollar Australia 10
Canadian dollar Canada 6
US dollar United States 68
Yen Japan 3

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