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Commission Implementing Regulation (EU) 2016/1976 of 10 November 2016 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 September until 30 December 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 2016-11-16
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 87 211 317 3 076
2 42 57 64 87 211 353 2 310
3 41 57 66 92 205 365 1 755
4 40 57 68 95 201 363 1 361
5 40 58 70 95 200 353 1 081
6 40 59 71 97 199 339 877
7 41 61 72 99 198 323 726
8 40 61 72 100 197 306 610
9 39 60 73 102 196 289 519
10 39 60 74 103 195 288 447
11 38 60 73 103 194 287 388
12 37 59 72 103 193 286 340
13 36 58 71 102 192 286 299
14 36 57 71 101 192 285 285
15 35 57 70 101 191 284 284
16 34 56 69 100 190 283 283
17 33 55 69 99 189 283 283
18 33 55 68 98 189 282 282
19 32 54 67 98 188 282 282
20 32 54 67 98 188 281 281
21 32 54 67 98 188 281 281
22 32 53 67 97 188 281 281
23 31 53 66 97 187 280 280
24 31 53 69 96 187 280 280
25 30 52 73 96 186 279 279
26 29 51 75 95 185 279 279
27 29 51 78 95 185 278 278
28 28 50 80 94 184 278 278
29 28 50 83 93 184 277 277
30 27 49 86 93 183 276 276

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 9 23 30 54 177 315 3 059
2 13 28 35 58 182 351 2 299
3 16 31 40 67 179 363 1 748
4 18 35 46 73 180 362 1 357
5 21 39 51 76 181 353 1 078
6 20 39 51 77 179 339 876
7 26 46 57 83 183 323 725
8 24 45 57 85 181 306 609
9 26 47 60 89 182 289 519
10 28 50 63 93 184 277 447
11 29 51 64 95 185 279 388
12 30 52 65 96 186 279 340
13 31 52 66 96 186 280 299
14 31 53 66 97 187 280 280
15 31 53 66 97 187 280 280
16 30 52 66 96 186 280 280
17 30 52 66 96 186 280 280
18 30 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 95 185 278 278
22 29 51 64 95 185 278 278
23 29 50 67 94 185 278 278
24 28 50 69 94 184 277 277
25 28 50 73 93 184 277 277
26 27 49 75 93 183 277 277
27 27 49 78 92 183 276 276
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 8 22 29 53 176 312 3 025
2 9 24 30 54 178 348 2 273
3 9 25 34 60 173 359 1 727
4 10 27 38 65 171 358 1 340
5 11 29 41 67 171 348 1 064
6 13 32 44 70 171 335 864
7 15 35 46 72 171 319 714
8 15 35 47 75 172 302 601
9 15 37 49 78 172 285 512
10 16 38 51 81 172 268 440
11 16 38 51 82 172 266 383
12 16 38 52 82 172 266 335
13 17 38 52 82 173 266 295
14 17 39 52 82 173 266 266
15 17 39 52 82 173 266 266
16 17 38 52 82 172 266 266
17 17 38 52 82 173 266 266
18 17 38 53 82 172 266 266
19 17 38 55 82 172 266 266
20 17 39 58 82 173 266 266
21 17 39 61 82 173 266 266
22 17 39 64 82 173 266 266
23 16 38 66 82 172 266 266
24 16 38 69 82 172 265 265
25 16 38 71 81 172 265 265
26 15 37 74 81 171 265 265
27 15 37 76 83 171 264 264
28 15 37 80 86 171 264 264
29 15 36 82 88 171 264 264
30 14 36 85 90 170 264 264

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 90 213 323 3 146
2 47 62 69 93 216 360 2 363
3 49 65 74 100 213 372 1 796
4 50 67 78 105 212 371 1 395
5 52 70 82 107 212 362 1 109
6 54 73 85 111 212 348 900
7 55 75 86 113 212 332 745
8 55 75 87 115 212 314 627
9 55 76 89 118 211 305 534
10 55 77 90 120 211 305 460
11 55 77 90 120 211 304 399
12 54 76 89 120 210 303 349
13 53 75 88 119 209 303 307
14 52 74 88 118 208 302 302
15 51 73 87 117 207 301 301
16 51 72 86 116 206 300 300
17 50 72 85 115 206 299 299
18 49 71 84 115 205 298 298
19 48 70 83 114 204 297 297
20 47 69 83 113 203 297 297
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 79 110 200 293 293
25 43 65 78 109 199 293 293
26 42 64 78 108 198 292 292
27 41 63 79 107 197 291 291
28 41 62 83 106 196 290 290
29 40 62 85 105 196 289 289
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 97 120 244 339 3 202
2 79 94 101 125 248 367 2 411
3 79 95 103 130 242 380 1 834
4 78 95 106 133 239 379 1 425
5 81 99 111 136 241 369 1 132
6 83 102 114 140 241 355 919
7 85 105 116 142 242 339 761
8 86 106 118 146 243 336 640
9 87 108 120 150 243 337 546
10 87 109 122 152 243 337 471
11 87 109 122 152 243 336 409
12 86 108 121 151 242 335 358
13 84 106 120 150 240 334 334
14 83 105 118 149 239 332 332
15 81 103 117 147 237 331 331
16 80 102 115 146 236 329 329
17 79 100 114 144 235 328 328
18 77 99 112 143 233 326 326
19 76 98 111 141 232 325 325
20 75 96 110 140 230 324 324
21 73 95 108 139 229 322 322
22 72 94 107 137 228 321 321
23 70 92 105 136 226 319 319
24 69 90 104 134 224 318 318
25 67 89 102 133 223 316 316
26 65 87 101 131 221 315 315
27 64 86 99 130 220 313 313
28 62 84 98 128 218 312 312
29 61 83 96 127 217 310 310
30 59 81 95 125 215 309 309

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 46 169 312 3 023
2 4 19 25 49 172 348 2 275
3 6 22 30 57 169 360 1 730
4 8 25 35 62 169 359 1 343
5 10 28 40 66 170 349 1 067
6 12 31 43 70 171 336 866
7 14 35 46 72 171 320 717
8 15 35 47 75 172 303 603
9 15 37 49 78 172 286 513
10 16 37 51 80 172 269 442
11 16 38 51 81 172 265 384
12 16 37 51 81 172 265 336
13 15 37 50 81 171 264 296
14 14 36 50 80 170 264 264
15 14 36 49 79 170 263 263
16 13 35 48 78 169 262 262
17 12 34 50 78 168 261 261
18 12 34 53 77 168 261 261
19 12 33 55 77 167 261 261
20 12 34 58 77 168 261 261
21 12 34 61 77 168 261 261
22 12 34 64 78 168 261 261
23 12 34 66 77 168 261 261
24 12 34 69 77 168 261 261
25 12 34 72 79 168 261 261
26 12 33 75 82 167 261 261
27 12 33 78 84 167 261 261
28 12 33 80 86 167 261 261
29 13 33 83 89 167 260 260
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 86 101 108 131 255 350 3 311
2 86 101 108 132 255 378 2 492
3 85 101 110 136 249 391 1 895
4 85 102 113 140 246 389 1 470
5 86 104 116 141 246 379 1 167
6 86 106 118 144 245 365 947
7 88 108 119 145 245 347 783
8 87 108 120 148 244 338 658
9 87 108 121 150 243 337 560
10 86 107 121 150 242 335 481
11 84 106 119 149 240 333 418
12 82 104 117 148 238 331 365
13 80 102 115 146 236 329 329
14 78 100 113 144 234 328 328
15 76 98 112 142 232 326 326
16 74 96 109 140 230 323 323
17 73 94 108 138 228 322 322
18 71 93 106 137 227 320 320
19 70 91 105 135 225 319 319
20 69 90 104 134 224 318 318
21 68 89 103 133 223 317 317
22 66 88 102 132 222 316 316
23 65 87 101 131 221 315 315
24 64 86 99 130 220 314 314
25 63 85 98 129 219 312 312
26 62 84 97 128 218 311 311
27 61 83 96 127 217 310 310
28 60 82 95 126 216 309 309
29 59 81 94 125 215 308 308
30 58 80 93 124 214 307 307

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
1 353 368 374 398 521 617 3 225
2 70 85 92 115 239 371 2 440
3 73 88 97 123 236 384 1 858
4 75 92 103 130 236 383 1 443
5 78 95 108 133 238 374 1 146
6 80 99 111 137 239 359 930
7 82 102 113 140 239 342 769
8 83 104 115 143 240 333 646
9 84 105 117 147 240 334 550
10 84 106 119 149 240 333 474
11 84 106 119 149 240 333 412
12 84 106 119 150 240 333 360
13 84 106 120 150 240 334 334
14 85 107 120 151 241 334 334
15 86 108 121 151 242 335 335
16 87 109 122 152 243 336 336
17 88 110 123 153 244 337 337
18 89 111 124 155 245 338 338
19 90 112 125 156 246 339 339
20 91 112 126 156 247 340 340
21 91 113 126 156 247 340 340
22 91 113 126 156 247 340 340
23 90 112 125 156 246 340 340
24 90 111 125 155 245 339 339
25 89 110 124 154 245 338 338
26 88 109 123 153 243 337 337
27 86 108 122 152 242 336 336
28 85 107 120 151 241 334 334
29 84 106 119 149 240 333 333
30 82 104 118 148 238 332 332

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 34 157 310 3 002
2 0 3 10 34 157 345 2 258
3 1 4 12 39 151 357 1 716
4 1 4 15 42 148 356 1 332
5 2 5 17 43 147 347 1 058
6 2 7 19 45 147 333 859
7 3 9 22 47 146 317 711
8 3 9 25 49 145 300 597
9 4 9 28 51 144 283 509
10 4 9 30 52 144 267 438
11 5 11 33 53 144 250 380
12 5 11 36 53 144 237 333
13 5 13 39 53 144 237 294
14 6 13 41 54 144 237 260
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 75 148 242 242
24 10 23 69 77 149 242 242
25 11 25 71 79 149 243 243
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 94 217 318 3 083
2 49 64 71 95 218 353 2 315
3 49 64 73 99 212 365 1 758
4 48 65 75 102 209 364 1 364
5 48 66 78 103 208 354 1 084
6 49 68 80 106 207 341 880
7 49 69 80 106 206 324 728
8 48 69 81 108 205 307 612
9 48 69 82 111 204 298 521
10 47 69 82 111 203 296 449
11 45 67 81 111 201 295 390
12 44 66 79 109 200 293 341
13 42 64 77 108 198 291 301
14 40 62 76 106 196 290 290
15 39 61 74 104 195 288 288
16 37 59 72 103 193 286 286
17 36 58 71 101 192 285 285
18 35 56 70 100 190 284 284
19 33 55 69 99 189 283 283
20 33 55 68 99 189 282 282
21 32 54 68 98 188 282 282
22 32 54 67 97 188 281 281
23 31 53 68 97 187 280 280
24 30 52 70 96 186 280 280
25 30 51 73 95 185 279 279
26 29 51 75 94 185 278 278
27 28 50 79 94 184 277 277
28 28 49 81 93 183 277 277
29 27 49 84 93 183 276 276
30 26 48 87 92 182 276 276

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
1 108 123 130 154 277 373 3 358
2 110 124 131 155 278 383 2 528
3 110 126 135 161 274 396 1 923
4 111 128 139 166 272 395 1 493
5 112 130 142 168 272 385 1 186
6 113 132 144 171 272 371 963
7 114 134 146 172 271 365 797
8 113 134 146 174 270 364 670
9 113 134 147 176 269 363 570
10 112 134 147 177 268 361 491
11 111 132 146 176 267 360 426
12 109 130 144 174 265 358 373
13 106 128 142 172 262 356 356
14 104 126 139 170 260 353 353
15 102 124 137 167 258 351 351
16 99 121 134 165 255 348 348
17 97 118 132 162 253 346 346
18 94 116 129 160 250 344 344
19 92 114 127 158 248 341 341
20 90 112 126 156 246 340 340
21 89 111 124 154 245 338 338
22 87 109 122 153 243 336 336
23 85 107 120 151 241 334 334
24 83 105 119 149 239 333 333
25 82 104 117 147 238 331 331
26 80 102 115 146 236 329 329
27 78 100 113 144 234 328 328
28 77 99 112 142 233 326 326
29 75 97 110 141 231 324 324
30 74 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
1 169 184 190 214 338 433 3 576
2 178 193 200 224 347 443 2 678
3 182 197 206 233 345 441 2 030
4 182 199 210 237 344 438 1 573
5 183 201 213 238 343 436 1 247
6 183 202 214 240 342 435 1 011
7 183 203 214 241 340 433 834
8 181 202 214 242 338 432 700
9 180 202 214 243 337 430 596
10 179 201 214 244 335 429 513
11 177 199 212 243 333 427 445
12 175 197 210 240 331 424 424
13 172 194 207 237 328 421 421
14 169 190 204 234 324 418 418
15 165 187 200 231 321 415 415
16 162 184 197 228 318 411 411
17 159 181 194 224 315 408 408
18 156 177 191 221 311 405 405
19 152 174 188 218 308 402 402
20 149 171 185 215 305 399 399
21 146 168 181 212 302 396 396
22 143 165 178 209 299 392 392
23 140 162 175 205 296 389 389
24 137 159 172 202 293 386 386
25 134 155 169 199 290 383 383
26 130 152 166 196 286 380 380
27 128 149 163 193 283 377 377
28 125 147 160 190 281 374 374
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 21 35 42 66 189 320 3 105
2 21 36 43 67 190 356 2 334
3 21 37 46 72 185 368 1 774
4 21 38 48 75 182 367 1 377
5 21 39 51 77 181 358 1 094
6 22 41 53 79 181 344 889
7 23 43 54 80 180 327 735
8 22 42 54 82 179 310 618
9 21 43 55 84 178 293 526
10 21 43 56 86 177 275 453
11 20 42 56 86 176 270 393
12 20 42 55 85 176 269 344
13 19 41 54 85 175 268 303
14 19 41 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 84 174 267 267
18 18 40 54 84 174 268 268
19 18 40 57 84 174 268 268
20 18 40 60 84 174 268 268
21 19 40 62 84 175 268 268
22 19 40 65 84 175 268 268
23 18 40 68 84 174 268 268
24 18 40 70 84 174 268 268
25 18 40 73 84 174 267 267
26 18 40 76 84 174 267 267
27 18 40 79 85 174 267 267
28 18 39 81 88 173 267 267
29 17 39 85 91 173 267 267
30 17 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 16 31 38 61 185 323 3 144
2 18 33 40 63 187 360 2 364
3 19 35 44 70 183 373 1 797
4 21 37 48 75 182 371 1 395
5 23 41 53 78 183 362 1 108
6 25 44 56 82 183 348 900
7 27 47 58 84 184 331 744
8 27 48 59 87 184 314 625
9 27 49 61 91 184 296 533
10 28 50 63 93 185 279 459
11 29 51 64 94 185 278 398
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 64 94 184 278 278
17 28 50 64 94 184 278 278
18 28 50 63 94 184 278 278
19 28 50 64 94 184 278 278
20 29 51 64 94 185 278 278
21 29 51 64 95 185 278 278
22 29 51 65 95 185 278 278
23 29 51 68 94 185 278 278
24 28 50 72 94 184 278 278
25 28 50 74 94 184 277 277
26 28 50 77 93 184 277 277
27 27 49 79 93 183 277 277
28 27 49 83 92 183 276 276
29 26 48 85 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
1 117 132 139 162 286 381 3 504
2 116 131 138 161 285 395 2 620
3 115 130 139 165 278 406 1 982
4 114 131 142 169 275 403 1 531
5 114 132 144 170 274 391 1 212
6 114 133 145 171 273 375 981
7 115 135 146 173 272 365 810
8 114 135 147 174 271 365 677
9 113 135 147 176 270 363 576
10 113 135 148 178 269 363 495
11 113 135 148 178 269 362 429
12 112 134 147 177 268 361 375
13 111 133 146 176 267 360 360
14 109 131 145 175 265 359 359
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 96 118 131 161 252 345 345
21 93 115 129 159 249 343 343
22 91 113 126 157 247 340 340
23 89 111 124 155 245 338 338
24 87 109 122 152 243 336 336
25 85 107 120 150 241 334 334
26 83 104 118 148 238 332 332
27 80 102 116 146 236 330 330
28 78 100 114 144 234 328 328
29 76 98 112 142 232 326 326
30 75 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 33 156 314 3 043
2 0 4 11 35 158 350 2 291
3 1 6 15 41 154 363 1 743
4 1 8 19 46 153 361 1 354
5 2 11 24 49 154 352 1 076
6 2 15 27 53 154 338 874
7 3 18 29 55 155 323 723
8 3 19 30 58 155 306 608
9 4 19 32 61 155 288 518
10 4 20 33 63 155 271 446
11 5 20 34 64 154 255 387
12 5 20 36 64 154 247 339
13 6 20 39 64 154 247 298
14 6 20 42 63 154 247 264
15 7 20 45 63 154 247 247
16 7 19 47 63 153 247 247
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 68 154 248 248
21 9 21 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 72 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 30 44 51 75 198 314 3 047
2 30 45 52 75 199 350 2 289
3 28 44 53 79 192 362 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 86 185 320 718
8 33 53 65 93 189 303 603
9 32 53 66 95 189 286 514
10 26 48 61 91 182 276 442
11 21 43 56 87 177 271 384
12 18 40 53 83 174 267 335
13 15 37 50 81 171 264 295
14 13 35 48 79 169 262 262
15 11 33 47 77 167 261 261
16 10 32 47 75 166 259 259
17 9 31 50 75 165 258 258
18 8 30 52 74 164 258 258
19 8 30 55 74 164 257 257
20 9 30 58 74 164 257 257
21 9 30 61 74 164 257 257
22 9 30 63 74 164 257 257
23 10 30 66 75 164 257 257
24 10 30 69 77 164 257 257
25 11 30 71 79 164 257 257
26 11 30 74 81 164 257 257
27 12 30 76 83 164 257 257
28 12 30 80 86 164 257 257
29 13 29 82 88 163 257 257
30 13 29 85 90 163 257 257

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
1 181 195 202 226 349 445 3 445
2 178 193 200 224 347 443 2 602
3 174 189 198 224 337 433 1 985
4 170 187 197 224 331 425 1 541
5 166 184 196 222 326 420 1 225
6 163 183 194 221 322 415 994
7 161 181 192 218 318 411 822
8 157 178 189 217 314 407 690
9 153 175 187 216 310 403 586
10 150 171 185 214 306 399 504
11 146 168 181 211 302 395 437
12 142 164 177 208 298 391 391
13 138 160 173 204 294 388 388
14 135 156 170 200 290 384 384
15 131 153 166 197 287 380 380
16 128 150 163 193 284 377 377
17 125 147 160 190 281 374 374
18 122 144 157 187 278 371 371
19 119 141 154 185 275 368 368
20 116 138 152 182 272 366 366
21 114 136 149 180 270 363 363
22 111 133 147 177 267 361 361
23 109 131 144 175 265 358 358
24 106 128 142 172 262 356 356
25 104 126 139 170 260 353 353
26 102 124 137 167 258 351 351
27 100 121 135 165 255 349 349
28 97 119 133 163 253 347 347
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 55 174 313 3 031
2 0 15 27 55 174 348 2 280
3 1 17 29 58 170 361 1 732
4 1 20 32 63 170 359 1 345
5 2 22 37 69 171 350 1 068
6 3 26 40 70 172 336 867
7 6 30 42 72 172 320 718
8 8 34 46 74 172 303 603
9 9 36 49 75 173 286 514
10 10 38 51 76 173 269 442
11 11 39 52 77 173 266 384
12 12 41 54 79 173 267 336
13 13 42 54 79 173 267 296
14 13 42 54 79 173 267 267
15 13 42 54 79 173 267 267
16 13 42 54 79 173 266 266
17 13 42 54 79 173 266 266
18 13 42 54 79 173 266 266
19 13 42 55 79 173 267 267
20 13 42 58 79 174 267 267
21 13 42 61 79 174 268 268
22 13 42 64 79 174 268 268
23 13 42 66 79 175 268 268
24 13 42 69 79 175 268 268
25 13 42 71 79 175 268 268
26 13 42 74 82 175 268 268
27 13 42 77 83 175 268 268
28 13 42 80 86 175 268 268
29 13 42 82 88 175 268 268
30 13 42 85 90 174 268 268

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 2 240
3 1 2 10 20 126 354 1 701
4 1 3 13 23 122 353 1 319
5 2 4 16 26 121 343 1 047
6 2 5 19 29 121 330 850
7 3 6 22 32 121 314 703
8 3 7 25 35 121 297 591
9 4 8 27 38 121 280 503
10 4 9 30 41 121 263 433
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 51 123 216 257
15 7 14 44 53 123 216 229
16 7 16 47 56 123 217 217
17 7 16 48 59 125 217 217
18 8 17 51 62 129 217 217
19 8 18 54 64 131 218 218
20 9 19 57 66 133 219 219
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 75 140 221 221
25 11 23 70 78 141 221 221
26 11 25 72 80 143 221 221
27 12 25 76 82 144 222 222
28 12 26 78 84 145 222 222
29 12 27 81 86 146 222 222
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 10
Euro Belgium 10
Euro Cyprus 10
Euro Estonia 10
Euro Finland 10
Euro France 10
Euro Germany 10
Euro Greece 10
Euro Ireland 10
Euro Italy 10
Euro Latvia 10
Euro Lithuania 10
Euro Luxembourg 10
Euro Malta 10
Euro Netherlands 10
Euro Portugal 10
Euro Slovakia 10
Euro Slovenia 10
Euro Spain 10
Czech koruna Czech Republic 2
Danish krone Denmark 56
Forint Hungary 20
Krona Sweden 3
Kuna Croatia 10
Lev Bulgaria 8
Pound sterling United Kingdom 28
Romanian leu Romania – 2
Zloty Poland 15
Króna Iceland 15
Norwegian krone Norway 26
Swiss franc Liechtenstein 4
Swiss franc Switzerland 4
Australian dollar Australia 9
Canadian dollar Canada 5
US dollar United States 59
Yen Japan 2

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