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Commission Implementing Regulation (EU) 2017/2015 of 9 November 2017 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 September 2017 until 30 December 2017 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 2017-11-14
State In force
Text As published
Department European Commission, FISMA
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 56 63 86 209 316 3 187
2 42 56 63 86 209 354 2 380
3 41 56 65 91 203 368 1 798
4 40 57 67 94 199 367 1 389
5 40 58 70 95 198 357 1 100
6 41 59 71 97 197 343 891
7 41 61 72 98 196 327 736
8 40 60 72 99 195 310 618
9 39 60 73 101 194 292 526
10 39 60 73 102 193 286 452
11 38 60 73 102 192 285 393
12 37 59 72 102 191 284 343
13 37 58 71 101 190 283 302
14 36 57 70 100 190 283 283
15 35 57 70 100 189 282 282
16 34 56 69 99 188 281 281
17 34 55 68 98 187 281 281
18 33 55 68 98 187 280 280
19 33 54 67 97 186 280 280
20 33 54 67 97 186 279 279
21 32 54 67 97 186 279 279
22 32 53 66 96 186 279 279
23 32 53 66 96 185 278 278
24 31 52 66 95 185 278 278
25 30 52 69 95 184 277 277
26 30 51 72 94 184 277 277
27 29 51 75 94 183 276 276
28 29 50 77 93 182 275 275
29 28 49 79 92 182 275 275
30 27 49 83 92 181 274 274

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 10 24 31 54 176 313 3 153
2 14 28 35 58 180 351 2 353
3 17 32 40 66 178 364 1 777
4 19 35 46 73 178 363 1 373
5 21 39 51 76 180 354 1 088
6 21 39 51 77 177 340 882
7 26 46 57 83 181 324 729
8 25 45 57 84 180 307 612
9 26 47 59 88 181 289 521
10 28 50 63 92 182 275 448
11 30 51 64 94 183 277 389
12 30 52 65 95 184 277 340
13 31 52 65 95 185 278 299
14 31 53 66 96 185 278 278
15 31 53 66 96 185 278 278
16 31 52 65 95 184 278 278
17 31 52 65 95 185 278 278
18 30 51 64 94 184 277 277
19 30 51 64 94 183 276 276
20 30 51 64 94 183 276 276
21 29 51 64 94 183 276 276
22 29 51 64 94 183 276 276
23 29 50 63 93 183 276 276
24 29 50 66 93 182 275 275
25 28 49 68 93 182 275 275
26 28 49 71 92 181 274 274
27 27 48 73 92 181 274 274
28 27 48 77 91 180 273 273
29 26 47 79 91 180 273 273
30 26 47 82 90 179 272 272

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 23 29 53 175 314 3 172
2 10 24 31 54 176 353 2 368
3 10 25 34 60 172 366 1 787
4 11 27 38 64 170 365 1 380
5 12 29 41 66 170 355 1 092
6 13 32 44 70 170 341 885
7 15 35 46 72 170 324 731
8 15 35 47 74 170 307 613
9 16 37 49 78 170 289 522
10 16 38 51 80 170 272 449
11 17 38 51 81 170 264 389
12 17 38 51 81 171 264 340
13 17 38 52 81 171 264 300
14 17 39 52 82 171 264 265
15 17 39 52 82 171 264 264
16 17 38 51 81 171 264 264
17 17 38 52 81 171 264 264
18 17 38 51 81 171 264 264
19 17 38 53 81 171 264 264
20 17 39 55 82 171 264 264
21 17 39 58 82 171 264 264
22 17 38 61 82 171 264 264
23 17 38 63 81 171 264 264
24 16 38 66 81 170 263 263
25 16 37 68 81 170 263 263
26 16 37 71 80 169 263 263
27 15 37 73 80 169 262 262
28 15 36 76 80 169 262 262
29 15 36 79 82 168 262 262
30 14 36 81 84 168 261 261

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 45 59 66 89 211 318 3 216
2 48 62 68 92 214 358 2 403
3 50 65 74 100 211 372 1 819
4 51 67 78 104 210 371 1 407
5 52 70 82 107 210 362 1 116
6 54 73 85 110 211 348 905
7 56 75 86 112 210 332 748
8 55 75 87 114 210 315 628
9 55 76 88 117 210 303 535
10 55 77 90 119 209 303 460
11 55 77 90 120 209 302 400
12 55 76 89 119 208 301 349
13 54 75 88 118 207 301 308
14 53 74 87 117 207 300 300
15 52 73 86 116 206 299 299
16 51 72 86 116 205 298 298
17 50 72 85 115 204 297 297
18 49 71 84 114 203 296 296
19 49 70 83 113 203 296 296
20 48 69 83 113 202 295 295
21 47 69 82 112 201 294 294
22 47 68 81 111 200 293 293
23 46 67 80 110 199 293 293
24 45 66 79 109 198 292 292
25 44 65 78 108 198 291 291
26 43 64 77 107 197 290 290
27 42 63 76 106 196 289 289
28 41 62 78 106 195 288 288
29 40 62 81 105 194 287 287
30 39 61 84 104 193 286 286

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 76 90 97 120 242 338 3 331
2 80 94 101 124 246 370 2 493
3 80 95 104 129 241 385 1 888
4 79 95 106 132 238 384 1 460
5 81 99 111 136 239 375 1 157
6 83 102 114 140 240 360 937
7 85 105 116 142 240 343 774
8 86 107 118 145 241 334 651
9 87 108 120 149 242 335 554
10 88 109 122 151 242 335 476
11 87 109 122 152 241 334 413
12 86 108 121 151 240 333 361
13 85 106 120 150 239 332 332
14 84 105 118 148 237 331 331
15 82 104 117 147 236 329 329
16 81 102 115 145 234 328 328
17 79 101 114 144 233 326 326
18 78 99 112 142 232 325 325
19 77 98 111 141 230 323 323
20 75 97 110 140 229 322 322
21 74 95 108 138 228 321 321
22 72 94 107 137 226 319 319
23 71 92 105 135 225 318 318
24 69 91 104 134 223 316 316
25 68 89 102 132 221 315 315
26 66 87 101 131 220 313 313
27 65 86 99 129 218 311 311
28 63 84 98 127 217 310 310
29 62 83 96 126 215 308 308
30 60 81 95 125 214 307 307

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 1 16 22 46 168 312 3 144
2 5 19 26 49 171 350 2 349
3 7 22 31 56 168 364 1 776
4 9 25 36 62 168 363 1 372
5 11 28 40 65 169 353 1 087
6 13 32 44 69 170 340 880
7 15 35 46 72 170 323 727
8 15 36 47 74 170 306 611
9 16 37 49 78 170 289 519
10 16 38 51 80 170 271 447
11 16 38 51 81 170 263 388
12 16 38 51 81 170 263 339
13 16 37 50 80 169 263 298
14 15 36 49 79 169 262 264
15 14 36 49 79 168 261 261
16 13 35 48 78 167 260 260
17 13 34 48 77 167 260 260
18 12 34 50 77 166 259 259
19 12 34 52 77 166 259 259
20 12 34 55 77 166 259 259
21 13 34 58 77 166 259 259
22 13 34 61 77 166 259 259
23 13 34 63 77 166 259 259
24 12 34 66 77 166 259 259
25 12 34 68 77 166 259 259
26 12 34 71 77 166 259 259
27 12 33 73 78 166 259 259
28 12 33 76 80 166 259 259
29 14 33 79 82 165 259 259
30 14 33 81 84 165 258 258

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 87 101 108 131 254 349 3 401
2 87 102 108 132 254 376 2 540
3 87 102 111 136 248 390 1 918
4 86 103 113 140 245 389 1 481
5 87 104 116 141 245 379 1 173
6 88 106 118 144 244 364 950
7 89 108 119 145 243 347 784
8 88 109 120 148 243 336 658
9 88 109 121 150 242 335 559
10 87 108 121 150 241 334 481
11 85 106 120 149 239 332 417
12 83 105 118 148 237 330 365
13 81 103 116 146 235 328 328
14 79 101 114 144 233 326 326
15 77 99 112 142 231 324 324
16 75 97 110 140 229 322 322
17 74 95 108 138 227 321 321
18 72 94 107 137 226 319 319
19 71 92 105 135 224 318 318
20 70 91 104 134 224 317 317
21 69 90 103 133 223 316 316
22 68 89 102 132 221 315 315
23 67 88 101 131 220 313 313
24 65 87 100 130 219 312 312
25 64 86 99 129 218 311 311
26 63 85 98 128 217 310 310
27 62 83 97 127 216 309 309
28 61 82 95 125 215 308 308
29 60 81 94 124 214 307 307
30 59 80 93 123 213 306 306

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
1 345 359 366 389 512 607 3 470
2 72 86 93 116 238 381 2 581
3 74 90 98 124 236 394 1 943
4 77 93 104 131 236 392 1 498
5 79 97 109 134 237 381 1 184
6 81 100 112 138 238 366 958
7 84 103 114 140 238 349 791
8 84 105 116 144 239 332 664
9 85 106 118 147 239 333 564
10 85 106 120 149 239 332 485
11 85 107 120 149 239 332 421
12 85 107 120 150 239 332 368
13 86 107 120 150 239 333 333
14 86 108 121 151 240 333 333
15 87 108 122 152 241 334 334
16 88 109 123 153 242 335 335
17 89 110 124 154 243 336 336
18 90 112 125 155 244 337 337
19 91 112 126 156 245 338 338
20 92 113 126 156 246 339 339
21 92 113 127 156 246 339 339
22 92 113 126 156 246 339 339
23 91 113 126 156 245 338 338
24 91 112 125 155 244 337 337
25 90 111 124 154 243 337 337
26 89 110 123 153 242 335 335
27 87 109 122 152 241 334 334
28 86 107 121 151 240 333 333
29 85 106 119 149 238 332 332
30 83 105 118 148 237 330 330

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 4 11 34 156 309 3 111
2 0 4 11 34 156 346 2 319
3 1 4 13 39 150 359 1 751
4 1 4 15 42 147 358 1 352
5 2 6 18 43 146 348 1 070
6 2 8 19 45 146 334 867
7 3 10 21 47 145 318 716
8 4 10 23 49 144 301 601
9 4 10 26 51 143 284 512
10 4 10 29 52 143 267 440
11 4 10 31 53 143 251 382
12 6 10 34 53 143 236 334
13 6 11 36 53 143 236 294
14 6 12 39 53 143 236 261
15 6 13 42 54 143 236 236
16 7 13 44 54 143 236 236
17 8 15 47 55 143 236 236
18 8 16 50 57 144 237 237
19 9 16 52 60 144 237 237
20 9 17 55 61 145 238 238
21 9 19 58 64 146 239 239
22 10 19 59 66 147 240 240
23 10 20 62 68 147 241 241
24 11 21 65 71 148 241 241
25 11 22 68 73 148 241 241
26 11 22 71 75 149 242 242
27 12 24 73 77 149 242 242
28 12 25 76 80 149 243 243
29 13 25 78 81 150 243 243
30 14 27 81 83 150 243 243

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 69 93 215 316 3 191
2 49 64 70 94 216 355 2 382
3 49 64 73 98 210 368 1 801
4 48 64 75 101 207 368 1 392
5 48 65 77 102 206 358 1 103
6 49 67 79 105 205 345 894
7 49 69 80 106 204 328 739
8 48 69 80 108 203 311 621
9 48 69 81 110 202 296 528
10 47 68 81 111 201 294 454
11 46 67 80 110 199 293 394
12 44 65 79 108 198 291 345
13 42 64 77 107 196 289 304
14 41 62 75 105 195 288 288
15 39 61 74 104 193 286 286
16 38 59 72 102 191 284 284
17 36 58 71 101 190 283 283
18 35 57 70 100 189 282 282
19 34 56 69 99 188 281 281
20 34 55 68 98 187 281 281
21 33 54 68 98 187 280 280
22 32 54 67 97 186 279 279
23 32 53 66 96 186 279 279
24 31 52 67 96 185 278 278
25 30 52 70 95 184 277 277
26 30 51 72 94 183 277 277
27 29 50 75 93 183 276 276
28 28 50 77 93 182 275 275
29 28 49 81 92 181 275 275
30 27 48 83 91 181 274 274

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
1 109 124 130 154 276 371 3 443
2 110 125 131 155 277 380 2 569
3 111 126 135 161 273 394 1 940
4 112 128 139 165 271 393 1 499
5 113 130 142 167 271 383 1 187
6 114 133 145 170 271 369 962
7 115 135 146 172 270 363 795
8 114 135 146 173 269 362 668
9 114 135 147 176 268 361 568
10 113 134 147 177 267 360 489
11 112 133 146 176 265 359 424
12 110 131 144 174 263 357 371
13 108 129 142 172 261 354 354
14 105 127 140 170 259 352 352
15 103 124 137 167 257 350 350
16 100 122 135 165 254 347 347
17 98 119 132 162 252 345 345
18 96 117 130 160 249 343 343
19 94 115 128 158 247 341 341
20 92 113 126 156 246 339 339
21 90 112 125 155 244 337 337
22 88 110 123 153 242 335 335
23 87 108 121 151 240 333 333
24 85 106 119 149 239 332 332
25 83 104 117 147 237 330 330
26 81 103 116 146 235 328 328
27 80 101 114 144 233 326 326
28 78 99 112 142 232 325 325
29 76 98 111 141 230 323 323
30 75 96 109 139 229 322 322

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
1 169 183 190 213 335 431 3 433
2 178 192 199 222 345 440 2 584
3 181 197 205 231 343 438 1 963
4 182 198 209 236 341 435 1 521
5 183 200 212 237 341 434 1 207
6 183 201 213 239 339 432 978
7 183 202 213 239 338 431 808
8 181 201 213 240 336 429 678
9 180 201 213 242 334 428 577
10 179 200 213 243 333 426 496
11 177 198 212 241 331 424 431
12 175 196 209 239 328 421 421
13 172 193 206 236 325 418 418
14 168 190 203 233 322 415 415
15 165 187 200 230 319 412 412
16 162 183 196 226 316 409 409
17 159 180 193 223 312 406 406
18 156 177 190 220 309 402 402
19 152 174 187 217 306 399 399
20 149 171 184 214 303 396 396
21 146 168 181 211 300 393 393
22 143 164 178 208 297 390 390
23 140 161 174 204 294 387 387
24 137 158 171 201 290 384 384
25 134 155 168 198 287 381 381
26 131 152 165 195 284 377 377
27 128 149 162 192 281 375 375
28 125 146 159 189 278 372 372
29 122 143 156 186 276 369 369
30 119 141 154 184 273 366 366

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 22 36 43 66 188 323 3 266
2 23 37 44 67 189 362 2 437
3 22 38 46 72 184 375 1 840
4 22 38 49 76 181 374 1 420
5 23 40 52 77 181 364 1 124
6 23 42 54 80 180 350 910
7 24 44 55 81 179 333 751
8 23 43 55 82 178 315 630
9 23 44 56 85 177 297 536
10 22 44 57 86 176 279 460
11 22 43 56 86 176 269 399
12 21 43 56 86 175 268 349
13 21 42 55 85 174 267 307
14 20 41 55 85 174 267 272
15 20 41 54 84 174 267 267
16 20 41 54 84 173 267 267
17 20 41 54 84 173 266 266
18 20 41 54 84 173 266 266
19 20 41 54 84 173 267 267
20 20 41 57 84 174 267 267
21 20 41 59 84 174 267 267
22 20 41 62 84 174 267 267
23 20 41 65 84 173 267 267
24 20 41 67 84 173 266 266
25 19 41 70 84 173 266 266
26 19 41 72 84 173 266 266
27 19 40 75 83 173 266 266
28 19 40 78 83 172 266 266
29 18 40 81 83 172 265 265
30 18 39 83 86 172 265 265

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 18 32 39 62 184 323 3 265
2 20 34 41 64 186 362 2 436
3 21 36 45 71 182 375 1 838
4 22 39 49 76 181 374 1 419
5 24 42 54 79 182 364 1 123
6 26 45 56 82 182 349 909
7 28 48 59 85 183 333 751
8 28 49 60 87 183 315 630
9 29 50 62 91 183 297 536
10 30 51 64 93 184 279 461
11 30 52 65 95 184 277 400
12 30 52 65 95 184 277 350
13 30 52 65 95 184 277 308
14 30 52 65 95 184 277 277
15 30 51 65 95 184 277 277
16 30 51 64 94 183 276 276
17 30 51 64 94 183 276 276
18 30 51 64 94 183 276 276
19 30 51 64 94 183 276 276
20 30 51 64 94 184 277 277
21 30 51 65 95 184 277 277
22 30 51 65 95 184 277 277
23 30 51 65 94 184 277 277
24 30 51 67 94 183 277 277
25 29 51 70 94 183 276 276
26 29 50 72 93 183 276 276
27 28 50 76 93 182 275 275
28 28 49 78 92 182 275 275
29 27 49 81 92 181 274 274
30 27 48 84 91 181 274 274

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
1 119 133 140 163 285 381 3 523
2 118 132 139 162 284 387 2 623
3 116 131 140 166 277 400 1 976
4 115 132 142 169 274 398 1 522
5 115 133 145 170 273 387 1 202
6 115 134 146 171 272 371 972
7 116 136 147 173 271 364 801
8 115 135 147 174 270 363 672
9 114 135 147 176 269 362 570
10 114 135 148 178 268 361 490
11 114 135 148 178 267 360 424
12 112 134 147 177 266 359 371
13 111 133 146 176 265 358 358
14 110 131 144 174 264 357 357
15 108 129 142 172 261 355 355
16 106 127 140 170 259 352 352
17 103 124 137 167 256 350 350
18 101 122 135 165 254 347 347
19 98 120 133 163 252 345 345
20 96 118 131 161 250 343 343
21 94 115 128 158 248 341 341
22 92 113 126 156 245 339 339
23 89 111 124 154 243 336 336
24 87 109 122 152 241 334 334
25 85 107 120 150 239 332 332
26 83 104 118 147 237 330 330
27 81 102 115 145 235 328 328
28 79 100 113 143 233 326 326
29 77 98 111 141 231 324 324
30 75 96 110 140 229 322 322

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 3 10 33 155 312 3 150
2 0 5 12 35 157 351 2 352
3 1 7 16 42 153 364 1 777
4 1 9 20 47 152 363 1 374
5 2 12 25 49 153 354 1 088
6 2 16 27 53 153 340 882
7 3 19 30 56 154 324 729
8 4 19 31 58 154 307 612
9 4 20 33 61 154 289 521
10 4 21 34 63 154 272 448
11 4 21 34 64 154 256 389
12 6 21 35 64 153 246 340
13 6 21 38 64 153 246 300
14 6 21 39 64 153 246 265
15 7 20 42 63 153 246 246
16 7 20 45 63 152 245 245
17 8 20 48 63 152 246 246
18 8 20 50 63 152 246 246
19 9 20 53 63 153 246 246
20 9 21 55 64 153 246 246
21 10 21 58 65 154 247 247
22 10 22 61 67 154 247 247
23 10 22 63 69 155 248 248
24 11 22 66 71 155 248 248
25 11 23 68 73 155 248 248
26 12 23 71 75 155 248 248
27 12 24 73 78 155 249 249
28 12 25 77 80 156 249 249
29 14 25 79 82 156 249 249
30 14 27 81 84 156 249 249

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 74 196 314 3 171
2 30 44 51 74 197 353 2 366
3 29 44 53 78 190 366 1 786
4 28 44 55 81 187 364 1 379
5 28 45 57 82 186 354 1 091
6 31 49 61 87 187 340 883
7 28 48 59 85 183 324 729
8 33 53 64 92 187 306 612
9 32 53 65 94 186 289 520
10 26 48 61 90 180 273 447
11 22 43 56 86 175 268 388
12 18 39 53 82 172 265 339
13 15 37 50 80 169 262 299
14 13 35 48 78 167 260 264
15 12 33 46 76 166 259 259
16 10 32 45 75 164 257 257
17 9 31 48 74 163 256 256
18 9 30 50 73 162 256 256
19 9 30 52 73 162 255 255
20 9 30 55 73 162 255 255
21 9 30 58 73 162 255 255
22 10 30 60 73 162 255 255
23 10 30 63 73 162 255 255
24 11 30 66 73 162 255 255
25 11 30 68 73 162 255 255
26 11 30 71 75 162 255 255
27 12 29 73 77 162 255 255
28 12 29 76 80 162 255 255
29 14 29 79 81 162 255 255
30 14 29 81 84 162 255 255

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
1 182 196 203 226 348 444 3 764
2 179 194 200 224 346 441 2 792
3 175 190 199 225 336 432 2 105
4 171 187 198 225 330 424 1 619
5 167 185 197 222 325 419 1 276
6 165 183 195 221 321 414 1 029
7 162 182 193 219 317 410 847
8 158 178 190 217 313 406 709
9 155 175 188 216 309 402 602
10 151 172 185 215 305 398 517
11 147 169 182 211 301 394 447
12 143 165 178 208 297 390 390
13 140 161 174 204 293 386 386
14 136 157 170 200 290 383 383
15 132 154 167 197 286 379 379
16 129 151 164 194 283 376 376
17 126 147 161 191 280 373 373
18 123 145 158 188 277 370 370
19 120 142 155 185 274 367 367
20 118 139 152 182 272 365 365
21 115 137 150 180 269 362 362
22 113 134 147 177 266 360 360
23 110 132 145 175 264 357 357
24 108 129 142 172 261 355 355
25 105 127 140 170 259 352 352
26 103 124 137 167 257 350 350
27 101 122 135 165 254 348 348
28 98 120 133 163 252 345 345
29 96 118 131 161 250 343 343
30 94 116 129 159 248 341 341

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 26 54 173 314 3 169
2 0 15 26 54 173 353 2 366
3 1 17 29 58 170 366 1 786
4 1 20 32 63 169 364 1 380
5 2 23 37 69 170 355 1 092
6 4 26 40 70 171 341 885
7 6 31 42 72 171 324 731
8 9 34 46 74 171 307 613
9 10 37 50 76 172 290 522
10 11 38 51 76 172 272 449
11 12 40 52 78 172 265 389
12 13 41 54 79 172 265 340
13 13 42 54 80 172 265 300
14 14 43 55 80 172 265 265
15 14 43 55 80 172 265 265
16 14 43 55 80 172 265 265
17 14 43 55 80 172 265 265
18 14 43 55 80 172 265 265
19 14 43 55 80 172 265 265
20 14 43 55 80 172 266 266
21 14 43 58 80 173 266 266
22 14 43 61 80 173 266 266
23 14 43 63 80 173 266 266
24 14 43 66 80 173 266 266
25 14 43 68 80 173 266 266
26 14 43 71 80 173 266 266
27 14 43 73 80 173 266 266
28 14 43 76 80 173 266 266
29 14 43 79 82 173 266 266
30 14 43 81 84 173 266 266

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 12 133 307 3 090
2 0 1 6 15 132 344 2 301
3 1 1 9 18 125 356 1 735
4 1 3 12 21 121 354 1 339
5 2 4 15 24 121 345 1 060
6 2 4 18 27 120 331 858
7 3 6 20 30 120 315 708
8 4 6 23 32 120 298 595
9 4 8 26 35 120 281 506
10 4 8 28 37 121 264 435
11 4 9 31 40 121 248 377
12 6 10 33 42 121 232 330
13 6 11 36 44 121 218 291
14 6 12 39 47 122 215 257
15 6 13 41 49 122 215 229
16 7 13 44 51 122 215 215
17 7 14 46 54 123 216 216
18 8 16 49 57 125 216 216
19 9 16 51 58 128 217 217
20 9 17 54 61 130 217 217
21 9 18 56 63 132 218 218
22 10 19 59 65 133 219 219
23 10 20 62 67 135 219 219
24 11 20 64 69 136 219 219
25 11 22 67 71 138 220 220
26 11 22 69 73 140 220 220
27 12 23 72 76 141 220 220
28 12 24 74 78 142 220 220
29 13 25 76 80 143 220 220
30 13 25 79 81 144 220 220

ANNEX III

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

Currency National insurance market Volatility adjustment (in bps)
Euro Austria 7
Euro Belgium 7
Euro Cyprus 7
Euro Estonia 7
Euro Finland 7
Euro France 7
Euro Germany 7
Euro Greece 7
Euro Ireland 7
Euro Italy 7
Euro Latvia 7
Euro Lithuania 7
Euro Luxembourg 7
Euro Malta 7
Euro Netherlands 7
Euro Portugal 7
Euro Slovakia 7
Euro Slovenia 7
Euro Spain 7
Czech koruna Czech Republic 3
Danish krone Denmark 34
Forint Hungary 2
Krona Sweden 3
Kuna Croatia 5
Lev Bulgaria – 3
Pound sterling United Kingdom 20
Romanian leu Romania – 3
Zloty Poland 12
Króna Iceland 7
Norwegian krone Norway 18
Swiss franc Liechtenstein – 1
Swiss franc Switzerland – 1
Australian dollar Australia 10
Canadian dollar Canada 8
US dollar United States 34
Yen Japan 1

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