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Commission Implementing Regulation (EU) 2019/1285 of 30 July 2019 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 June 2019 until 29 September 2019 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 2019-07-31
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 62 85 206 303 3 110
2 42 56 62 85 206 341 2 306
3 41 56 64 89 199 354 1 735
4 40 56 66 92 196 353 1 339
5 40 57 69 93 195 344 1 060
6 41 58 70 95 194 331 859
7 41 60 71 96 193 315 711
8 40 59 71 98 192 298 597
9 39 59 71 100 191 284 509
10 39 59 72 101 190 283 438
11 38 59 72 101 189 282 381
12 37 58 71 100 188 281 333
13 37 57 70 99 187 281 294
14 36 56 69 99 187 280 280
15 35 56 69 98 186 279 279
16 34 55 68 97 185 278 278
17 34 54 67 97 185 278 278
18 33 54 67 96 184 277 277
19 33 53 66 96 184 277 277
20 33 53 66 96 183 277 277
21 32 53 66 95 183 276 276
22 32 53 66 95 183 276 276
23 32 52 65 94 182 275 275
24 31 52 64 94 182 275 275
25 30 51 65 93 181 274 274
26 30 50 67 93 180 274 274
27 29 50 70 92 180 273 273
28 28 49 72 91 179 272 272
29 28 48 74 91 178 272 272
30 27 48 77 90 178 271 271

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 11 25 31 54 175 306 3 138
2 15 29 35 58 179 344 2 329
3 18 32 41 66 176 358 1 754
4 20 36 46 72 176 357 1 353
5 23 39 51 75 177 348 1 071
6 22 39 51 76 175 334 868
7 27 46 57 82 179 318 718
8 26 45 57 83 178 301 603
9 27 47 59 87 178 284 513
10 29 49 62 91 180 273 442
11 30 51 63 93 181 274 384
12 31 51 64 93 181 275 336
13 31 52 65 94 182 275 296
14 31 52 65 94 182 275 275
15 31 52 65 94 182 275 275
16 31 51 64 94 182 275 275
17 31 51 64 94 182 275 275
18 30 51 64 93 181 274 274
19 30 50 63 93 181 274 274
20 30 50 63 93 181 274 274
21 30 50 63 93 180 274 274
22 30 50 63 92 180 273 273
23 29 50 63 92 180 273 273
24 29 49 62 92 179 273 273
25 28 49 65 91 179 272 272
26 28 48 67 91 179 272 272
27 27 48 70 90 178 271 271
28 27 47 72 90 178 271 271
29 26 47 75 89 177 270 270
30 26 46 77 89 176 270 270

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 11 24 31 53 174 307 3 155
2 12 25 32 54 175 346 2 338
3 12 27 35 60 171 359 1 759
4 13 28 38 64 168 357 1 356
5 13 30 42 66 168 348 1 073
6 15 33 44 70 168 334 869
7 17 35 46 72 168 318 718
8 17 36 47 74 168 301 603
9 17 37 49 77 168 284 513
10 17 38 51 79 168 267 442
11 18 38 51 80 169 262 384
12 18 38 51 81 169 262 336
13 18 39 51 81 169 262 296
14 18 39 52 81 169 262 262
15 18 39 52 81 169 262 262
16 18 38 51 81 169 262 262
17 18 38 51 81 169 262 262
18 18 38 51 81 169 262 262
19 18 38 51 81 169 262 262
20 18 39 52 81 169 262 262
21 18 38 55 81 169 262 262
22 18 38 57 81 168 262 262
23 17 38 60 80 168 261 261
24 17 38 62 80 168 261 261
25 17 37 65 79 167 260 260
26 16 37 67 79 167 260 260
27 16 36 70 79 166 260 260
28 15 36 72 78 166 259 259
29 15 36 74 78 166 259 259
30 15 35 77 78 165 259 259

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 46 59 66 88 209 309 3 177
2 49 62 69 91 212 348 2 357
3 51 65 74 99 209 362 1 777
4 52 67 78 103 208 362 1 372
5 53 70 82 106 208 353 1 088
6 55 73 84 110 208 339 882
7 56 75 86 111 208 323 730
8 56 75 87 114 208 306 614
9 56 76 88 116 207 301 523
10 56 77 89 118 207 300 450
11 56 77 89 119 207 300 391
12 55 76 89 118 206 299 343
13 55 75 88 117 205 298 302
14 54 74 87 116 204 298 298
15 53 73 86 116 203 297 297
16 52 72 85 115 203 296 296
17 51 72 85 114 202 295 295
18 50 71 84 113 201 294 294
19 50 70 83 113 200 294 294
20 49 70 82 112 200 293 293
21 48 69 82 111 199 292 292
22 47 68 81 110 198 291 291
23 47 67 80 109 197 290 290
24 46 66 79 108 196 290 290
25 45 65 78 108 195 289 289
26 44 64 77 107 195 288 288
27 43 63 76 106 194 287 287
28 42 62 75 105 193 286 286
29 41 62 76 104 192 285 285
30 40 61 78 103 191 284 284

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 77 90 97 119 240 335 3 270
2 81 94 101 123 244 360 2 441
3 81 95 104 129 239 374 1 841
4 80 96 106 132 236 374 1 423
5 83 99 111 136 238 365 1 127
6 85 102 114 139 238 352 915
7 87 105 116 142 238 335 758
8 88 107 119 145 239 333 638
9 89 109 121 149 240 333 544
10 89 109 122 151 240 333 468
11 89 109 122 151 239 333 407
12 88 108 121 151 238 332 356
13 87 107 120 149 237 330 330
14 85 106 119 148 236 329 329
15 84 104 117 146 234 328 328
16 82 103 116 145 233 326 326
17 81 101 114 144 231 325 325
18 79 100 113 142 230 323 323
19 78 99 111 141 229 322 322
20 77 97 110 140 227 321 321
21 75 96 109 138 226 319 319
22 74 94 107 137 224 318 318
23 72 93 106 135 223 316 316
24 71 91 104 133 221 315 315
25 69 90 103 132 220 313 313
26 67 88 101 130 218 311 311
27 66 86 99 129 217 310 310
28 64 85 98 127 215 308 308
29 63 83 96 126 214 307 307
30 61 82 95 124 212 305 305

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 4 17 24 46 167 307 3 153
2 7 21 27 50 171 345 2 332
3 9 23 32 57 167 358 1 755
4 11 26 37 63 167 357 1 353
5 13 29 41 66 168 347 1 070
6 15 33 44 69 168 333 867
7 17 35 46 72 168 317 717
8 17 36 48 74 168 300 602
9 17 37 49 78 169 283 513
10 18 38 51 80 169 266 441
11 18 38 51 80 168 262 383
12 17 38 51 80 168 261 335
13 17 37 50 80 168 261 295
14 16 37 50 79 167 260 261
15 15 36 49 78 166 259 259
16 15 35 48 77 165 258 258
17 14 35 48 77 165 258 258
18 14 34 48 77 164 258 258
19 14 34 50 76 164 257 257
20 14 34 52 77 164 258 258
21 14 34 55 77 165 258 258
22 14 34 57 77 165 258 258
23 14 34 60 77 164 258 258
24 14 34 62 77 164 258 258
25 14 34 65 76 164 257 257
26 13 34 67 76 164 257 257
27 13 34 70 76 164 257 257
28 13 34 72 76 164 257 257
29 13 33 75 76 164 257 257
30 13 33 77 77 163 257 257

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 90 103 110 132 253 348 3 375
2 90 104 110 133 253 369 2 514
3 89 104 112 137 248 384 1 896
4 89 104 115 141 245 384 1 465
5 89 106 118 142 244 375 1 160
6 90 108 120 145 244 360 940
7 91 110 121 146 243 343 777
8 91 110 122 149 243 336 653
9 90 110 122 151 242 335 556
10 89 110 122 151 240 333 478
11 88 108 121 150 238 332 415
12 86 106 119 149 236 330 363
13 84 104 117 147 235 328 328
14 82 102 115 145 233 326 326
15 80 101 114 143 231 324 324
16 78 99 112 141 229 322 322
17 76 97 110 139 227 320 320
18 75 95 108 138 226 319 319
19 73 94 107 136 224 317 317
20 72 93 106 135 223 316 316
21 71 92 105 134 222 315 315
22 70 91 104 133 221 314 314
23 69 90 103 132 220 313 313
24 68 88 101 131 219 312 312
25 67 87 100 130 217 311 311
26 66 86 99 128 216 310 310
27 64 85 98 127 215 308 308
28 63 84 97 126 214 307 307
29 62 83 96 125 213 306 306
30 61 82 95 124 212 305 305

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
1 333 347 353 376 497 592 3 481
2 77 90 97 119 240 376 2 571
3 79 93 102 127 237 390 1 931
4 81 96 107 133 237 388 1 488
5 83 99 111 136 238 378 1 177
6 85 103 114 140 238 364 953
7 87 106 117 142 239 346 787
8 88 107 119 145 239 333 661
9 88 108 120 149 240 333 563
10 88 109 122 150 239 333 484
11 88 109 122 151 239 332 421
12 89 109 122 151 239 332 368
13 89 109 122 152 240 333 333
14 89 110 123 152 240 333 333
15 90 111 124 153 241 334 334
16 91 112 125 154 242 335 335
17 92 113 126 155 243 336 336
18 93 114 127 156 244 337 337
19 94 114 127 157 245 338 338
20 95 115 128 157 245 338 338
21 95 115 128 158 245 339 339
22 94 115 128 157 245 338 338
23 94 114 127 157 245 338 338
24 93 114 126 156 244 337 337
25 92 113 125 155 243 336 336
26 91 111 124 154 242 335 335
27 90 110 123 152 240 333 333
28 88 109 122 151 239 332 332
29 87 107 120 150 238 331 331
30 85 106 119 148 236 329 329

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 5 12 34 155 301 3 089
2 0 5 12 34 155 339 2 292
3 1 5 14 39 149 353 1 725
4 1 5 16 42 146 351 1 331
5 1 6 18 43 145 342 1 053
6 2 8 20 45 144 329 853
7 2 10 21 47 143 313 705
8 2 10 22 48 142 296 592
9 2 10 25 50 141 279 504
10 4 10 27 52 141 262 434
11 4 11 30 53 141 246 377
12 4 11 32 53 141 234 330
13 4 11 35 53 141 234 291
14 4 12 38 53 141 234 258
15 5 12 39 53 141 234 234
16 5 13 42 53 141 234 234
17 6 14 45 54 142 235 235
18 6 15 47 54 142 235 235
19 7 15 49 55 143 236 236
20 7 17 52 56 144 237 237
21 7 17 54 59 144 238 238
22 8 18 57 61 145 238 238
23 8 19 60 63 146 239 239
24 8 20 61 65 146 239 239
25 9 20 64 66 147 240 240
26 9 22 66 68 147 240 240
27 9 22 69 71 147 241 241
28 10 23 72 73 148 241 241
29 10 24 74 75 148 241 241
30 11 25 77 77 148 242 242

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 62 68 91 211 307 3 134
2 49 63 69 91 212 344 2 323
3 48 63 71 96 207 357 1 749
4 48 63 73 99 203 356 1 349
5 48 64 76 100 202 347 1 068
6 49 66 78 103 202 333 865
7 49 67 78 104 200 317 716
8 48 68 79 106 200 300 601
9 48 68 80 108 199 292 512
10 47 67 80 109 198 291 441
11 46 66 79 108 196 289 383
12 44 65 77 107 195 288 335
13 42 63 76 105 193 286 296
14 41 61 74 104 192 285 285
15 40 60 73 102 190 284 284
16 38 58 71 101 189 282 282
17 37 57 70 100 188 281 281
18 36 56 69 99 186 280 280
19 35 55 68 98 185 279 279
20 34 55 68 97 185 278 278
21 34 54 67 97 184 278 278
22 33 54 67 96 184 277 277
23 32 53 66 95 183 276 276
24 32 52 65 95 182 276 276
25 31 51 65 94 182 275 275
26 30 51 67 93 181 274 274
27 30 50 70 92 180 273 273
28 29 49 72 92 180 273 273
29 28 49 75 91 179 272 272
30 28 48 77 90 178 272 272

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
1 111 124 131 153 274 369 3 408
2 112 125 132 154 275 371 2 531
3 113 127 136 161 271 386 1 907
4 113 129 139 165 269 386 1 472
5 114 131 143 167 269 376 1 166
6 116 133 145 170 269 362 946
7 117 135 146 172 268 362 783
8 116 135 147 173 267 361 658
9 115 135 147 176 267 360 561
10 115 135 148 177 266 359 483
11 113 134 147 176 264 357 420
12 112 132 145 174 262 355 368
13 110 130 143 172 260 353 353
14 107 128 141 170 258 351 351
15 105 126 139 168 256 349 349
16 103 123 136 166 253 347 347
17 101 121 134 163 251 344 344
18 98 119 132 161 249 342 342
19 96 117 130 159 247 340 340
20 95 115 128 157 245 338 338
21 93 113 126 156 244 337 337
22 91 112 124 154 242 335 335
23 89 110 123 152 240 333 333
24 87 108 121 150 238 331 331
25 86 106 119 148 236 329 329
26 84 104 117 147 234 328 328
27 82 103 116 145 233 326 326
28 80 101 114 143 231 324 324
29 79 99 112 142 229 323 323
30 77 98 111 140 228 321 321

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
1 167 180 187 209 330 425 3 350
2 176 190 196 219 339 435 2 495
3 180 194 203 228 338 433 1 888
4 181 196 207 233 337 431 1 460
5 182 198 210 234 337 430 1 158
6 182 199 211 236 335 428 939
7 182 201 212 237 334 427 777
8 181 200 211 238 332 425 653
9 179 199 211 240 331 424 556
10 178 199 212 240 329 423 479
11 177 197 210 239 327 421 421
12 174 195 208 237 325 418 418
13 171 192 205 234 322 415 415
14 168 189 202 231 319 412 412
15 165 185 198 228 316 409 409
16 162 182 195 225 312 406 406
17 159 179 192 221 309 402 402
18 155 176 189 218 306 399 399
19 152 173 186 215 303 396 396
20 149 170 183 212 300 393 393
21 146 167 180 209 297 390 390
22 143 164 177 206 294 387 387
23 140 160 173 203 291 384 384
24 137 157 170 200 287 381 381
25 134 154 167 197 284 378 378
26 131 151 164 193 281 375 375
27 128 148 161 191 278 372 372
28 125 145 158 188 276 369 369
29 122 143 155 185 273 366 366
30 119 140 153 182 270 363 363

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 25 38 45 67 188 310 3 193
2 25 39 45 68 189 350 2 371
3 25 39 48 73 183 364 1 786
4 25 40 51 76 180 363 1 379
5 25 42 53 78 180 354 1 092
6 26 43 55 80 179 340 885
7 27 45 56 82 178 324 732
8 25 45 56 83 177 307 615
9 25 45 57 85 176 289 523
10 24 45 58 86 175 272 451
11 24 44 57 87 175 268 391
12 23 44 57 86 174 267 343
13 23 43 56 85 173 267 302
14 22 43 56 85 173 266 267
15 22 42 55 85 173 266 266
16 22 42 55 85 172 266 266
17 22 42 55 84 172 266 266
18 22 42 55 84 172 266 266
19 22 42 55 85 172 266 266
20 22 42 55 85 172 266 266
21 22 42 56 85 173 266 266
22 22 42 59 85 172 266 266
23 22 42 61 84 172 266 266
24 21 42 64 84 172 265 265
25 21 42 66 84 172 265 265
26 21 41 69 84 172 265 265
27 21 41 71 83 171 265 265
28 20 41 74 83 171 264 264
29 20 41 76 83 171 264 264
30 20 40 78 83 170 264 264

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 21 35 41 64 185 314 3 230
2 23 37 43 65 186 354 2 398
3 24 38 47 72 182 367 1 806
4 25 40 51 77 181 366 1 393
5 27 43 55 80 182 357 1 102
6 29 46 58 83 182 343 893
7 31 49 60 86 182 326 738
8 31 50 61 88 182 309 620
9 31 51 63 91 182 291 528
10 32 52 65 94 183 276 454
11 32 53 66 95 183 276 395
12 33 53 66 95 183 276 345
13 32 53 66 95 183 276 304
14 32 53 66 95 183 276 276
15 32 53 66 95 183 276 276
16 32 52 65 94 182 276 276
17 32 52 65 94 182 276 276
18 32 52 65 94 182 276 276
19 32 52 65 95 182 276 276
20 32 53 65 95 183 276 276
21 32 53 66 95 183 276 276
22 32 53 66 95 183 276 276
23 32 52 65 95 183 276 276
24 32 52 65 94 182 275 275
25 31 52 66 94 182 275 275
26 31 51 69 94 181 275 275
27 30 51 71 93 181 274 274
28 30 50 74 93 180 274 274
29 29 50 77 92 180 273 273
30 29 49 79 92 179 273 273

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
1 121 135 141 164 284 380 3 464
2 120 133 140 162 283 378 2 571
3 118 132 141 166 276 391 1 936
4 117 133 143 169 273 390 1 494
5 117 134 146 170 272 380 1 182
6 117 135 146 172 270 366 958
7 118 136 147 173 269 362 792
8 117 136 148 174 268 362 665
9 116 136 148 176 267 360 567
10 116 136 149 178 266 360 488
11 115 135 148 178 266 359 423
12 114 134 147 177 264 358 370
13 112 133 146 175 263 356 356
14 111 132 145 174 262 355 355
15 109 129 142 172 260 353 353
16 107 127 140 170 257 351 351
17 104 124 137 167 255 348 348
18 102 122 135 165 252 346 346
19 100 120 133 162 250 343 343
20 97 118 131 160 248 341 341
21 95 116 129 158 246 339 339
22 93 113 126 156 244 337 337
23 91 111 124 153 241 335 335
24 88 109 122 151 239 332 332
25 86 107 120 149 237 330 330
26 84 105 118 147 235 328 328
27 82 103 115 145 233 326 326
28 80 100 113 143 231 324 324
29 78 99 111 141 229 322 322
30 76 97 110 139 227 320 320

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 5 12 34 155 307 3 149
2 0 7 14 36 157 345 2 334
3 1 9 18 43 153 358 1 757
4 1 11 22 48 152 357 1 355
5 1 14 26 50 153 348 1 073
6 2 17 29 54 153 334 869
7 2 20 31 57 153 318 719
8 2 21 32 59 153 301 604
9 3 22 34 62 153 284 514
10 4 22 35 64 153 267 443
11 4 23 36 65 153 251 384
12 4 22 35 65 152 246 337
13 4 22 35 64 152 245 296
14 4 22 38 64 152 245 263
15 5 22 41 64 152 245 245
16 6 21 43 64 151 245 245
17 6 21 45 64 152 245 245
18 6 21 48 64 152 245 245
19 7 22 50 64 152 245 245
20 7 22 53 64 152 246 246
21 7 23 55 65 153 246 246
22 8 23 57 65 153 246 246
23 8 23 60 66 153 247 247
24 8 23 62 66 154 247 247
25 9 24 65 68 154 247 247
26 9 24 67 70 154 247 247
27 10 24 70 72 154 247 247
28 10 24 72 74 154 247 247
29 10 25 75 75 154 248 248
30 11 25 77 77 154 248 248

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 31 44 51 73 194 306 3 143
2 31 44 51 73 194 344 2 329
3 29 44 52 77 188 357 1 752
4 28 44 54 80 184 356 1 351
5 28 45 57 81 183 347 1 069
6 31 48 60 85 184 333 865
7 29 48 58 84 181 317 715
8 33 52 63 90 184 300 600
9 32 52 64 92 183 282 511
10 27 47 60 89 177 271 440
11 22 43 55 85 173 266 382
12 19 39 52 81 169 263 334
13 16 37 50 79 167 260 294
14 14 35 48 77 165 258 260
15 13 33 46 76 163 257 257
16 11 32 45 74 162 255 255
17 10 31 45 73 161 254 254
18 10 30 48 72 160 254 254
19 9 30 49 72 160 253 253
20 9 30 52 72 160 253 253
21 9 30 54 72 160 253 253
22 9 30 57 72 160 253 253
23 9 30 60 72 160 253 253
24 9 30 62 72 160 253 253
25 9 30 65 72 160 253 253
26 9 29 66 72 160 253 253
27 9 29 70 72 159 253 253
28 10 29 72 73 159 253 253
29 10 29 74 75 159 252 252
30 11 29 77 77 159 252 252

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
1 194 207 214 236 357 452 4 245
2 190 203 210 232 353 448 3 103
3 184 199 207 232 343 455 2 305
4 180 195 205 231 335 449 1 757
5 175 192 204 228 330 435 1 381
6 172 189 201 226 325 418 1 109
7 169 187 198 224 320 414 909
8 164 184 195 222 316 409 758
9 160 180 192 221 312 405 642
10 156 177 190 218 307 401 550
11 152 173 186 215 303 396 475
12 148 169 182 211 299 392 414
13 144 165 178 207 295 388 388
14 140 161 174 203 291 384 384
15 137 157 170 200 288 381 381
16 134 154 167 196 284 377 377
17 130 151 164 193 281 374 374
18 127 148 161 190 278 371 371
19 124 145 158 187 275 368 368
20 122 142 155 185 272 366 366
21 119 140 152 182 270 363 363
22 116 137 150 179 267 360 360
23 114 134 147 177 264 358 358
24 111 132 145 174 262 355 355
25 109 129 142 171 259 353 353
26 106 127 140 169 257 350 350
27 104 124 137 167 255 348 348
28 102 122 135 164 252 346 346
29 99 120 133 162 250 343 343
30 97 118 131 160 248 341 341

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 14 26 52 173 308 3 164
2 0 14 26 52 173 346 2 342
3 1 17 28 57 169 359 1 761
4 1 20 32 62 168 358 1 358
5 2 23 37 67 169 348 1 074
6 4 26 39 69 170 335 871
7 7 30 42 71 170 319 720
8 9 34 46 74 170 301 604
9 11 37 49 76 170 284 515
10 12 38 51 77 170 267 443
11 12 40 52 78 170 263 385
12 13 41 54 79 170 263 337
13 14 42 54 80 170 263 297
14 14 43 55 80 170 263 263
15 14 43 55 80 170 263 263
16 14 43 55 80 170 263 263
17 14 43 55 80 170 263 263
18 14 43 55 80 170 263 263
19 14 43 55 80 170 263 263
20 14 43 55 80 170 264 264
21 14 43 55 80 171 264 264
22 14 43 57 80 171 264 264
23 14 43 60 80 171 264 264
24 14 43 62 80 171 264 264
25 14 43 65 80 171 264 264
26 14 43 67 80 171 264 264
27 14 43 70 80 170 264 264
28 14 43 72 80 170 263 263
29 14 43 75 80 170 263 263
30 14 43 77 80 170 263 263

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 12 133 298 3 058
2 0 1 6 14 131 336 2 267
3 1 1 9 17 125 349 1 706
4 1 3 11 19 121 348 1 315
5 1 4 14 22 120 338 1 041
6 2 4 16 25 120 325 843
7 2 6 19 28 119 309 697
8 2 6 22 30 119 293 586
9 2 7 25 32 119 276 499
10 4 8 27 34 119 259 429
11 4 9 29 37 120 243 373
12 4 10 32 39 120 228 326
13 4 10 35 41 120 214 287
14 4 11 36 43 120 213 255
15 5 12 39 46 121 214 227
16 5 12 42 48 121 214 214
17 6 14 44 49 121 214 214
18 6 15 46 52 122 215 215
19 7 15 49 54 122 215 215
20 7 17 52 56 123 216 216
21 7 17 53 58 124 217 217
22 8 18 56 59 125 217 217
23 8 18 58 62 126 217 217
24 8 20 61 64 129 218 218
25 9 20 63 66 130 218 218
26 9 21 66 68 130 218 218
27 9 22 67 70 132 218 218
28 10 23 70 71 133 218 218
29 10 23 73 73 134 218 218
30 10 25 75 75 135 218 218

ANNEX III

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

Currency National insurance market Volatility adjustment (in bps)
Euro Austria 9
Euro Belgium 9
Euro Cyprus 9
Euro Estonia 9
Euro Finland 9
Euro France 9
Euro Germany 9
Euro Greece 9
Euro Ireland 9
Euro Italy 9
Euro Latvia 9
Euro Lithuania 9
Euro Luxembourg 9
Euro Malta 9
Euro Netherlands 9
Euro Portugal 9
Euro Slovakia 9
Euro Slovenia 9
Euro Spain 9
Czech koruna Czech Republic 12
Danish krone Denmark 5
Forint Hungary 3
Krona Sweden 9
Kuna Croatia – 1
Lev Bulgaria 2
Pound sterling United Kingdom 20
Romanian leu Romania 4
Zloty Poland 11
Króna Iceland – 1
Norwegian krone Norway 40
Swiss franc Liechtenstein 6
Swiss franc Switzerland 6
Australian dollar Australia 10
Canadian dollar Canada 31
US dollar United States 37
Yen Japan 1

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