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Commission Implementing Regulation (EU) 2019/1902 of 7 November 2019 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 September 2019 until 30 December 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 2019-11-14
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 62 84 205 302 3102
2 42 56 62 84 205 340 2300
3 41 55 64 89 199 354 1731
4 40 55 66 92 195 352 1335
5 40 56 68 93 194 343 1056
6 40 58 70 95 193 330 856
7 41 60 70 96 192 314 708
8 40 59 71 97 191 297 595
9 39 59 71 99 190 284 506
10 39 59 72 101 189 283 436
11 38 59 71 101 188 282 379
12 37 58 71 100 187 281 332
13 37 57 70 99 187 280 292
14 36 56 69 99 186 280 280
15 35 56 69 98 185 279 279
16 34 55 68 97 185 278 278
17 34 54 67 96 184 278 278
18 33 54 67 96 183 277 277
19 33 53 66 95 183 277 277
20 33 53 66 95 183 276 276
21 32 53 66 95 183 276 276
22 32 52 65 95 182 276 276
23 32 52 65 94 182 275 275
24 31 51 64 94 181 275 275
25 30 51 64 93 181 274 274
26 30 50 66 92 180 274 274
27 29 49 69 92 179 273 273
28 28 49 71 91 179 272 272
29 28 48 73 90 178 272 272
30 27 47 76 90 177 271 271

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 12 25 31 54 174 305 3129
2 16 29 35 58 178 343 2320
3 18 32 41 66 176 356 1746
4 21 36 46 72 176 355 1347
5 23 39 51 75 177 346 1066
6 22 40 51 76 175 332 864
7 27 46 57 82 178 316 714
8 26 45 57 83 177 299 600
9 27 47 59 87 178 282 510
10 29 49 62 91 179 273 439
11 30 50 63 92 180 274 381
12 31 51 64 93 181 275 334
13 31 52 64 94 181 275 294
14 31 52 65 94 182 275 275
15 32 52 65 94 182 275 275
16 31 51 64 94 181 275 275
17 31 51 64 94 181 275 275
18 30 51 64 93 180 274 274
19 30 50 63 93 180 274 274
20 30 50 63 93 180 274 274
21 30 50 63 92 180 274 274
22 30 50 63 92 180 273 273
23 29 50 63 92 179 273 273
24 29 49 62 91 179 273 273
25 28 49 65 91 179 272 272
26 28 48 67 91 178 272 272
27 27 48 70 90 178 271 271
28 27 47 72 89 177 271 271
29 26 47 75 89 177 270 270
30 26 46 77 88 176 270 270

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 3160
2 12 25 32 54 175 346 2342
3 13 27 35 60 170 359 1761
4 13 28 39 64 168 358 1357
5 14 30 42 66 168 348 1073
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 77 168 283 513
10 18 38 51 79 168 266 442
11 18 38 51 80 168 262 383
12 18 39 51 81 168 262 336
13 18 39 52 81 168 262 296
14 18 39 52 81 169 262 262
15 18 39 52 81 169 262 262
16 18 38 51 81 168 262 262
17 18 39 51 81 168 262 262
18 18 38 51 81 168 262 262
19 18 38 51 81 168 262 262
20 18 39 52 81 168 262 262
21 18 39 55 81 168 262 262
22 18 38 57 80 168 262 262
23 18 38 60 80 168 261 261
24 17 38 62 80 167 261 261
25 17 37 65 79 167 261 261
26 16 37 67 79 166 260 260
27 16 36 70 78 166 260 260
28 16 36 72 78 166 259 259
29 15 36 74 78 165 259 259
30 15 35 77 77 165 259 259

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 88 208 306 3141
2 49 62 68 91 211 345 2332
3 51 65 74 98 209 359 1758
4 52 67 78 103 207 358 1358
5 53 70 81 106 207 349 1076
6 55 73 84 109 208 336 873
7 56 75 86 111 208 320 722
8 56 75 87 113 207 303 607
9 56 76 88 116 207 300 517
10 56 77 89 118 207 300 445
11 56 76 89 118 206 300 387
12 55 76 89 118 206 299 339
13 55 75 88 117 205 298 299
14 54 74 87 116 204 297 297
15 53 73 86 115 203 297 297
16 52 72 85 115 202 296 296
17 51 72 85 114 201 295 295
18 51 71 84 113 201 294 294
19 50 70 83 112 200 294 294
20 49 70 82 112 199 293 293
21 48 69 82 111 199 292 292
22 48 68 81 110 198 291 291
23 47 67 80 109 197 291 291
24 46 66 79 108 196 290 290
25 45 65 78 107 195 289 289
26 44 64 77 107 194 288 288
27 43 63 76 106 193 287 287
28 42 63 75 105 192 286 286
29 41 62 76 104 191 285 285
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 97 119 239 335 3274
2 81 94 101 123 244 360 2441
3 81 95 104 129 239 374 1841
4 80 96 106 132 236 374 1422
5 83 99 111 135 237 365 1127
6 85 103 114 139 238 351 915
7 87 106 116 142 238 335 757
8 88 107 119 145 239 333 637
9 89 109 121 149 240 333 543
10 89 110 122 151 240 333 468
11 89 109 122 151 239 333 406
12 88 108 121 151 238 332 356
13 87 107 120 149 237 331 331
14 85 106 119 148 235 329 329
15 84 104 117 146 234 328 328
16 83 103 116 145 233 326 326
17 81 101 114 144 231 325 325
18 80 100 113 142 230 323 323
19 78 99 112 141 229 322 322
20 77 97 110 140 227 321 321
21 76 96 109 138 226 319 319
22 74 94 107 137 224 318 318
23 73 93 106 135 223 316 316
24 71 91 104 134 221 315 315
25 69 90 103 132 220 313 313
26 68 88 101 130 218 312 312
27 66 87 99 129 216 310 310
28 65 85 98 127 215 308 308
29 63 84 96 126 213 307 307
30 62 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 18 24 46 167 308 3165
2 8 21 27 50 170 346 2343
3 9 24 32 57 167 359 1761
4 11 26 37 63 166 357 1357
5 13 29 41 66 167 348 1073
6 15 33 44 69 168 334 869
7 17 36 46 72 168 318 718
8 17 36 48 74 168 301 603
9 17 37 49 77 168 283 513
10 18 38 51 80 168 266 442
11 18 38 51 80 168 262 383
12 18 38 51 80 168 261 335
13 17 37 50 80 167 261 295
14 16 37 50 79 166 260 261
15 16 36 49 78 166 259 259
16 15 35 48 77 165 259 259
17 14 35 48 77 165 258 258
18 14 34 48 77 164 258 258
19 14 34 50 76 164 258 258
20 14 34 52 77 164 258 258
21 14 34 55 77 164 258 258
22 14 34 57 77 164 258 258
23 14 34 60 77 164 258 258
24 14 34 62 76 164 258 258
25 14 34 65 76 164 258 258
26 14 34 67 76 164 257 257
27 13 34 70 76 164 257 257
28 13 34 72 76 163 257 257
29 13 33 75 76 163 257 257
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 3350
2 90 104 110 133 253 367 2496
3 90 104 112 137 247 382 1884
4 89 105 115 141 245 382 1456
5 90 106 118 142 244 373 1154
6 91 108 120 145 243 359 936
7 92 110 121 146 243 342 774
8 91 111 122 149 243 336 651
9 91 111 123 151 242 335 554
10 90 110 123 151 240 334 477
11 88 108 121 150 238 332 414
12 86 107 120 149 236 330 362
13 84 105 118 147 234 328 328
14 82 103 116 145 233 326 326
15 81 101 114 143 231 324 324
16 79 99 112 141 229 322 322
17 77 97 110 140 227 321 321
18 75 96 109 138 226 319 319
19 74 94 107 137 224 318 318
20 73 93 106 136 223 317 317
21 72 92 105 134 222 316 316
22 71 91 104 133 221 315 315
23 70 90 103 132 220 313 313
24 68 89 102 131 219 312 312
25 67 88 100 130 217 311 311
26 66 86 99 129 216 310 310
27 65 85 98 127 215 309 309
28 64 84 97 126 214 308 308
29 63 83 96 125 213 306 306
30 62 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
1 332 345 351 374 494 590 3428
2 77 91 97 119 240 371 2534
3 79 94 102 127 237 385 1904
4 81 97 107 133 237 384 1468
5 83 100 112 136 238 374 1161
6 86 103 115 140 238 359 940
7 87 106 117 142 239 342 777
8 88 107 119 146 239 333 653
9 89 109 121 149 240 333 556
10 89 109 122 151 239 333 478
11 89 109 122 151 239 333 415
12 89 109 122 152 239 333 363
13 89 110 123 152 240 333 333
14 90 110 123 152 240 334 334
15 91 111 124 153 241 334 334
16 92 112 125 154 242 335 335
17 93 113 126 155 243 336 336
18 94 114 127 156 244 337 337
19 94 115 128 157 245 338 338
20 95 115 128 158 245 339 339
21 95 115 128 158 245 339 339
22 95 115 128 157 245 339 339
23 94 115 128 157 244 338 338
24 93 114 127 156 244 337 337
25 92 113 126 155 243 336 336
26 91 112 124 154 241 335 335
27 90 110 123 152 240 334 334
28 89 109 122 151 239 332 332
29 87 108 120 150 237 331 331
30 86 106 119 148 236 330 330

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 5 12 34 155 301 3090
2 0 5 12 34 155 340 2292
3 1 5 14 39 149 353 1725
4 1 6 16 42 145 351 1331
5 1 7 19 43 145 342 1054
6 2 8 20 45 144 329 854
7 2 11 21 47 143 313 705
8 2 10 22 49 142 296 593
9 2 10 25 50 141 279 504
10 4 11 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 53 141 235 235
16 5 13 42 53 141 235 235
17 6 14 45 54 142 235 235
18 6 15 47 54 142 236 236
19 7 15 49 55 143 236 236
20 7 17 52 56 143 237 237
21 7 17 54 59 144 238 238
22 8 18 57 61 145 239 239
23 8 19 60 63 146 239 239
24 8 20 61 65 146 240 240
25 9 20 64 66 146 240 240
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 61 68 90 211 306 3113
2 49 62 69 91 212 342 2308
3 48 62 71 96 206 355 1736
4 48 63 73 99 203 353 1339
5 48 64 76 100 202 344 1060
6 49 66 78 103 201 330 859
7 49 67 78 103 200 315 710
8 48 67 79 106 199 298 597
9 48 68 80 108 199 292 508
10 47 67 80 109 197 291 437
11 46 66 79 108 196 289 380
12 44 64 77 107 194 288 333
13 42 63 76 105 193 286 293
14 41 61 74 104 191 285 285
15 40 60 73 102 190 283 283
16 38 58 71 101 188 282 282
17 37 57 70 99 187 281 281
18 36 56 69 98 186 280 280
19 35 55 68 97 185 279 279
20 34 55 68 97 184 278 278
21 34 54 67 96 184 278 278
22 33 54 66 96 183 277 277
23 32 53 66 95 183 276 276
24 32 52 65 94 182 276 276
25 31 51 65 94 181 275 275
26 30 51 67 93 180 274 274
27 30 50 70 92 180 273 273
28 29 49 72 92 179 273 273
29 28 49 74 91 178 272 272
30 28 48 77 90 178 271 271

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 3400
2 112 126 132 154 275 371 2527
3 113 127 136 160 271 386 1905
4 114 129 139 165 269 385 1471
5 115 131 143 167 269 376 1165
6 116 133 145 170 269 362 945
7 117 135 146 172 268 362 782
8 116 135 147 173 267 361 657
9 116 135 147 176 266 360 560
10 115 135 148 177 265 359 483
11 114 134 147 176 264 358 419
12 112 132 145 175 262 356 367
13 110 130 143 173 260 354 354
14 108 128 141 170 258 352 352
15 106 126 139 168 256 349 349
16 103 124 136 166 253 347 347
17 101 121 134 164 251 345 345
18 99 119 132 161 249 343 343
19 97 117 130 159 247 341 341
20 95 115 128 158 245 339 339
21 93 114 127 156 244 337 337
22 92 112 125 154 242 335 335
23 90 110 123 152 240 333 333
24 88 108 121 150 238 332 332
25 86 106 119 149 236 330 330
26 84 105 118 147 234 328 328
27 83 103 116 145 233 326 326
28 81 101 114 143 231 325 325
29 79 100 113 142 229 323 323
30 78 98 111 140 228 322 322

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
1 166 180 186 208 329 425 3298
2 176 189 195 218 338 434 2467
3 179 194 202 227 337 433 1868
4 181 196 206 232 336 430 1447
5 181 198 210 234 336 429 1148
6 181 199 211 236 334 428 931
7 182 200 211 236 333 426 770
8 180 199 211 238 331 425 648
9 179 199 211 239 330 423 552
10 178 198 211 240 328 422 475
11 176 197 210 239 326 420 420
12 174 194 207 236 324 418 418
13 171 191 204 233 321 415 415
14 168 188 201 230 318 412 412
15 165 185 198 227 315 408 408
16 162 182 195 224 312 405 405
17 158 179 192 221 309 402 402
18 155 176 189 218 305 399 399
19 152 173 185 215 302 396 396
20 149 170 182 212 299 393 393
21 146 166 179 209 296 390 390
22 143 163 176 206 293 387 387
23 140 160 173 202 290 384 384
24 137 157 170 199 287 380 380
25 134 154 167 196 284 377 377
26 131 151 164 193 281 374 374
27 128 148 161 190 278 371 371
28 125 145 158 187 275 369 369
29 122 142 155 185 272 366 366
30 119 140 153 182 269 363 363

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 67 188 311 3195
2 26 39 46 68 188 350 2372
3 25 40 48 73 183 364 1787
4 25 40 51 76 180 363 1379
5 25 42 54 78 180 354 1092
6 26 44 55 80 179 340 885
7 27 45 56 82 178 324 732
8 26 45 56 83 177 307 615
9 25 45 57 85 176 289 524
10 25 45 58 87 175 272 451
11 24 45 58 87 175 268 391
12 24 44 57 86 174 267 343
13 23 43 56 86 173 267 302
14 23 43 56 85 173 266 267
15 22 43 56 85 172 266 266
16 22 42 55 85 172 266 266
17 22 42 55 85 172 266 266
18 22 42 55 85 172 266 266
19 22 42 55 85 172 266 266
20 22 43 56 85 172 266 266
21 22 43 56 85 172 266 266
22 22 43 59 85 172 266 266
23 22 42 61 85 172 266 266
24 22 42 64 84 172 266 266
25 22 42 66 84 172 265 265
26 21 42 69 84 171 265 265
27 21 41 71 84 171 265 265
28 21 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 22 35 42 64 184 313 3226
2 24 37 43 66 186 353 2395
3 25 39 47 72 182 367 1803
4 26 41 51 77 181 366 1390
5 27 44 56 80 182 356 1100
6 29 46 58 83 182 342 891
7 31 50 60 86 182 326 736
8 31 50 62 88 182 308 618
9 32 51 63 91 182 290 526
10 32 52 65 94 183 276 453
11 33 53 66 95 183 277 393
12 33 53 66 95 183 277 344
13 33 53 66 95 183 277 303
14 33 53 66 95 183 276 276
15 32 53 66 95 183 276 276
16 32 52 65 95 182 276 276
17 32 52 65 95 182 276 276
18 32 52 65 95 182 276 276
19 32 52 65 95 182 276 276
20 32 53 66 95 183 276 276
21 33 53 66 95 183 276 276
22 32 53 66 95 183 276 276
23 32 53 66 95 182 276 276
24 32 52 65 94 182 276 276
25 32 52 66 94 182 275 275
26 31 51 69 94 181 275 275
27 31 51 71 93 181 274 274
28 30 50 74 93 180 274 274
29 30 50 76 92 180 273 273
30 29 49 78 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 3422
2 120 133 140 162 283 378 2542
3 118 133 141 166 276 387 1915
4 117 133 143 169 273 386 1477
5 117 134 146 170 272 377 1168
6 117 135 146 172 270 364 946
7 118 136 147 173 269 363 782
8 117 136 148 174 268 362 657
9 116 136 148 176 267 360 559
10 116 136 149 178 266 360 481
11 115 136 149 178 265 359 418
12 114 134 147 177 264 358 365
13 113 133 146 175 263 357 357
14 111 132 145 174 262 355 355
15 109 130 142 172 259 353 353
16 107 127 140 170 257 351 351
17 104 125 138 167 254 348 348
18 102 122 135 165 252 346 346
19 100 120 133 162 250 344 344
20 98 118 131 160 248 342 342
21 95 116 129 158 246 339 339
22 93 114 126 156 243 337 337
23 91 111 124 154 241 335 335
24 89 109 122 151 239 333 333
25 87 107 120 149 237 330 330
26 84 105 118 147 235 328 328
27 82 103 116 145 233 326 326
28 80 101 114 143 230 324 324
29 78 99 112 141 228 322 322
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 6 12 35 155 306 3144
2 0 8 14 37 157 345 2332
3 1 10 18 43 153 358 1754
4 1 12 22 48 152 357 1353
5 1 14 26 51 152 347 1070
6 2 18 29 54 153 333 867
7 2 21 31 57 153 317 717
8 2 21 33 59 153 300 602
9 3 22 34 62 153 283 512
10 4 23 36 64 153 266 441
11 4 23 36 65 153 250 383
12 4 23 35 65 152 246 335
13 4 22 35 65 152 246 295
14 4 22 38 64 152 246 261
15 5 22 40 64 152 245 245
16 6 22 42 64 151 245 245
17 6 22 45 64 151 245 245
18 6 22 48 64 151 245 245
19 7 22 50 64 152 245 245
20 7 22 52 65 152 246 246
21 7 23 55 65 153 246 246
22 8 23 57 65 153 247 247
23 8 23 60 66 153 247 247
24 8 24 62 66 153 247 247
25 9 24 65 68 154 247 247
26 9 24 67 70 154 247 247
27 9 24 70 72 154 248 248
28 10 24 72 73 154 248 248
29 10 24 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 73 193 305 3132
2 31 44 51 73 194 343 2321
3 30 44 52 77 187 356 1746
4 28 44 54 80 184 355 1346
5 28 45 56 81 183 346 1065
6 31 48 60 85 184 332 862
7 29 48 58 84 180 316 712
8 33 52 63 90 184 299 598
9 32 52 64 92 183 281 509
10 27 47 60 88 177 271 438
11 22 42 55 84 172 266 380
12 19 39 52 81 169 263 333
13 16 37 50 79 166 260 293
14 14 35 48 77 164 258 260
15 13 33 46 75 163 257 257
16 11 32 45 74 161 255 255
17 11 31 45 73 161 254 254
18 10 30 47 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 61 72 159 253 253
25 9 30 64 72 159 253 253
26 9 29 66 72 159 253 253
27 9 29 69 71 159 253 253
28 10 29 71 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
1 195 208 215 237 358 453 3807
2 191 204 211 233 354 449 2834
3 185 200 208 233 343 439 2129
4 181 196 206 232 336 430 1640
5 176 193 204 229 330 424 1295
6 173 190 202 227 325 419 1046
7 170 188 199 224 321 414 861
8 165 184 196 223 316 410 722
9 161 181 193 221 312 406 613
10 157 178 190 219 308 401 526
11 153 174 187 216 304 397 456
12 149 170 183 212 299 393 398
13 145 166 179 208 295 389 389
14 141 162 175 204 292 385 385
15 138 158 171 200 288 382 382
16 134 155 168 197 285 378 378
17 131 152 164 194 281 375 375
18 128 149 161 191 278 372 372
19 125 146 159 188 275 369 369
20 123 143 156 185 273 366 366
21 120 140 153 182 270 364 364
22 117 138 150 180 267 361 361
23 115 135 148 177 265 358 358
24 112 132 145 175 262 356 356
25 109 130 143 172 260 353 353
26 107 127 140 170 257 351 351
27 105 125 138 167 255 348 348
28 102 123 136 165 252 346 346
29 100 121 133 163 250 344 344
30 98 118 131 161 248 342 342

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 52 173 307 3154
2 0 14 26 52 173 345 2335
3 1 17 28 56 169 358 1755
4 1 20 32 62 168 357 1353
5 2 23 36 67 169 347 1070
6 4 26 39 69 169 333 867
7 7 30 42 71 170 317 716
8 9 34 46 74 170 300 601
9 11 37 49 76 170 283 512
10 12 38 51 77 170 266 441
11 12 40 52 78 170 264 383
12 13 41 54 79 170 264 335
13 14 43 54 80 170 263 295
14 15 43 55 80 170 263 263
15 15 43 55 80 170 263 263
16 15 43 55 80 169 263 263
17 15 43 55 80 170 263 263
18 15 43 55 80 170 263 263
19 15 43 55 80 170 263 263
20 15 43 55 80 170 264 264
21 15 43 55 80 170 264 264
22 15 43 57 80 170 264 264
23 15 43 60 80 170 264 264
24 15 43 62 80 170 264 264
25 15 43 65 80 170 264 264
26 15 43 67 80 170 264 264
27 15 43 70 80 170 264 264
28 15 43 72 80 170 263 263
29 15 43 74 80 170 263 263
30 15 43 77 80 169 263 263

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 3056
2 0 1 6 14 131 336 2266
3 1 1 9 17 124 349 1705
4 1 3 11 19 121 347 1314
5 1 4 14 22 120 338 1040
6 2 4 16 25 120 325 843
7 2 6 19 28 119 309 697
8 2 6 22 30 119 292 585
9 2 7 25 32 119 276 498
10 4 8 27 34 119 259 429
11 4 9 29 37 119 243 373
12 4 10 32 39 120 228 326
13 4 10 35 41 120 214 287
14 4 11 36 43 120 214 254
15 5 12 39 46 120 214 226
16 5 12 42 48 121 214 214
17 6 14 44 49 121 215 215
18 6 15 46 52 121 215 215
19 7 15 49 53 122 216 216
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 62 126 218 218
24 8 20 61 64 128 218 218
25 9 20 63 66 130 218 218
26 9 21 65 68 130 218 218
27 9 22 67 70 132 218 218
28 10 23 70 71 133 218 218
29 10 23 72 73 134 218 218
30 10 25 75 75 134 218 218

ANNEX III

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

Currency National insurance market Volatility adjustment (in bps)
Euro Austria 11
Euro Belgium 11
Euro Cyprus 11
Euro Estonia 11
Euro Finland 11
Euro France 11
Euro Germany 11
Euro Greece 11
Euro Ireland 11
Euro Italy 11
Euro Latvia 11
Euro Lithuania 11
Euro Luxembourg 11
Euro Malta 11
Euro Netherlands 11
Euro Portugal 11
Euro Slovakia 11
Euro Slovenia 11
Euro Spain 11
Czech koruna Czech Republic 14
Danish krone Denmark 7
Forint Hungary 2
Krona Sweden 11
Kuna Croatia 1
Lev Bulgaria 5
Pound sterling United Kingdom 20
Romanian leu Romania 3
Zloty Poland 11
Króna Iceland 1
Norwegian krone Norway 45
Swiss franc Liechtenstein 10
Swiss franc Switzerland 10
Australian dollar Australia 11
Canadian dollar Canada 37
US dollar United States 42
Yen Japan 2

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