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Commission Implementing Regulation (EU) 2020/193 of 12 February 2020 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 December 2019 until 30 March 2020 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 2020-02-13
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 55 62 84 204 303 3106
2 42 55 62 84 204 341 2305
3 41 55 64 88 198 354 1735
4 40 55 66 91 195 354 1339
5 40 56 68 92 194 345 1061
6 40 58 69 94 193 331 860
7 41 59 70 95 192 315 711
8 40 59 70 97 190 299 598
9 39 59 71 99 189 283 509
10 39 59 72 100 189 282 438
11 38 58 71 100 188 282 381
12 37 58 70 100 187 281 333
13 37 57 70 99 186 280 294
14 36 56 69 98 186 279 279
15 35 56 68 98 185 279 279
16 34 55 67 97 184 278 278
17 34 54 67 96 183 277 277
18 33 54 66 96 183 277 277
19 33 53 66 95 182 276 276
20 33 53 66 95 182 276 276
21 32 53 66 95 182 276 276
22 32 52 65 94 182 276 276
23 32 52 65 94 181 275 275
24 31 51 64 93 181 274 274
25 30 51 65 93 180 274 274
26 30 50 67 92 179 273 273
27 29 49 70 91 179 273 273
28 28 49 72 91 178 272 272
29 28 48 74 90 177 271 271
30 27 47 77 89 177 271 271

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 32 54 174 304 3121
2 16 29 36 58 178 343 2316
3 18 32 41 66 175 356 1743
4 21 36 46 72 175 355 1345
5 23 39 51 75 177 346 1065
6 22 40 51 76 174 332 863
7 27 46 57 82 178 316 714
8 26 45 57 83 177 299 600
9 27 47 59 87 177 282 510
10 29 49 62 90 179 273 439
11 30 50 63 92 180 274 382
12 31 51 64 93 180 274 334
13 31 51 64 93 181 275 294
14 32 52 65 94 181 275 275
15 32 52 65 94 181 275 275
16 31 51 64 93 181 275 275
17 31 51 64 93 181 275 275
18 30 51 63 93 180 274 274
19 30 50 63 92 180 274 274
20 30 50 63 92 180 274 274
21 30 50 63 92 180 273 273
22 30 50 63 92 179 273 273
23 29 50 62 92 179 273 273
24 29 49 62 91 179 272 272
25 29 49 65 91 178 272 272
26 28 48 67 90 178 272 272
27 28 48 70 90 177 271 271
28 27 47 72 89 177 271 271
29 27 47 75 89 176 270 270
30 26 46 77 88 176 269 269

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 25 31 53 173 308 3163
2 13 26 32 54 175 347 2347
3 13 27 35 60 170 360 1767
4 13 28 39 64 168 359 1362
5 14 30 42 66 168 350 1078
6 16 33 45 70 168 336 873
7 17 36 46 72 168 320 722
8 17 36 48 74 168 302 606
9 17 37 49 77 168 285 516
10 18 38 51 79 168 268 444
11 18 38 51 80 168 262 386
12 18 39 52 81 168 262 337
13 19 39 52 81 168 262 297
14 19 39 52 81 168 262 263
15 19 39 52 81 168 262 262
16 18 39 51 81 168 262 262
17 18 39 52 81 168 262 262
18 18 39 51 81 168 262 262
19 18 38 51 81 168 262 262
20 18 39 53 81 168 262 262
21 18 39 55 81 168 262 262
22 18 38 57 80 168 262 262
23 18 38 60 80 167 261 261
24 17 38 62 80 167 261 261
25 17 37 65 79 167 260 260
26 17 37 67 79 166 260 260
27 16 36 70 78 166 260 260
28 16 36 72 78 165 259 259
29 15 36 75 78 165 259 259
30 15 35 77 77 165 258 258

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 65 88 208 306 3146
2 49 62 68 90 211 345 2335
3 51 65 73 98 208 359 1760
4 52 67 77 103 206 359 1360
5 53 69 81 105 207 350 1079
6 55 72 84 109 207 337 875
7 56 75 86 111 207 321 724
8 56 75 86 113 207 305 609
9 56 76 88 116 206 300 519
10 56 76 89 118 206 300 447
11 56 76 89 118 206 300 389
12 56 76 89 118 205 299 340
13 55 75 88 117 204 298 300
14 54 74 87 116 203 297 297
15 53 73 86 115 203 296 296
16 52 72 85 114 202 296 296
17 51 72 85 114 201 295 295
18 51 71 84 113 200 294 294
19 50 70 83 112 200 294 294
20 49 70 82 112 199 293 293
21 49 69 82 111 198 292 292
22 48 68 81 110 197 291 291
23 47 67 80 109 197 290 290
24 46 66 79 108 196 290 290
25 45 65 78 107 195 289 289
26 44 64 77 106 194 288 288
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 41 61 78 103 190 284 284

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 3275
2 81 94 101 123 243 360 2446
3 81 95 104 129 238 376 1847
4 81 96 106 132 235 375 1427
5 83 99 111 135 237 366 1131
6 85 103 114 139 238 353 918
7 87 106 116 142 238 337 760
8 88 107 119 145 239 333 640
9 89 109 121 149 239 333 545
10 90 110 122 151 239 333 470
11 89 109 122 151 239 333 408
12 88 109 121 151 238 332 357
13 87 107 120 149 237 331 331
14 86 106 119 148 235 329 329
15 84 104 117 146 234 328 328
16 83 103 116 145 232 326 326
17 81 102 115 144 231 325 325
18 80 100 113 142 230 324 324
19 79 99 112 141 228 322 322
20 77 98 110 140 227 321 321
21 76 96 109 138 226 319 319
22 74 95 108 137 224 318 318
23 73 93 106 135 222 316 316
24 71 92 104 134 221 315 315
25 70 90 103 132 219 313 313
26 68 88 101 130 218 312 312
27 67 87 100 129 216 310 310
28 65 85 98 127 215 308 308
29 63 84 97 126 213 307 307
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 5 18 25 47 167 308 3169
2 8 21 28 50 170 347 2349
3 10 24 32 57 167 360 1767
4 11 27 37 63 166 359 1362
5 13 30 42 66 167 349 1078
6 15 33 44 69 168 335 873
7 17 36 46 72 168 319 721
8 17 36 48 74 168 302 606
9 18 37 49 77 168 285 516
10 18 38 51 79 168 268 444
11 18 38 51 80 168 262 385
12 18 38 51 80 167 261 337
13 17 37 50 80 167 261 297
14 17 37 50 79 166 260 263
15 16 36 49 78 165 259 259
16 15 35 48 77 165 258 258
17 15 35 48 77 164 258 258
18 14 34 48 77 164 258 258
19 14 34 50 76 164 258 258
20 14 34 53 77 164 258 258
21 14 35 55 77 164 258 258
22 14 35 57 77 164 258 258
23 14 35 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 76 163 257 257
27 14 34 70 76 163 257 257
28 14 34 72 76 163 257 257
29 13 34 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 90 103 110 132 252 348 3350
2 91 104 110 133 253 367 2498
3 90 104 113 137 247 383 1886
4 90 105 115 141 244 383 1458
5 90 106 118 142 244 373 1155
6 91 108 120 145 243 359 937
7 92 110 121 147 243 342 775
8 92 111 122 149 242 336 651
9 91 111 123 151 241 335 554
10 90 110 123 151 240 334 477
11 89 109 122 151 238 332 414
12 87 107 120 149 236 330 362
13 85 105 118 147 234 328 328
14 83 103 116 145 233 326 326
15 81 101 114 143 231 325 325
16 79 99 112 141 229 323 323
17 77 98 111 140 227 321 321
18 76 96 109 138 225 319 319
19 75 95 108 137 224 318 318
20 74 94 107 136 223 317 317
21 72 93 106 135 222 316 316
22 71 91 104 134 221 315 315
23 70 90 103 132 220 314 314
24 69 89 102 131 218 312 312
25 68 88 101 130 217 311 311
26 67 87 100 129 216 310 310
27 65 86 98 128 215 309 309
28 64 84 97 127 214 308 308
29 63 83 96 125 213 307 307
30 62 82 95 124 212 306 306

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
1 330 343 349 371 492 588 3423
2 78 91 98 120 240 371 2534
3 80 94 102 127 237 385 1905
4 82 97 107 133 237 384 1469
5 84 100 112 136 238 374 1162
6 86 103 115 140 238 360 941
7 88 106 117 142 238 343 778
8 89 108 119 146 239 333 653
9 89 109 121 149 239 333 556
10 89 109 122 151 239 333 478
11 89 110 122 151 239 333 415
12 89 110 123 152 239 333 363
13 90 110 123 152 239 333 333
14 90 110 123 153 240 334 334
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 95 115 128 157 244 338 338
20 95 116 128 158 245 339 339
21 96 116 129 158 245 339 339
22 95 115 128 157 245 339 339
23 95 115 128 157 244 338 338
24 94 114 127 156 243 337 337
25 93 113 126 155 242 336 336
26 92 112 125 154 241 335 335
27 90 110 123 152 240 334 334
28 89 109 122 151 238 332 332
29 88 108 121 150 237 331 331
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 34 154 301 3087
2 0 5 12 34 154 339 2290
3 1 6 14 39 149 352 1724
4 1 6 16 42 145 351 1330
5 1 7 19 43 144 342 1053
6 2 9 20 45 144 328 853
7 2 11 22 47 143 313 705
8 2 11 22 49 142 296 592
9 2 10 25 51 141 279 504
10 4 11 27 52 141 262 434
11 4 11 30 53 140 246 377
12 4 11 32 53 140 234 330
13 4 11 35 53 140 234 291
14 4 12 38 53 141 234 258
15 5 12 39 54 141 235 235
16 5 13 42 54 141 235 235
17 6 14 45 54 141 235 235
18 6 15 47 54 142 236 236
19 7 15 49 55 142 236 236
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 63 145 239 239
24 8 20 61 65 146 240 240
25 9 20 64 66 146 240 240
26 9 22 66 68 147 241 241
27 9 22 69 71 147 241 241
28 10 23 71 73 147 241 241
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 90 210 306 3125
2 49 62 69 91 211 343 2319
3 48 62 71 95 205 356 1746
4 47 63 73 99 202 356 1347
5 47 64 75 100 201 346 1067
6 48 66 77 102 201 333 865
7 49 67 78 103 199 317 715
8 48 67 79 105 199 300 601
9 48 67 79 107 198 292 512
10 47 67 80 108 197 290 441
11 45 66 79 108 195 289 383
12 44 64 77 106 194 287 335
13 42 63 76 105 192 286 295
14 41 61 74 103 191 284 284
15 40 60 73 102 189 283 283
16 38 58 71 100 188 282 282
17 37 57 70 99 187 280 280
18 36 56 69 98 185 279 279
19 35 55 68 97 185 278 278
20 34 55 68 97 184 278 278
21 34 54 67 96 183 277 277
22 33 53 66 95 183 277 277
23 33 53 66 95 182 276 276
24 32 52 65 94 181 275 275
25 31 51 65 93 181 275 275
26 30 51 67 93 180 274 274
27 30 50 70 92 179 273 273
28 29 49 72 91 179 273 273
29 28 49 75 91 178 272 272
30 28 48 77 90 177 271 271

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
1 111 125 131 153 273 369 3399
2 112 126 132 154 274 371 2525
3 113 127 136 160 270 385 1903
4 114 129 139 165 268 385 1469
5 115 131 143 167 269 376 1164
6 116 133 145 170 268 362 945
7 117 136 146 172 268 362 782
8 116 136 147 173 267 361 657
9 116 136 148 176 266 360 560
10 115 135 148 177 265 359 483
11 114 134 147 176 264 358 420
12 112 133 145 175 262 356 367
13 110 131 144 173 260 354 354
14 108 129 141 171 258 352 352
15 106 126 139 168 256 350 350
16 104 124 137 166 253 347 347
17 102 122 135 164 251 345 345
18 99 120 132 162 249 343 343
19 97 118 130 160 247 341 341
20 96 116 129 158 245 339 339
21 94 114 127 156 244 337 337
22 92 112 125 154 242 336 336
23 90 110 123 153 240 334 334
24 88 109 122 151 238 332 332
25 87 107 120 149 236 330 330
26 85 105 118 147 234 328 328
27 83 103 116 145 233 327 327
28 81 102 115 144 231 325 325
29 80 100 113 142 229 323 323
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
1 166 179 185 207 328 424 3284
2 175 188 195 217 337 433 2459
3 179 193 201 226 336 432 1863
4 180 195 206 231 335 429 1443
5 181 197 209 233 334 428 1145
6 181 198 210 235 333 427 929
7 181 200 210 236 332 426 768
8 180 199 210 237 330 424 646
9 179 198 210 238 329 423 550
10 178 198 211 239 327 421 473
11 176 196 209 238 326 419 419
12 173 194 207 236 323 417 417
13 171 191 204 233 320 414 414
14 168 188 201 230 317 411 411
15 164 185 197 227 314 408 408
16 161 181 194 223 311 405 405
17 158 178 191 220 308 402 402
18 155 175 188 217 305 398 398
19 152 172 185 214 302 395 395
20 149 169 182 211 299 392 392
21 146 166 179 208 296 389 389
22 143 163 176 205 292 386 386
23 140 160 173 202 289 383 383
24 137 157 170 199 286 380 380
25 133 154 167 196 283 377 377
26 130 151 164 193 280 374 374
27 128 148 161 190 277 371 371
28 125 145 158 187 274 368 368
29 122 142 155 184 271 365 365
30 119 139 152 181 269 363 363

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 67 187 310 3192
2 26 39 46 68 188 350 2371
3 26 40 48 73 183 364 1787
4 25 40 51 77 180 363 1379
5 26 42 54 78 180 354 1092
6 27 44 55 80 179 340 885
7 27 46 57 82 178 324 732
8 26 45 57 83 177 307 615
9 26 45 57 85 176 289 524
10 25 45 58 87 175 272 451
11 25 45 58 87 174 268 392
12 24 44 57 86 174 268 343
13 24 44 57 86 173 267 302
14 23 43 56 85 173 267 267
15 23 43 56 85 172 266 266
16 23 43 56 85 172 266 266
17 23 43 56 85 172 266 266
18 23 43 56 85 172 266 266
19 23 43 56 85 172 266 266
20 23 43 56 85 172 266 266
21 23 43 56 85 172 266 266
22 23 43 59 85 172 266 266
23 22 43 61 85 172 266 266
24 22 42 64 85 172 266 266
25 22 42 66 84 172 265 265
26 22 42 69 84 171 265 265
27 21 42 71 84 171 265 265
28 21 41 74 83 171 265 265
29 21 41 76 83 170 264 264
30 20 41 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 36 42 64 184 314 3229
2 24 37 44 66 186 354 2397
3 25 39 48 72 182 367 1805
4 26 41 52 77 181 366 1392
5 28 44 56 80 181 357 1101
6 29 47 58 83 182 343 892
7 31 50 61 86 182 326 737
8 31 51 62 88 182 308 619
9 32 52 64 92 182 291 527
10 33 53 65 94 182 276 453
11 33 53 66 95 183 277 394
12 33 53 66 96 183 277 345
13 33 53 66 95 183 277 303
14 33 53 66 95 183 276 276
15 33 53 66 95 182 276 276
16 32 53 65 95 182 276 276
17 32 53 66 95 182 276 276
18 32 53 65 95 182 276 276
19 32 53 66 95 182 276 276
20 33 53 66 95 182 276 276
21 33 53 66 95 182 276 276
22 33 53 66 95 182 276 276
23 33 53 66 95 182 276 276
24 32 52 65 95 182 276 276
25 32 52 66 94 181 275 275
26 31 52 69 94 181 275 275
27 31 51 71 93 180 274 274
28 30 51 74 93 180 274 274
29 30 50 76 92 179 273 273
30 29 50 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
1 122 135 141 163 284 379 3388
2 120 133 140 162 282 378 2515
3 119 133 141 166 276 383 1894
4 118 133 143 169 272 383 1461
5 118 134 146 170 271 373 1156
6 117 135 146 171 270 364 937
7 118 136 147 173 269 363 775
8 117 136 148 174 268 362 651
9 116 136 148 176 266 360 555
10 116 136 149 177 266 360 478
11 115 136 148 177 265 359 415
12 114 134 147 176 264 358 363
13 113 133 146 175 263 356 356
14 112 132 145 174 261 355 355
15 109 130 142 172 259 353 353
16 107 127 140 169 257 351 351
17 105 125 138 167 254 348 348
18 102 123 135 165 252 346 346
19 100 120 133 162 250 344 344
20 98 118 131 160 248 341 341
21 96 116 129 158 245 339 339
22 93 114 127 156 243 337 337
23 91 111 124 154 241 335 335
24 89 109 122 151 239 333 333
25 87 107 120 149 236 330 330
26 85 105 118 147 234 328 328
27 83 103 116 145 232 326 326
28 81 101 114 143 230 324 324
29 79 99 112 141 228 322 322
30 77 97 110 139 226 320 320

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 13 35 155 305 3134
2 0 8 15 37 157 344 2325
3 1 10 18 43 153 357 1750
4 1 12 22 48 151 356 1350
5 1 15 27 51 152 347 1069
6 2 18 29 54 153 333 866
7 2 21 32 57 153 317 716
8 2 22 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 65 152 250 383
12 4 23 36 65 152 246 335
13 4 23 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 64 151 245 245
20 7 23 52 65 152 246 246
21 7 23 55 65 152 246 246
22 8 23 57 65 153 247 247
23 8 24 60 66 153 247 247
24 8 24 62 66 153 247 247
25 9 24 65 68 153 247 247
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 50 73 193 305 3134
2 31 44 51 73 193 344 2323
3 30 44 52 77 187 357 1748
4 29 44 54 80 183 356 1348
5 28 45 56 81 182 346 1067
6 31 48 60 85 183 332 864
7 29 47 58 84 180 316 714
8 33 52 63 90 183 299 600
9 32 52 64 92 182 282 510
10 27 47 60 88 177 270 439
11 22 42 55 84 172 266 381
12 19 39 52 81 169 262 334
13 16 37 50 79 166 260 294
14 15 35 48 77 164 258 260
15 13 33 46 75 163 257 257
16 12 32 45 74 161 255 255
17 11 31 45 73 160 254 254
18 10 30 48 72 160 253 253
19 10 30 49 72 159 253 253
20 10 30 52 72 159 253 253
21 10 30 54 72 159 253 253
22 10 30 57 72 159 253 253
23 10 30 60 72 159 253 253
24 9 30 62 72 159 253 253
25 9 30 64 72 159 253 253
26 9 29 66 71 159 253 253
27 9 29 69 71 159 253 253
28 10 29 71 73 159 252 252
29 10 29 74 75 158 252 252
30 11 29 77 77 158 252 252

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
1 196 209 215 237 358 454 3728
2 192 205 211 233 354 450 2779
3 186 200 209 233 343 439 2091
4 181 196 207 232 336 430 1613
5 177 193 205 229 331 424 1271
6 173 191 202 227 326 419 1026
7 170 189 200 225 321 415 845
8 166 185 196 223 316 410 707
9 162 182 193 222 312 406 600
10 158 178 191 219 308 402 514
11 154 174 187 216 304 397 444
12 150 170 183 212 299 393 393
13 146 166 179 208 295 389 389
14 142 162 175 204 292 386 386
15 138 159 172 201 288 382 382
16 135 155 168 197 285 379 379
17 132 152 165 194 281 375 375
18 129 149 162 191 278 372 372
19 126 146 159 188 275 369 369
20 123 143 156 185 273 367 367
21 120 141 154 183 270 364 364
22 118 138 151 180 267 361 361
23 115 135 148 177 265 359 359
24 113 133 146 175 262 356 356
25 110 130 143 172 260 353 353
26 108 128 141 170 257 351 351
27 105 125 138 167 255 349 349
28 103 123 136 165 252 346 346
29 101 121 134 163 250 344 344
30 99 119 132 161 248 342 342

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 52 172 307 3151
2 0 14 26 52 172 345 2336
3 1 17 28 56 169 359 1758
4 1 20 32 61 167 357 1356
5 2 23 36 67 168 348 1073
6 4 26 39 69 169 334 869
7 7 30 42 71 169 318 719
8 9 34 46 74 169 301 604
9 11 37 49 76 169 284 514
10 12 38 51 77 170 267 442
11 13 40 52 78 170 263 384
12 13 41 54 79 170 263 336
13 14 43 54 80 170 263 296
14 15 43 55 80 169 263 263
15 15 43 55 80 169 263 263
16 15 43 55 80 169 263 263
17 15 43 55 80 169 263 263
18 15 43 55 80 169 263 263
19 15 43 55 80 169 263 263
20 15 43 55 80 170 263 263
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 80 170 263 263
28 15 43 72 80 169 263 263
29 15 43 74 80 169 263 263
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 12 133 299 3063
2 0 1 6 14 131 337 2272
3 1 1 9 17 124 350 1709
4 1 3 11 19 121 348 1318
5 1 4 15 22 120 339 1043
6 2 4 16 25 119 326 845
7 2 6 19 28 119 310 698
8 2 6 22 30 119 293 587
9 2 7 25 32 119 276 500
10 4 8 27 34 119 260 430
11 4 9 29 37 119 244 373
12 4 10 32 39 119 229 327
13 4 10 35 41 120 214 288
14 4 11 36 43 120 214 255
15 5 12 39 46 120 214 227
16 5 12 42 48 120 214 214
17 6 14 44 49 121 215 215
18 6 15 46 52 121 215 215
19 7 15 49 54 122 216 216
20 7 17 52 56 122 216 216
21 7 17 53 58 124 217 217
22 8 18 56 59 125 217 217
23 8 18 58 62 127 218 218
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 68 70 132 218 218
28 10 23 71 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 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 13
Danish krone Denmark 20
Forint Hungary 1
Krona Sweden 10
Kuna Croatia 0
Lev Bulgaria -2
Pound sterling United Kingdom 15
Romanian leu Romania 3
Zloty Poland 8
Króna Iceland -1
Norwegian krone Norway 40
Swiss franc Liechtenstein 5
Swiss franc Switzerland 5
Australian dollar Australia 8
Canadian dollar Canada 33
US dollar United States 29
Yen Japan 2

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