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Commission Implementing Regulation (EU) 2021/1354 of 6 August 2021 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 June 2021 until 29 September 2021 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 2021-08-13
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 80 93 99 121 239 335 3303
2 79 91 97 119 238 358 2460
3 77 90 98 122 231 376 1854
4 75 89 99 124 227 377 1430
5 73 88 100 124 224 369 1131
6 73 89 100 125 222 356 916
7 72 89 100 125 220 339 756
8 70 88 99 125 218 322 635
9 68 87 98 126 216 310 540
10 67 86 98 126 214 308 464
11 66 85 98 126 213 307 403
12 64 83 96 124 211 305 352
13 63 82 95 123 210 304 310
14 61 81 93 122 208 302 302
15 60 79 92 120 207 301 301
16 59 78 91 119 206 300 300
17 58 77 90 118 205 299 299
18 57 76 89 117 204 298 298
19 56 75 88 116 203 297 297
20 55 75 87 116 202 296 296
21 54 74 86 115 201 295 295
22 53 73 85 114 200 294 294
23 52 72 84 113 199 293 293
24 51 71 83 112 198 292 292
25 50 70 82 111 197 291 291
26 49 68 81 110 196 290 290
27 48 67 80 108 195 289 289
28 47 66 79 107 194 288 288
29 46 65 78 106 193 287 287
30 45 64 77 105 192 286 286

3.10   Zloty

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 52 65 71 93 211 308 3200
2 52 64 71 92 211 348 2384
3 50 64 72 96 205 366 1799
4 49 64 74 99 201 368 1389
5 49 64 76 99 200 360 1100
6 49 65 76 101 198 347 890
7 49 66 77 102 197 331 735
8 48 66 77 103 195 313 617
9 46 65 77 104 194 296 525
10 46 65 77 105 193 287 451
11 45 64 77 105 192 286 391
12 44 64 76 105 191 285 342
13 44 63 76 104 191 285 301
14 43 62 75 103 190 284 284
15 43 62 74 103 189 284 284
16 42 61 74 102 188 283 283
17 41 60 73 101 188 282 282
18 41 60 73 101 187 282 282
19 40 59 72 100 187 281 281
20 40 59 72 100 187 281 281
21 40 59 72 100 187 281 281
22 39 59 71 100 186 280 280
23 39 58 71 99 186 280 280
24 38 57 70 98 185 279 279
25 38 57 69 98 184 279 279
26 37 56 69 97 184 278 278
27 36 55 69 96 183 277 277
28 35 55 71 96 182 276 276
29 35 54 73 95 182 276 276
30 34 53 76 94 181 275 275

3.11   Norwegian krone

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 27 39 46 67 186 305 3233
2 28 40 47 68 187 352 2411
3 26 40 48 72 181 369 1818
4 25 40 50 75 177 370 1401
5 26 41 53 76 177 362 1107
6 26 43 54 79 176 348 895
7 27 44 55 80 175 332 739
8 26 44 55 82 174 314 619
9 26 45 56 84 173 296 526
10 26 45 57 85 173 278 452
11 25 44 57 85 172 266 392
12 25 44 56 85 171 266 343
13 24 43 56 84 171 265 301
14 23 42 55 84 170 264 267
15 23 42 55 83 169 264 264
16 22 41 54 82 169 263 263
17 22 41 53 82 168 263 263
18 21 40 53 82 168 262 262
19 21 40 53 81 168 262 262
20 21 40 53 81 168 262 262
21 21 40 54 81 168 262 262
22 21 40 57 81 168 262 262
23 21 40 58 81 168 262 262
24 21 40 61 81 168 262 262
25 20 40 63 81 167 261 261
26 20 39 66 80 167 261 261
27 20 39 68 80 167 261 261
28 20 39 71 80 166 261 261
29 19 39 73 80 166 260 260
30 19 38 76 79 166 260 260

3.12   Swiss franc

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 24 142 299 3162
2 0 1 6 25 143 343 2348
3 1 1 8 30 138 359 1766
4 1 3 11 34 136 360 1360
5 1 4 14 36 136 352 1075
6 2 4 16 39 136 339 870
7 2 6 19 41 136 323 718
8 2 6 22 43 136 306 603
9 3 7 23 46 136 288 512
10 4 8 26 48 136 271 440
11 4 9 29 50 137 254 382
12 4 10 31 49 135 238 334
13 4 10 34 50 136 231 293
14 4 12 35 50 136 230 259
15 5 12 38 48 135 229 231
16 6 13 41 48 134 228 228
17 6 14 43 50 134 228 228
18 6 15 45 52 134 228 228
19 7 15 47 54 134 229 229
20 7 17 50 56 135 229 229
21 7 17 53 58 135 229 229
22 8 18 54 60 135 229 229
23 8 18 57 61 135 229 229
24 8 20 59 64 135 229 229
25 9 20 62 66 135 229 229
26 9 21 64 68 135 229 229
27 10 23 67 70 137 229 229
28 10 23 68 71 138 229 229
29 10 24 71 73 139 229 229
30 11 25 74 75 141 229 229

3.13   Australian 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 41 54 60 82 200 303 3205
2 41 54 60 82 200 348 2384
3 40 54 62 86 195 365 1796
4 40 54 64 89 192 366 1386
5 40 55 67 90 191 359 1096
6 40 57 68 92 190 346 888
7 41 58 69 94 189 330 734
8 40 58 69 95 188 312 616
9 39 58 70 97 187 295 524
10 39 58 70 98 186 280 450
11 38 58 70 99 185 279 391
12 38 57 70 98 184 279 342
13 37 56 69 97 184 278 301
14 36 56 68 97 183 277 277
15 36 55 68 96 183 277 277
16 35 54 67 95 182 276 276
17 35 54 66 95 181 276 276
18 34 53 66 94 181 275 275
19 34 53 65 94 180 275 275
20 33 53 65 94 180 274 274
21 33 52 65 93 180 274 274
22 33 52 65 93 179 274 274
23 32 51 64 92 179 273 273
24 32 51 63 92 178 273 273
25 31 50 63 91 178 272 272
26 30 49 66 90 177 271 271
27 29 49 68 90 176 270 270
28 29 48 71 89 176 270 270
29 28 47 73 88 175 269 269
30 27 47 76 88 174 268 268

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 13 25 32 54 172 305 3224
2 17 29 36 57 176 350 2396
3 19 33 41 65 173 367 1804
4 21 36 46 71 173 368 1391
5 24 39 51 74 175 360 1101
6 23 40 51 76 173 347 892
7 28 46 56 81 176 331 736
8 27 45 56 82 175 314 618
9 28 47 59 86 176 296 526
10 30 49 61 89 177 279 452
11 31 50 63 91 178 272 393
12 32 51 64 92 179 273 343
13 32 51 64 92 179 273 302
14 32 52 64 93 179 273 273
15 33 52 64 93 179 274 274
16 32 51 64 92 179 273 273
17 32 51 64 92 179 273 273
18 32 51 63 92 178 273 273
19 31 50 63 92 178 272 272
20 31 51 63 92 178 272 272
21 31 50 63 91 178 272 272
22 31 50 63 91 178 272 272
23 31 50 63 91 177 272 272
24 30 49 62 91 177 271 271
25 30 49 64 90 177 271 271
26 29 49 66 90 176 270 270
27 29 48 69 89 176 270 270
28 28 47 71 89 175 269 269
29 28 47 74 88 175 269 269
30 27 46 76 87 174 268 268

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 13 25 31 53 172 305 3231
2 14 26 33 54 173 351 2404
3 14 28 36 60 169 368 1812
4 15 29 39 64 167 370 1398
5 16 31 42 66 167 361 1106
6 17 33 45 69 167 348 895
7 18 36 47 71 166 332 738
8 19 37 48 74 166 314 619
9 19 38 49 77 166 296 527
10 19 38 51 79 167 279 453
11 20 39 52 80 167 261 392
12 20 39 52 80 167 261 343
13 20 39 52 80 167 261 302
14 20 39 52 80 167 261 267
15 20 39 52 80 167 261 261
16 20 39 52 80 167 261 261
17 20 39 52 80 167 261 261
18 20 39 52 80 167 261 261
19 20 39 52 80 167 261 261
20 20 39 52 80 167 261 261
21 20 39 54 80 167 261 261
22 20 39 56 80 166 261 261
23 19 38 58 79 166 260 260
24 19 38 61 79 165 260 260
25 18 37 63 78 165 259 259
26 18 37 66 78 165 259 259
27 17 37 68 78 164 258 258
28 17 36 71 77 164 258 258
29 17 36 73 77 163 258 258
30 16 35 76 77 163 257 257

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 57 64 85 204 308 3264
2 48 60 67 88 207 357 2450
3 50 64 72 96 205 377 1855
4 52 66 76 101 203 379 1435
5 53 69 80 104 204 372 1138
6 55 72 83 108 205 359 923
7 57 74 85 110 205 343 763
8 57 75 86 112 205 326 641
9 57 76 87 115 204 308 546
10 57 76 89 117 204 299 470
11 57 77 89 117 204 298 408
12 57 76 89 117 204 298 356
13 56 75 88 116 203 297 314
14 55 75 87 116 202 296 296
15 55 74 86 115 201 296 296
16 54 73 86 114 201 295 295
17 53 72 85 113 200 294 294
18 53 72 84 113 199 294 294
19 52 71 84 112 199 293 293
20 51 71 83 112 198 292 292
21 51 70 83 111 197 292 292
22 50 69 82 110 197 291 291
23 49 68 81 109 196 290 290
24 48 67 80 108 195 289 289
25 47 66 79 107 194 288 288
26 46 65 78 106 193 287 287
27 45 65 77 106 192 286 286
28 44 64 76 105 191 285 285
29 43 63 76 104 190 284 284
30 43 62 79 103 189 284 284

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 76 89 95 117 235 332 3353
2 81 94 100 122 240 367 2523
3 82 95 103 127 236 388 1915
4 81 96 106 131 233 392 1485
5 84 100 111 135 235 385 1179
6 87 103 114 139 236 372 957
7 89 106 117 142 237 356 792
8 90 108 119 145 238 338 665
9 91 110 122 149 239 333 566
10 92 111 124 151 239 333 487
11 92 111 124 152 239 333 423
12 91 110 123 151 238 332 370
13 90 109 122 150 237 331 331
14 89 108 121 149 236 330 330
15 87 107 119 148 234 328 328
16 86 105 118 146 233 327 327
17 85 104 117 145 231 326 326
18 83 103 115 144 230 324 324
19 82 101 114 142 229 323 323
20 81 100 113 141 228 322 322
21 79 99 111 140 226 320 320
22 78 97 110 138 225 319 319
23 76 95 108 136 223 317 317
24 75 94 106 135 221 316 316
25 73 92 105 133 220 314 314
26 71 91 103 132 218 312 312
27 70 89 102 130 216 311 311
28 68 87 100 128 215 309 309
29 67 86 98 127 213 308 308
30 65 84 97 125 212 306 306

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 6 19 25 47 165 303 3209
2 9 22 28 50 168 348 2385
3 11 24 33 57 165 365 1797
4 13 27 37 62 165 366 1386
5 15 30 42 65 166 358 1096
6 17 33 44 69 166 345 887
7 18 36 47 71 166 329 733
8 19 37 48 74 166 312 615
9 19 38 49 77 166 294 523
10 19 38 51 79 166 277 449
11 19 39 51 80 166 261 390
12 19 38 51 79 166 260 340
13 19 38 51 79 165 260 299
14 18 37 50 78 165 259 265
15 17 37 49 78 164 258 258
16 17 36 48 77 163 258 258
17 16 35 48 76 163 257 257
18 16 35 48 76 163 257 257
19 16 35 49 76 163 257 257
20 16 35 51 76 163 257 257
21 16 35 54 76 163 257 257
22 16 35 56 76 163 257 257
23 16 35 58 76 163 257 257
24 16 35 61 76 163 257 257
25 16 35 63 76 163 257 257
26 16 35 66 76 162 257 257
27 15 35 68 76 162 256 256
28 15 34 71 75 162 256 256
29 15 34 73 75 162 256 256
30 15 34 76 77 162 256 256

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 90 103 109 131 249 346 3408
2 91 104 110 132 250 370 2551
3 91 104 113 137 245 390 1929
4 91 106 116 141 243 393 1492
5 92 107 119 143 243 385 1182
6 93 109 121 145 242 371 957
7 94 112 122 147 242 355 791
8 94 112 123 149 242 336 663
9 94 112 124 151 241 335 564
10 93 112 124 152 240 334 485
11 91 110 123 151 238 332 420
12 89 109 121 150 236 330 367
13 88 107 120 148 234 329 329
14 86 105 118 146 233 327 327
15 84 103 116 144 231 325 325
16 82 101 114 142 229 323 323
17 81 100 112 141 227 322 322
18 79 98 111 139 226 320 320
19 78 97 110 138 225 319 319
20 77 96 109 137 224 318 318
21 76 95 108 136 222 317 317
22 75 94 106 135 221 316 316
23 73 93 105 134 220 314 314
24 72 91 104 132 219 313 313
25 71 90 103 131 218 312 312
26 70 89 102 130 216 311 311
27 68 88 100 129 215 309 309
28 67 87 99 128 214 308 308
29 66 85 98 126 213 307 307
30 65 84 97 125 212 306 306

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
1 317 329 336 357 476 572 3494
2 80 92 99 120 239 378 2615
3 82 95 103 128 236 398 1972
4 84 98 108 133 236 399 1520
5 86 101 113 137 237 390 1202
6 88 104 116 140 238 376 972
7 90 107 118 143 238 359 802
8 91 109 120 146 239 340 672
9 91 110 122 149 239 333 572
10 92 111 123 151 239 333 491
11 92 111 124 152 239 333 426
12 92 111 124 152 239 333 372
13 92 112 124 153 239 333 333
14 93 112 125 153 240 334 334
15 94 113 126 154 241 335 335
16 95 114 127 155 241 336 336
17 96 115 128 156 242 337 337
18 97 116 129 157 243 338 338
19 97 117 129 158 244 338 338
20 98 117 130 158 245 339 339
21 98 117 130 158 245 339 339
22 98 117 130 158 245 339 339
23 97 116 129 157 244 338 338
24 96 115 128 156 243 337 337
25 95 114 127 155 242 336 336
26 94 113 126 154 241 335 335
27 93 112 124 153 239 334 334
28 91 110 123 151 238 332 332
29 90 109 122 150 236 331 331
30 88 108 120 149 235 329 329

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 7 13 35 153 303 3205
2 0 7 13 35 153 347 2379
3 1 7 15 39 148 364 1789
4 1 7 17 42 145 364 1378
5 1 8 20 43 144 356 1088
6 2 10 21 46 143 342 880
7 2 12 22 47 142 326 726
8 2 12 23 49 141 308 608
9 3 12 25 51 140 291 517
10 4 12 26 52 140 273 444
11 4 12 29 53 140 256 385
12 4 12 31 53 140 240 337
13 4 12 34 53 140 234 296
14 4 12 37 54 140 234 262
15 6 13 38 54 140 235 235
16 6 13 41 54 140 235 235
17 6 14 44 54 141 235 235
18 6 15 46 55 141 236 236
19 7 15 48 56 142 236 236
20 7 17 51 57 143 237 237
21 7 17 53 59 144 238 238
22 8 18 55 61 144 239 239
23 8 19 58 63 145 239 239
24 9 20 61 65 145 240 240
25 9 21 62 66 146 240 240
26 9 21 65 68 146 240 240
27 10 23 67 70 146 241 241
28 10 23 70 72 147 241 241
29 11 24 72 75 147 241 241
30 11 25 74 77 147 241 241

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 47 59 66 88 206 305 3226
2 48 60 67 88 207 351 2403
3 47 61 69 93 201 368 1811
4 47 61 71 96 198 369 1397
5 47 62 74 97 198 361 1105
6 48 64 76 100 197 348 894
7 48 65 76 101 196 332 738
8 48 66 77 103 196 314 620
9 47 66 78 105 195 297 527
10 46 66 78 106 194 288 453
11 45 65 77 105 192 286 393
12 44 63 76 104 191 285 343
13 43 62 74 103 189 284 302
14 41 60 73 101 188 282 282
15 40 59 72 100 187 281 281
16 38 58 70 99 185 279 279
17 37 57 69 98 184 278 278
18 36 56 68 97 183 277 277
19 36 55 68 96 182 277 277
20 35 54 67 95 182 276 276
21 35 54 67 95 181 276 276
22 34 53 66 94 181 275 275
23 33 53 65 94 180 274 274
24 33 52 65 93 179 274 274
25 32 51 64 92 179 273 273
26 31 51 66 92 178 272 272
27 31 50 69 91 177 272 272
28 30 49 71 90 177 271 271
29 29 49 73 90 176 270 270
30 29 48 76 89 175 270 270

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
1 110 123 129 151 269 366 3410
2 112 124 131 152 271 370 2548
3 113 126 134 159 267 390 1931
4 114 128 138 163 266 393 1494
5 115 131 142 166 266 386 1184
6 117 133 145 169 266 373 961
7 118 136 146 171 266 360 795
8 118 136 147 173 266 360 668
9 118 137 148 176 265 360 570
10 118 137 149 177 265 359 491
11 117 136 149 177 264 358 426
12 115 135 147 176 262 356 373
13 114 133 146 174 260 355 355
14 112 131 144 172 259 353 353
15 110 129 142 170 257 351 351
16 108 127 139 168 254 349 349
17 106 125 137 166 252 347 347
18 104 123 135 164 250 345 345
19 102 121 134 162 248 343 343
20 100 119 132 160 247 341 341
21 98 117 130 159 245 339 339
22 96 116 128 157 243 337 337
23 95 114 126 155 241 336 336
24 93 112 125 153 239 334 334
25 91 110 123 151 238 332 332
26 89 108 121 149 236 330 330
27 87 106 119 148 234 328 328
28 86 105 117 146 232 327 327
29 84 103 116 144 231 325 325
30 82 101 114 143 229 323 323

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
1 161 174 180 202 320 417 3543
2 171 184 190 212 330 426 2660
3 176 189 197 222 330 426 2010
4 178 192 202 227 329 424 1553
5 179 194 206 229 330 424 1230
6 179 196 207 232 329 423 996
7 180 197 208 233 328 422 823
8 179 197 208 234 326 421 690
9 178 196 208 235 325 419 587
10 177 196 208 236 324 418 505
11 175 194 207 235 322 416 438
12 173 192 205 233 320 414 414
13 170 190 202 231 317 411 411
14 167 187 199 228 314 408 408
15 164 184 196 225 311 405 405
16 161 181 193 222 308 402 402
17 158 178 190 219 305 399 399
18 155 175 187 216 302 396 396
19 152 172 184 213 299 393 393
20 149 169 181 210 296 391 391
21 147 166 178 207 293 388 388
22 143 163 175 204 290 384 384
23 140 160 172 201 287 381 381
24 137 157 169 198 284 378 378
25 134 153 166 195 281 375 375
26 131 151 163 192 278 372 372
27 128 148 160 189 275 369 369
28 126 145 157 186 272 367 367
29 123 142 155 183 270 364 364
30 120 139 152 180 267 361 361

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 27 40 46 68 186 313 3324
2 28 41 47 69 187 360 2472
3 28 41 50 74 182 377 1861
4 28 42 52 77 180 378 1433
5 28 43 55 79 179 369 1133
6 29 45 57 81 178 355 916
7 30 47 58 83 178 339 756
8 29 47 58 84 177 321 634
9 28 47 59 86 176 302 538
10 28 47 59 87 175 284 463
11 27 47 59 88 174 269 401
12 27 46 59 87 174 268 351
13 26 46 58 87 173 267 308
14 26 45 58 86 173 267 273
15 26 45 58 86 172 267 267
16 25 45 57 86 172 267 267
17 25 45 57 86 172 266 266
18 25 45 57 86 172 267 267
19 26 45 57 86 172 267 267
20 26 45 58 86 172 267 267
21 26 45 58 86 173 267 267
22 26 45 57 86 172 267 267
23 25 45 60 86 172 266 266
24 25 44 62 85 172 266 266
25 25 44 65 85 172 266 266
26 25 44 67 85 171 266 266
27 24 43 70 85 171 265 265
28 24 43 72 84 171 265 265
29 24 43 75 84 170 265 265
30 23 42 77 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 24 37 43 65 183 310 3289
2 26 38 45 67 185 357 2449
3 27 40 49 73 181 375 1847
4 28 42 53 78 180 376 1425
5 30 45 57 80 181 368 1127
6 31 48 59 84 181 355 913
7 34 51 62 86 181 338 754
8 34 52 63 89 182 321 633
9 34 53 65 92 182 303 539
10 35 54 67 94 182 285 463
11 36 55 67 96 182 277 402
12 36 55 68 96 183 277 352
13 36 55 68 96 183 277 310
14 36 55 68 96 182 277 277
15 36 55 67 96 182 277 277
16 35 54 67 95 182 276 276
17 35 55 67 96 182 276 276
18 35 55 67 96 182 276 276
19 35 55 67 96 182 276 276
20 36 55 68 96 183 277 277
21 36 55 68 96 183 277 277
22 36 55 68 96 183 277 277
23 35 55 67 96 182 276 276
24 35 54 67 95 182 276 276
25 35 54 67 95 181 276 276
26 34 53 68 94 181 275 275
27 34 53 70 94 180 275 275
28 33 52 73 93 180 274 274
29 32 52 75 93 179 273 273
30 32 51 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
1 121 133 140 162 280 376 3527
2 120 132 139 160 279 381 2636
3 119 132 140 164 273 400 1987
4 118 132 142 167 270 401 1530
5 118 133 145 169 269 392 1208
6 118 134 146 170 268 377 977
7 119 136 147 172 267 361 805
8 118 136 147 173 266 360 674
9 117 136 148 175 265 359 573
10 117 136 149 177 264 358 492
11 116 136 148 177 263 358 426
12 115 135 147 176 262 356 372
13 114 133 146 175 261 355 355
14 113 132 145 173 260 354 354
15 111 130 143 171 258 352 352
16 109 128 141 169 256 350 350
17 106 126 138 167 253 347 347
18 104 123 136 164 251 345 345
19 102 121 134 162 249 343 343
20 100 119 132 160 247 341 341
21 98 117 130 158 245 339 339
22 96 115 127 156 242 337 337
23 93 113 125 154 240 334 334
24 91 110 123 151 238 332 332
25 89 108 121 149 236 330 330
26 87 106 119 147 234 328 328
27 85 104 117 145 232 326 326
28 83 102 115 143 230 324 324
29 81 100 113 141 228 322 322
30 79 98 111 139 226 320 320

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 8 14 36 154 304 3215
2 0 9 16 38 156 349 2392
3 1 11 20 44 152 367 1803
4 1 13 24 49 151 368 1391
5 1 16 28 51 152 360 1100
6 3 19 30 55 152 346 890
7 4 22 32 57 152 330 735
8 5 23 34 60 152 313 617
9 5 23 35 63 152 295 524
10 5 24 37 65 152 277 450
11 5 24 37 65 152 260 391
12 5 24 37 65 152 246 341
13 5 24 36 65 151 246 300
14 4 24 37 65 151 245 265
15 6 23 39 64 151 245 245
16 6 23 41 64 151 245 245
17 6 23 44 64 151 245 245
18 6 23 46 64 151 245 245
19 7 23 49 64 151 245 245
20 7 24 51 65 151 245 245
21 7 24 54 65 152 246 246
22 8 24 56 65 152 246 246
23 8 25 58 66 152 246 246
24 9 25 61 66 152 247 247
25 9 25 63 68 153 247 247
26 9 25 66 69 153 247 247
27 10 25 68 71 153 247 247
28 10 25 71 73 153 247 247
29 11 25 73 75 153 247 247
30 11 25 76 77 153 247 247

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 72 190 307 3252
2 31 44 50 72 190 353 2422
3 30 43 52 76 184 370 1825
4 29 43 54 79 181 371 1406
5 29 44 56 80 180 363 1111
6 31 48 59 84 181 349 898
7 30 47 58 82 178 332 741
8 33 51 62 88 181 315 621
9 32 51 63 90 180 297 528
10 27 46 59 87 175 279 453
11 23 42 55 83 170 264 393
12 20 39 52 80 167 261 343
13 18 37 50 78 164 259 302
14 16 35 48 76 163 257 267
15 14 34 46 75 161 255 255
16 13 32 45 73 160 254 254
17 12 31 44 72 159 253 253
18 11 31 47 72 158 252 252
19 11 30 49 71 158 252 252
20 11 30 51 71 158 252 252
21 11 30 54 71 158 252 252
22 11 30 56 71 158 252 252
23 11 30 58 71 158 252 252
24 11 30 61 71 158 252 252
25 11 30 63 71 157 252 252
26 11 30 66 71 157 252 252
27 10 30 68 71 157 251 251
28 10 29 71 73 157 251 251
29 11 29 73 75 157 251 251
30 11 29 76 77 157 251 251

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
1 199 212 218 240 358 454 4215
2 196 208 215 236 355 451 3154
3 190 204 212 236 345 469 2377
4 186 200 210 235 338 470 1827
5 182 197 209 232 333 459 1438
6 178 195 206 231 328 441 1158
7 175 193 203 228 323 419 950
8 171 189 200 226 319 413 793
9 167 186 198 225 315 409 670
10 164 183 195 223 311 405 573
11 160 179 192 220 307 401 495
12 156 175 188 216 302 397 430
13 152 171 184 212 298 393 393
14 148 167 180 208 295 389 389
15 144 164 176 205 291 385 385
16 141 160 173 201 288 382 382
17 138 157 169 198 284 379 379
18 135 154 166 195 281 376 376
19 132 151 163 192 278 373 373
20 129 148 161 189 276 370 370
21 126 145 158 186 273 367 367
22 123 142 155 184 270 364 364
23 120 140 152 181 267 362 362
24 118 137 150 178 265 359 359
25 115 134 147 175 262 356 356
26 113 132 145 173 259 354 354
27 110 129 142 170 257 351 351
28 108 127 140 168 255 349 349
29 105 125 137 166 252 346 346
30 103 122 135 164 250 344 344

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 52 170 303 3209
2 0 14 26 52 170 348 2386
3 1 17 28 56 167 366 1798
4 1 20 32 61 166 367 1387
5 3 23 36 67 167 359 1097
6 5 27 39 68 167 346 888
7 8 31 42 71 168 330 734
8 10 34 46 74 168 312 615
9 12 37 49 76 168 295 523
10 13 39 51 77 168 277 450
11 14 40 52 78 168 262 390
12 15 42 54 79 168 262 341
13 15 43 55 80 168 262 300
14 16 44 55 80 168 262 265
15 16 44 55 80 168 262 262
16 16 44 55 80 168 262 262
17 16 44 55 80 168 262 262
18 16 44 55 80 168 262 262
19 16 44 55 80 168 262 262
20 16 44 55 80 168 262 262
21 16 44 55 80 168 262 262
22 16 44 56 80 168 262 262
23 16 44 58 80 168 262 262
24 16 44 61 80 168 262 262
25 16 44 63 80 168 262 262
26 16 44 66 80 168 262 262
27 16 44 68 80 167 262 262
28 16 44 71 80 167 261 261
29 16 44 73 80 167 261 261
30 16 44 75 80 167 261 261

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 14 132 302 3196
2 0 1 6 14 131 346 2372
3 1 1 9 17 124 363 1783
4 1 3 11 20 121 363 1372
5 1 4 14 22 120 354 1084
6 2 4 16 25 120 340 876
7 2 6 19 27 119 324 722
8 2 6 22 30 119 307 606
9 3 7 24 33 119 289 515
10 4 8 26 34 119 272 442
11 4 9 29 37 119 255 383
12 4 10 31 39 120 239 335
13 4 10 34 41 120 223 294
14 4 12 36 43 120 214 260
15 6 12 38 45 120 215 231
16 6 13 41 48 120 215 215
17 6 14 43 50 121 215 215
18 6 15 45 52 122 215 215
19 7 15 48 54 125 216 216
20 7 17 50 56 127 217 217
21 7 17 53 58 128 217 217
22 8 18 55 60 130 217 217
23 8 18 57 62 132 218 218
24 8 20 59 64 133 218 218
25 9 20 62 66 134 218 218
26 9 21 64 68 137 218 218
27 10 23 67 70 138 218 218
28 10 23 69 71 138 218 218
29 10 24 72 73 139 218 218
30 11 25 74 75 141 218 218

ANNEX III

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

Currency National insurance market Volatility adjustment (in bps)
Euro Austria 5
Euro Belgium 5
Euro Cyprus 5
Euro Estonia 5
Euro Finland 5
Euro France 5
Euro Germany 5
Euro Greece 5
Euro Ireland 5
Euro Italy 5
Euro Latvia 5
Euro Lithuania 5
Euro Luxembourg 5
Euro Malta 5
Euro Netherlands 5
Euro Portugal 5
Euro Slovakia 5
Euro Slovenia 5
Euro Spain 5
Czech koruna Czech Republic 10
Danish krone Denmark 48
Forint Hungary 3
Krona Sweden 11
Kuna Croatia 0
Lev Bulgaria -5
Pound sterling United Kingdom 7
Romanian leu Romania -1
Zloty Poland 4
Króna Iceland -4
Norwegian krone Norway 31
Swiss franc Liechtenstein 8
Swiss franc Switzerland 8
Australian dollar Australia 9
Canadian dollar Canada 39
Renminbi-yuan China 41
Hong Kong dollar Hong Kong 2
US dollar United States 22
Yen Japan 7

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