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Commission Implementing Regulation (EU) 2021/1964 of 11 November 2021 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 September 2021 until 30 December 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 2021-11-12
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 0 0 3 24 142 299 3 163
2 0 1 6 25 143 343 2 349
3 1 1 8 30 138 360 1 767
4 1 3 11 33 135 360 1 362
5 1 4 14 35 135 352 1 077
6 2 4 16 39 135 339 871
7 2 6 19 41 135 323 719
8 2 6 22 43 135 306 603
9 3 7 24 46 135 289 513
10 4 8 26 48 135 271 441
11 4 9 29 50 136 255 382
12 4 10 31 49 135 238 334
13 4 10 34 50 136 230 294
14 4 12 36 49 136 230 260
15 5 12 38 48 134 229 231
16 6 13 41 48 134 228 228
17 6 14 43 50 133 228 228
18 6 15 45 52 134 228 228
19 7 15 47 54 134 228 228
20 7 17 50 56 134 228 228
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 64 134 229 229
25 9 20 62 66 134 228 228
26 9 21 64 68 136 228 228
27 10 23 67 70 137 228 228
28 10 23 69 71 138 228 228
29 10 24 72 73 139 228 228
30 11 25 74 75 141 228 228

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 53 60 81 199 303 3 205
2 41 54 60 81 199 348 2 384
3 40 53 62 86 194 365 1 797
4 40 54 64 89 191 367 1 387
5 40 55 66 90 190 359 1 098
6 40 56 68 92 189 346 889
7 41 58 69 93 188 330 734
8 40 58 69 95 187 313 616
9 39 58 69 97 186 295 524
10 39 58 70 98 185 279 451
11 38 57 70 98 185 279 391
12 38 57 69 98 184 278 342
13 37 56 69 97 183 277 301
14 36 56 68 96 183 277 277
15 36 55 68 96 182 276 276
16 35 54 67 95 181 275 275
17 35 54 66 94 181 275 275
18 34 53 66 94 180 274 274
19 34 53 65 94 180 274 274
20 33 53 65 93 180 274 274
21 33 52 65 93 179 273 273
22 33 52 64 93 179 273 273
23 32 51 64 92 178 272 272
24 32 51 63 91 178 272 272
25 31 50 63 91 177 271 271
26 30 49 66 90 176 270 270
27 29 49 68 89 176 270 270
28 29 48 71 89 175 269 269
29 28 47 73 88 174 268 268
30 27 46 76 87 173 268 268

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 26 32 53 171 305 3 230
2 17 29 36 57 175 349 2 396
3 19 33 41 65 173 366 1 804
4 22 36 46 71 173 368 1 392
5 24 39 51 74 174 360 1 102
6 23 40 51 75 172 347 892
7 28 46 56 81 176 331 737
8 27 45 56 82 174 314 619
9 28 47 58 86 175 296 526
10 30 49 61 89 176 279 453
11 31 50 63 91 177 271 393
12 32 51 64 92 178 272 344
13 32 51 64 92 178 272 302
14 33 52 64 92 179 273 273
15 33 52 64 93 179 273 273
16 32 51 64 92 178 272 272
17 32 51 64 92 178 273 273
18 32 51 63 92 178 272 272
19 31 51 63 91 178 272 272
20 32 51 63 91 178 272 272
21 31 51 63 91 178 272 272
22 31 50 63 91 177 271 271
23 31 50 63 91 177 271 271
24 30 50 62 90 177 271 271
25 30 49 64 90 176 270 270
26 30 49 66 89 176 270 270
27 29 48 69 89 175 269 269
28 28 48 71 88 175 269 269
29 28 47 73 88 174 268 268
30 27 46 76 87 173 268 268

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 53 171 306 3 237
2 14 26 33 54 172 351 2 409
3 14 28 36 60 168 369 1 817
4 15 29 39 64 166 370 1 401
5 16 31 42 66 166 362 1 108
6 17 34 45 69 166 349 897
7 19 36 47 71 166 332 740
8 19 37 48 74 166 315 621
9 19 38 49 77 166 297 528
10 20 39 51 79 166 279 454
11 20 39 52 80 166 262 393
12 20 39 52 80 166 260 344
13 20 39 52 80 166 260 302
14 20 39 52 80 166 260 267
15 20 39 52 80 166 260 260
16 20 39 52 80 166 260 260
17 20 39 52 80 166 260 260
18 20 39 52 80 166 260 260
19 20 39 52 80 166 260 260
20 20 39 52 80 166 260 260
21 20 39 54 80 166 260 260
22 20 39 57 80 166 260 260
23 19 38 58 79 165 259 259
24 19 38 61 79 165 259 259
25 18 38 63 78 165 259 259
26 18 37 66 78 164 258 258
27 18 37 68 77 164 258 258
28 17 36 71 77 163 257 257
29 17 36 73 77 163 257 257
30 16 35 76 77 162 256 256

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 85 203 319 3 388
2 48 60 67 88 206 369 2 542
3 51 64 72 96 204 388 1 920
4 52 66 76 101 203 390 1 482
5 54 69 80 104 204 382 1 172
6 56 72 83 108 204 368 948
7 57 74 85 110 204 351 782
8 57 75 86 112 204 332 656
9 57 76 87 115 204 314 558
10 58 77 89 117 204 298 479
11 58 77 89 117 204 298 416
12 57 76 89 117 203 297 363
13 57 76 88 116 203 297 319
14 56 75 87 116 202 296 296
15 55 74 87 115 201 295 295
16 54 73 86 114 200 294 294
17 54 73 85 114 200 294 294
18 53 72 85 113 199 293 293
19 52 71 84 112 198 293 293
20 52 71 83 112 198 292 292
21 51 70 83 111 197 291 291
22 50 69 82 110 196 290 290
23 49 68 81 109 195 290 290
24 48 68 80 108 195 289 289
25 48 67 79 107 194 288 288
26 47 66 78 106 193 287 287
27 46 65 77 106 192 286 286
28 45 64 76 105 191 285 285
29 44 63 76 104 190 284 284
30 43 62 80 103 189 283 283

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 95 117 235 330 3 357
2 81 94 100 121 239 368 2 534
3 82 95 103 127 235 391 1 928
4 82 96 106 131 233 395 1 495
5 85 100 111 135 235 388 1 187
6 87 103 115 139 236 375 963
7 89 107 117 142 237 358 796
8 91 108 120 146 238 340 669
9 92 110 122 149 239 333 569
10 92 111 124 152 239 333 490
11 92 111 124 152 239 333 425
12 92 111 123 152 238 332 371
13 91 110 122 150 237 331 331
14 89 108 121 149 235 329 329
15 88 107 120 148 234 328 328
16 87 106 118 146 233 327 327
17 85 104 117 145 231 325 325
18 84 103 116 144 230 324 324
19 83 102 114 142 229 323 323
20 81 100 113 141 227 321 321
21 80 99 112 140 226 320 320
22 78 97 110 138 224 318 318
23 77 96 108 137 223 317 317
24 75 94 107 135 221 315 315
25 73 93 105 133 220 314 314
26 72 91 103 132 218 312 312
27 70 89 102 130 216 310 310
28 69 88 100 128 215 309 309
29 67 86 99 127 213 307 307
30 66 85 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 7 19 25 47 165 303 3 211
2 10 22 28 50 168 349 2 388
3 11 25 33 57 165 366 1 801
4 13 27 37 62 164 367 1 389
5 15 30 42 65 165 359 1 099
6 17 33 44 69 166 346 890
7 19 36 46 71 166 330 735
8 19 37 48 74 166 313 616
9 19 38 49 77 166 295 524
10 19 38 51 79 166 277 450
11 20 39 51 79 166 260 391
12 19 38 51 79 165 260 341
13 19 38 50 79 165 259 300
14 18 37 50 78 164 258 266
15 18 37 49 77 164 258 258
16 17 36 48 77 163 257 257
17 16 36 48 76 163 257 257
18 16 35 48 76 162 256 256
19 16 35 49 76 162 256 256
20 16 35 51 76 162 256 256
21 16 35 54 76 162 256 256
22 16 35 56 76 162 256 256
23 16 35 58 76 162 256 256
24 16 35 61 76 162 256 256
25 16 35 63 76 162 256 256
26 16 35 66 76 162 256 256
27 16 35 68 75 162 256 256
28 15 34 71 75 161 256 256
29 15 34 73 75 161 255 255
30 15 34 76 77 161 255 255

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 90 103 109 131 249 345 3 401
2 91 104 110 132 250 369 2 546
3 91 104 113 137 245 389 1 925
4 91 106 116 141 243 392 1 489
5 92 107 119 143 243 384 1 180
6 93 110 121 145 242 371 956
7 94 112 122 147 242 354 790
8 94 112 123 149 242 336 663
9 94 112 124 151 241 335 564
10 93 112 124 152 239 333 485
11 92 111 123 151 238 332 420
12 90 109 122 150 236 330 367
13 88 107 120 148 234 328 328
14 86 105 118 146 232 326 326
15 85 104 116 144 231 325 325
16 83 102 114 142 229 323 323
17 81 100 113 141 227 321 321
18 80 99 111 139 226 320 320
19 78 97 110 138 224 318 318
20 77 96 109 137 223 317 317
21 76 95 108 136 222 316 316
22 75 94 107 135 221 315 315
23 74 93 105 134 220 314 314
24 73 92 104 132 219 313 313
25 71 90 103 131 217 311 311
26 70 89 102 130 216 310 310
27 69 88 101 129 215 309 309
28 68 87 99 128 214 308 308
29 67 86 98 127 213 307 307
30 66 85 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
1 315 327 334 355 473 569 3 513
2 80 93 99 120 238 380 2 629
3 82 95 104 128 236 400 1 985
4 84 98 109 134 236 402 1 531
5 86 102 113 137 237 393 1 211
6 88 105 116 140 237 379 979
7 90 108 118 143 238 361 808
8 91 109 120 146 238 342 677
9 92 110 122 149 239 333 576
10 92 111 123 151 239 333 495
11 92 111 124 152 239 333 429
12 93 112 124 152 239 333 375
13 93 112 125 153 239 333 333
14 94 113 125 153 240 334 334
15 94 113 126 154 240 334 334
16 95 114 127 155 241 335 335
17 96 115 128 156 242 336 336
18 97 116 129 157 243 337 337
19 98 117 130 158 244 338 338
20 98 118 130 158 245 339 339
21 99 118 130 158 245 339 339
22 98 117 130 158 244 338 338
23 98 117 129 157 244 338 338
24 97 116 128 156 243 337 337
25 96 115 127 155 242 336 336
26 94 113 126 154 240 334 334
27 93 112 125 153 239 333 333
28 92 111 123 151 238 332 332
29 90 109 122 150 236 330 330
30 89 108 120 149 235 329 329

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 3 211
2 0 7 13 35 153 348 2 384
3 1 7 15 39 147 364 1 792
4 1 7 17 42 144 365 1 380
5 1 8 20 43 143 356 1 090
6 2 10 21 46 142 342 881
7 2 12 22 47 142 326 727
8 2 12 23 49 141 309 609
9 3 12 25 51 140 291 517
10 4 12 26 52 140 273 444
11 4 12 29 53 139 256 385
12 4 12 32 53 139 240 337
13 4 12 34 53 139 234 296
14 4 13 37 53 140 234 262
15 6 13 38 54 140 234 234
16 6 13 41 54 140 234 234
17 6 14 44 54 141 235 235
18 6 15 46 55 141 235 235
19 7 15 48 56 142 236 236
20 7 17 51 57 143 237 237
21 7 17 53 59 143 238 238
22 8 18 55 61 144 238 238
23 8 19 58 63 145 239 239
24 9 20 61 65 145 239 239
25 9 21 62 66 145 240 240
26 9 21 65 68 146 240 240
27 10 23 67 70 146 240 240
28 10 23 70 73 146 240 240
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 87 205 307 3 258
2 48 60 67 88 206 354 2 428
3 47 60 69 93 201 371 1 830
4 47 61 71 96 198 373 1 411
5 47 62 73 97 197 364 1 115
6 48 64 75 100 197 351 902
7 48 65 76 100 195 334 744
8 48 66 77 103 195 317 624
9 47 66 77 105 194 299 531
10 46 65 78 106 193 287 456
11 45 64 77 105 192 286 396
12 44 63 76 104 190 284 346
13 43 62 74 103 189 283 304
14 41 60 73 101 187 281 281
15 40 59 72 100 186 280 280
16 39 58 70 98 185 279 279
17 38 57 69 97 184 278 278
18 37 56 68 96 183 277 277
19 36 55 67 96 182 276 276
20 35 54 67 95 181 275 275
21 35 54 66 95 181 275 275
22 34 53 66 94 180 274 274
23 34 53 65 93 180 274 274
24 33 52 65 93 179 273 273
25 32 51 64 92 178 272 272
26 31 51 66 91 178 272 272
27 31 50 69 91 177 271 271
28 30 49 71 90 176 270 270
29 29 49 73 89 176 270 270
30 29 48 76 89 175 269 269

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
1 110 123 129 151 269 364 3 414
2 112 124 130 152 270 371 2 560
3 113 126 134 158 266 392 1 937
4 114 128 138 163 265 394 1 499
5 115 131 142 166 266 387 1 188
6 117 133 145 169 266 374 964
7 118 136 146 171 266 360 798
8 118 136 147 173 265 359 671
9 118 137 148 176 265 359 572
10 118 137 149 177 264 358 492
11 117 136 149 177 263 357 428
12 116 135 147 176 262 356 374
13 114 133 146 174 260 354 354
14 112 131 144 172 258 352 352
15 110 130 142 170 257 351 351
16 108 127 140 168 254 348 348
17 106 125 138 166 252 346 346
18 104 123 136 164 250 344 344
19 102 121 134 162 248 342 342
20 101 120 132 160 247 341 341
21 99 118 131 159 245 339 339
22 97 116 129 157 243 337 337
23 95 114 127 155 241 335 335
24 93 112 125 153 239 333 333
25 91 111 123 151 238 332 332
26 90 109 121 149 236 330 330
27 88 107 119 148 234 328 328
28 86 105 118 146 232 326 326
29 84 104 116 144 231 325 325
30 83 102 114 143 229 323 323

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
1 161 174 180 202 320 415 3 668
2 171 184 190 211 329 425 2 752
3 176 189 197 221 329 425 2 082
4 177 192 202 227 329 423 1 608
5 179 194 205 229 329 423 1 273
6 179 196 207 231 328 422 1 030
7 180 197 208 232 327 421 850
8 179 196 208 234 326 420 713
9 178 196 208 235 325 419 606
10 177 196 208 236 323 417 520
11 175 194 207 235 322 416 451
12 173 192 205 233 319 413 413
13 170 190 202 230 317 411 411
14 168 187 199 227 314 408 408
15 165 184 196 224 311 405 405
16 162 181 193 221 308 402 402
17 159 178 190 218 305 399 399
18 156 175 187 215 302 396 396
19 153 172 184 213 299 393 393
20 150 169 181 210 296 390 390
21 147 166 178 207 293 387 387
22 144 163 175 204 290 384 384
23 141 160 172 201 287 381 381
24 138 157 169 197 284 378 378
25 135 154 166 194 281 375 375
26 132 151 163 191 278 372 372
27 129 148 160 189 275 369 369
28 126 145 157 186 272 366 366
29 123 142 155 183 269 363 363
30 120 140 152 180 267 361 361

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 28 40 46 68 186 313 3 321
2 28 41 47 69 187 359 2 468
3 28 41 50 74 182 376 1 857
4 28 42 52 77 179 377 1 431
5 28 44 55 79 179 369 1 131
6 29 45 57 81 178 355 915
7 30 47 58 83 177 338 754
8 29 47 58 84 176 320 633
9 29 47 59 86 175 302 538
10 28 47 60 87 175 284 462
11 28 47 59 88 174 268 400
12 27 46 59 87 173 267 350
13 27 46 58 87 173 267 308
14 26 45 58 86 172 266 272
15 26 45 58 86 172 266 266
16 26 45 58 86 172 266 266
17 26 45 58 86 172 266 266
18 26 45 58 86 172 266 266
19 26 45 58 86 172 266 266
20 26 45 58 86 172 266 266
21 26 45 58 86 172 266 266
22 26 45 58 86 172 266 266
23 26 45 60 86 172 266 266
24 26 45 62 85 172 266 266
25 25 44 65 85 171 265 265
26 25 44 67 85 171 265 265
27 25 44 70 85 171 265 265
28 24 43 72 84 170 264 264
29 24 43 75 84 170 264 264
30 24 43 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 25 37 43 65 183 310 3 293
2 26 39 45 67 185 357 2 455
3 27 41 49 73 181 376 1 853
4 28 43 53 78 180 378 1 430
5 30 45 57 80 180 370 1 132
6 32 48 59 84 181 356 917
7 34 51 62 86 181 340 757
8 34 52 63 89 181 322 635
9 35 53 65 92 181 304 540
10 35 54 67 94 182 286 465
11 36 55 68 96 182 276 403
12 36 55 68 96 182 276 353
13 36 55 68 96 182 276 310
14 36 55 68 96 182 276 276
15 36 55 68 96 182 276 276
16 36 55 67 96 182 276 276
17 36 55 67 96 182 276 276
18 36 55 67 96 182 276 276
19 36 55 68 96 182 276 276
20 36 55 68 96 182 276 276
21 36 55 68 96 182 276 276
22 36 55 68 96 182 276 276
23 36 55 68 96 182 276 276
24 36 55 67 95 182 276 276
25 35 54 67 95 181 275 275
26 35 54 68 94 181 275 275
27 34 53 70 94 180 274 274
28 34 53 73 93 180 274 274
29 33 52 75 93 179 273 273
30 32 51 78 92 178 272 272

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
1 121 133 140 161 279 375 3 577
2 120 132 139 160 278 384 2 661
3 119 132 140 164 272 402 2 001
4 118 132 142 167 269 403 1 540
5 118 133 145 168 268 394 1 215
6 118 134 146 170 267 379 982
7 119 136 147 171 266 361 809
8 118 136 147 173 265 359 678
9 117 136 147 175 264 358 576
10 117 136 149 176 264 358 494
11 117 136 148 176 263 357 428
12 116 135 147 175 262 356 374
13 114 134 146 174 261 355 355
14 113 132 145 173 259 353 353
15 111 130 143 171 257 351 351
16 109 128 141 169 255 349 349
17 107 126 138 166 253 347 347
18 104 124 136 164 251 345 345
19 102 122 134 162 249 343 343
20 100 119 132 160 246 340 340
21 98 117 130 158 244 338 338
22 96 115 128 156 242 336 336
23 94 113 125 154 240 334 334
24 92 111 123 151 238 332 332
25 89 108 121 149 235 329 329
26 87 106 119 147 233 327 327
27 85 104 117 145 231 325 325
28 83 102 115 143 229 323 323
29 81 100 113 141 227 321 321
30 79 98 111 139 225 319 319

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 3 215
2 0 10 16 38 156 349 2 394
3 1 11 20 44 152 367 1 806
4 1 13 24 49 151 369 1 394
5 1 16 28 51 151 361 1 103
6 3 19 30 55 152 347 893
7 5 22 33 57 152 331 737
8 5 23 34 60 152 314 618
9 5 24 35 63 152 296 526
10 5 24 37 64 152 278 452
11 5 24 37 65 152 261 392
12 5 24 37 65 151 245 342
13 5 24 37 65 151 245 301
14 5 24 37 65 151 245 266
15 6 24 40 64 151 245 245
16 6 23 41 64 150 244 244
17 6 23 44 64 150 244 244
18 7 23 47 64 150 244 244
19 7 23 49 64 150 244 244
20 7 24 51 65 151 245 245
21 7 24 54 65 151 245 245
22 8 25 56 65 152 246 246
23 8 25 58 66 152 246 246
24 9 25 61 66 152 246 246
25 9 25 63 68 152 246 246
26 9 25 66 70 152 246 246
27 10 25 68 72 152 246 246
28 10 25 71 73 152 246 246
29 11 25 73 75 152 247 247
30 11 25 76 77 152 247 247

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 43 50 71 189 309 3 272
2 32 44 50 72 190 355 2 435
3 30 43 52 76 184 372 1 833
4 29 43 54 78 180 373 1 412
5 29 44 56 79 179 364 1 115
6 32 48 59 84 180 350 902
7 30 47 58 82 177 333 744
8 33 51 62 88 180 316 623
9 32 51 63 90 179 298 530
10 28 46 59 87 174 280 455
11 23 42 55 83 170 264 394
12 20 39 52 80 166 260 344
13 18 37 50 78 164 258 303
14 16 35 48 76 162 256 267
15 15 34 46 74 161 255 255
16 13 32 45 73 159 253 253
17 12 31 44 72 158 252 252
18 12 31 47 71 158 252 252
19 11 30 49 71 157 251 251
20 11 30 51 71 157 251 251
21 11 30 54 71 157 251 251
22 11 30 56 71 157 251 251
23 11 30 58 71 157 251 251
24 11 30 61 71 157 251 251
25 11 30 63 71 157 251 251
26 11 30 66 71 157 251 251
27 11 30 68 72 157 251 251
28 10 30 71 73 157 251 251
29 11 29 73 75 156 250 250
30 11 29 76 77 156 250 250

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
1 201 213 219 241 359 455 4 208
2 197 209 216 237 355 451 3 149
3 192 205 213 237 345 470 2 377
4 187 201 212 236 338 472 1 831
5 183 198 210 233 333 462 1 445
6 180 196 207 232 329 444 1 166
7 177 194 205 229 324 424 960
8 173 190 202 227 320 414 802
9 169 187 199 226 316 410 680
10 165 184 196 224 311 405 582
11 161 180 193 221 307 401 503
12 157 176 189 217 303 397 438
13 153 172 185 213 299 393 393
14 149 168 181 209 295 389 389
15 146 165 177 205 292 386 386
16 142 161 174 202 288 382 382
17 139 158 171 199 285 379 379
18 136 155 167 196 282 376 376
19 133 152 164 193 279 373 373
20 130 149 162 190 276 370 370
21 127 146 159 187 273 367 367
22 124 143 156 184 270 365 365
23 122 141 153 181 268 362 362
24 119 138 151 179 265 359 359
25 116 135 148 176 262 356 356
26 114 133 145 174 260 354 354
27 111 130 143 171 257 351 351
28 109 128 140 169 255 349 349
29 106 126 138 166 253 347 347
30 104 123 136 164 250 344 344

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 51 170 303 3 208
2 0 14 26 51 170 348 2 387
3 1 17 28 56 166 366 1 800
4 1 20 31 61 165 367 1 389
5 3 23 36 66 166 359 1 099
6 5 27 39 68 167 346 889
7 8 31 42 71 167 330 734
8 10 34 45 74 167 313 616
9 12 37 49 76 167 295 524
10 13 39 51 77 167 277 450
11 14 40 52 78 167 262 390
12 15 42 54 79 167 261 341
13 16 43 54 80 167 261 300
14 16 44 55 80 167 261 265
15 16 44 55 80 167 261 261
16 16 44 55 80 167 261 261
17 16 44 55 80 167 261 261
18 16 44 55 80 167 261 261
19 16 44 55 80 167 261 261
20 16 44 55 80 167 261 261
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 80 167 261 261
26 16 44 66 80 167 261 261
27 16 44 68 80 167 261 261
28 16 44 71 80 167 261 261
29 16 44 73 80 166 260 260
30 16 44 75 80 166 260 260

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 3 199
2 0 1 6 14 131 347 2 374
3 1 1 9 17 124 363 1 784
4 1 3 11 20 121 363 1 373
5 1 4 14 22 120 354 1 084
6 2 4 16 25 120 341 877
7 2 6 19 27 119 324 723
8 2 6 22 30 119 307 606
9 3 7 24 33 119 289 515
10 4 8 26 35 119 272 442
11 4 9 29 37 119 255 383
12 4 10 31 39 119 239 335
13 4 10 34 41 119 224 295
14 4 12 36 43 120 214 261
15 6 12 38 45 120 214 232
16 6 13 41 48 120 214 214
17 6 14 43 50 121 215 215
18 6 15 45 52 123 215 215
19 7 15 48 54 125 215 215
20 7 17 50 56 127 216 216
21 7 17 53 58 128 217 217
22 8 18 55 60 130 217 217
23 8 18 57 62 132 217 217
24 8 20 59 64 133 217 217
25 9 20 62 66 134 217 217
26 9 21 64 68 137 217 217
27 10 23 67 70 138 217 217
28 10 23 69 71 138 217 217
29 10 24 72 73 140 217 217
30 11 25 74 75 141 217 217

ANNEX III

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

Currency National insurance market Volatility adjustment (in bps)
Euro Austria 3
Euro Belgium 3
Euro Cyprus 3
Euro Estonia 3
Euro Finland 3
Euro France 3
Euro Germany 3
Euro Greece 3
Euro Ireland 3
Euro Italy 3
Euro Latvia 3
Euro Lithuania 3
Euro Luxembourg 3
Euro Malta 3
Euro Netherlands 3
Euro Portugal 3
Euro Slovakia 3
Euro Slovenia 3
Euro Spain 3
Czech koruna Czech Republic 14
Danish krone Denmark 55
Forint Hungary 4
Krona Sweden 10
Kuna Croatia 0
Lev Bulgaria -7
Pound sterling United Kingdom 5
Romanian leu Romania 1
Zloty Poland 5
Króna Iceland -6
Norwegian krone Norway 33
Swiss franc Liechtenstein 8
Swiss franc Switzerland 8
Australian dollar Australia 8
Canadian dollar Canada 38
Renminbi-yuan China 36
Hong Kong dollar Hong Kong 2
US dollar United States 23
Yen Japan 6

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