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Commission Implementing Regulation (EU) 2022/186 of 10 February 2022 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 December 2021 until 30 March 2022 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 2022-02-11
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 92 98 120 237 333 3 417
2 78 91 97 118 236 370 2 551
3 76 90 98 122 229 388 1 922
4 75 89 99 124 225 389 1 481
5 73 88 100 123 223 380 1 170
6 73 89 100 125 221 366 946
7 72 89 100 124 219 349 780
8 70 88 99 125 217 331 654
9 68 87 98 126 215 312 556
10 67 86 98 126 213 307 478
11 66 85 98 126 212 306 414
12 65 84 96 124 210 304 362
13 63 82 95 123 209 303 318
14 62 81 93 121 207 301 301
15 61 80 92 120 206 300 300
16 60 78 91 119 205 299 299
17 59 77 90 118 204 298 298
18 58 77 89 117 203 297 297
19 57 76 88 116 202 296 296
20 56 75 87 115 201 295 295
21 55 74 87 115 201 294 294
22 54 73 86 114 200 293 293
23 53 72 85 113 199 292 292
24 52 71 83 111 197 291 291
25 51 70 82 110 196 290 290
26 50 69 81 109 195 289 289
27 49 68 80 108 194 288 288
28 48 67 79 107 193 287 287
29 47 66 78 106 192 286 286
30 46 65 79 105 191 285 285

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 64 71 92 210 315 3 347
2 51 64 70 91 209 365 2 508
3 50 63 72 95 203 383 1 891
4 49 63 74 98 200 384 1 457
5 49 64 75 99 198 375 1 151
6 49 65 76 100 197 361 930
7 49 66 76 101 196 343 766
8 48 65 76 102 194 325 642
9 47 65 77 104 193 306 545
10 46 65 77 105 192 287 468
11 45 64 77 105 191 285 405
12 45 64 76 104 190 284 354
13 44 63 75 103 189 283 311
14 43 62 75 103 189 283 283
15 43 62 74 102 188 282 282
16 42 61 73 101 187 281 281
17 42 60 73 101 187 281 281
18 41 60 72 100 186 280 280
19 41 59 72 100 186 280 280
20 40 59 72 100 186 280 280
21 40 59 72 100 186 279 279
22 40 59 71 99 185 279 279
23 39 58 71 99 185 278 278
24 39 57 70 98 184 278 278
25 38 57 69 97 183 277 277
26 37 56 69 97 183 276 276
27 37 55 70 96 182 276 276
28 36 55 72 95 181 275 275
29 35 54 75 95 181 274 274
30 34 53 77 94 180 274 274

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 67 185 308 3 266
2 28 40 46 68 185 355 2 435
3 27 40 48 72 179 372 1 834
4 26 40 50 75 176 373 1 413
5 26 41 52 76 176 364 1 116
6 27 43 54 78 175 350 902
7 27 44 55 79 174 334 744
8 27 44 55 81 173 316 623
9 26 44 56 83 172 297 529
10 26 45 57 85 172 280 455
11 26 44 57 85 171 265 394
12 25 44 56 84 170 264 344
13 24 43 56 84 170 264 303
14 24 43 55 83 169 263 268
15 23 42 55 83 169 262 262
16 22 41 54 82 168 262 262
17 22 41 53 82 167 261 261
18 22 41 53 81 167 261 261
19 22 41 53 81 167 261 261
20 22 41 53 81 167 261 261
21 22 41 54 81 167 261 261
22 22 41 57 81 167 261 261
23 21 40 58 81 167 261 261
24 21 40 61 81 167 261 261
25 21 40 64 80 166 260 260
26 21 40 66 80 166 260 260
27 20 39 69 80 166 260 260
28 20 39 71 80 166 259 259
29 20 39 73 79 165 259 259
30 19 38 76 79 165 259 259

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 24 141 299 3 162
2 0 1 6 25 142 344 2 352
3 1 1 9 30 137 360 1 770
4 1 3 11 33 135 361 1 363
5 1 4 14 35 135 353 1 078
6 2 4 16 38 135 339 872
7 2 6 19 41 135 323 720
8 2 6 22 43 135 306 604
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 49 135 229 294
14 4 12 36 49 135 229 260
15 5 12 38 48 134 228 231
16 6 13 41 48 133 227 227
17 6 14 43 50 133 227 227
18 6 15 45 52 133 227 227
19 7 15 47 54 133 227 227
20 7 17 50 56 134 228 228
21 7 17 52 58 134 228 228
22 8 18 54 60 134 228 228
23 8 18 57 61 134 228 228
24 8 20 59 64 134 228 228
25 9 20 62 66 134 228 228
26 9 21 64 68 135 228 228
27 10 23 67 69 137 227 227
28 10 23 68 71 138 227 227
29 10 24 71 73 139 227 227
30 11 25 74 75 141 227 227

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 81 199 305 3 224
2 41 53 60 81 199 351 2 408
3 40 53 61 85 193 370 1 818
4 39 53 64 88 190 371 1 403
5 40 55 66 89 189 363 1 109
6 40 56 67 92 188 349 897
7 41 58 68 93 187 333 741
8 40 58 69 94 186 315 621
9 39 58 69 96 186 297 528
10 39 58 70 98 185 280 454
11 38 57 70 98 184 278 393
12 38 57 69 97 183 277 344
13 37 56 69 97 183 276 302
14 37 56 68 96 182 276 276
15 36 55 67 95 181 275 275
16 35 54 67 95 181 274 274
17 35 54 66 94 180 274 274
18 34 53 66 94 180 274 274
19 34 53 65 93 179 273 273
20 34 53 65 93 179 273 273
21 33 52 65 93 179 273 273
22 33 52 64 92 178 272 272
23 32 51 64 92 178 272 272
24 32 51 63 91 177 271 271
25 31 50 63 90 176 270 270
26 30 49 66 90 176 270 270
27 30 49 68 89 175 269 269
28 29 48 71 88 174 268 268
29 28 47 73 88 174 267 267
30 27 46 76 87 173 267 267

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 3 224
2 17 29 36 57 175 350 2 398
3 19 32 41 65 172 367 1 807
4 22 36 46 71 172 368 1 394
5 24 39 50 74 174 361 1 103
6 24 40 51 75 172 347 893
7 28 46 56 81 175 331 738
8 27 45 56 82 174 314 619
9 28 47 58 86 175 297 527
10 30 49 61 89 176 279 453
11 31 50 63 91 177 271 393
12 32 51 64 92 178 271 344
13 32 51 64 92 178 272 303
14 33 52 64 92 178 272 272
15 33 52 64 92 178 272 272
16 33 51 64 92 178 272 272
17 33 52 64 92 178 272 272
18 32 51 63 91 177 271 271
19 32 51 63 91 177 271 271
20 32 51 63 91 177 271 271
21 32 51 63 91 177 271 271
22 31 50 63 91 177 271 271
23 31 50 63 91 177 270 270
24 31 50 62 90 176 270 270
25 30 49 64 90 176 270 270
26 30 49 66 89 175 269 269
27 29 48 69 89 175 269 269
28 29 48 71 88 174 268 268
29 28 47 74 88 174 267 267
30 28 47 77 87 173 267 267

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 32 53 171 308 3 269
2 14 26 33 54 172 354 2 433
3 15 28 36 60 168 372 1 833
4 15 29 39 64 166 373 1 412
5 16 31 43 66 166 364 1 115
6 18 34 45 69 166 350 901
7 19 36 47 71 166 333 743
8 19 37 48 74 166 316 623
9 19 38 49 77 166 298 529
10 20 39 51 79 166 280 455
11 20 39 52 80 166 262 394
12 20 39 52 80 166 260 344
13 21 39 52 80 166 260 303
14 21 39 52 80 166 260 268
15 21 40 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 79 165 259 259
23 20 39 58 79 165 259 259
24 19 38 61 79 165 258 258
25 19 38 63 78 164 258 258
26 18 37 66 78 164 257 257
27 18 37 68 77 163 257 257
28 17 36 71 77 163 257 257
29 17 36 73 76 162 256 256
30 17 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 58 64 85 203 324 3 455
2 49 61 67 89 206 374 2 581
3 51 64 72 96 204 393 1 946
4 52 66 77 101 203 394 1 499
5 54 69 81 104 204 385 1 184
6 56 72 83 108 204 370 957
7 58 75 85 110 204 353 789
8 57 75 86 112 204 334 661
9 58 76 88 115 204 315 562
10 58 77 89 117 204 298 482
11 58 77 90 118 204 298 418
12 58 77 89 117 203 297 365
13 57 76 89 117 203 296 321
14 56 75 88 116 202 296 296
15 56 74 87 115 201 295 295
16 55 74 86 114 200 294 294
17 54 73 86 114 200 293 293
18 54 72 85 113 199 293 293
19 53 72 84 112 198 292 292
20 52 71 84 112 198 292 292
21 52 71 83 111 197 291 291
22 51 70 82 110 196 290 290
23 50 69 81 109 195 289 289
24 49 68 80 108 194 288 288
25 48 67 80 108 194 287 287
26 47 66 79 107 193 286 286
27 46 65 78 106 192 285 285
28 45 64 77 105 191 285 285
29 44 63 77 104 190 284 284
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 95 116 234 330 3 431
2 81 94 100 121 239 376 2 593
3 82 95 103 127 235 399 1 972
4 82 96 106 131 233 403 1 528
5 85 100 112 135 235 395 1 211
6 88 104 115 139 236 381 981
7 90 107 117 142 236 364 810
8 91 109 120 146 238 345 680
9 92 111 122 149 239 332 578
10 93 112 124 152 239 333 496
11 93 112 124 152 238 332 430
12 92 111 124 152 238 332 376
13 91 110 123 151 237 330 330
14 90 109 121 149 235 329 329
15 88 107 120 148 234 328 328
16 87 106 119 147 233 326 326
17 86 105 117 145 231 325 325
18 85 103 116 144 230 324 324
19 83 102 115 143 229 322 322
20 82 101 113 141 227 321 321
21 80 99 112 140 226 320 320
22 79 98 110 138 224 318 318
23 77 96 109 137 223 317 317
24 76 95 107 135 221 315 315
25 74 93 105 133 219 313 313
26 72 91 104 132 218 312 312
27 71 90 102 130 216 310 310
28 69 88 101 129 215 308 308
29 68 86 99 127 213 307 307
30 66 85 97 125 211 305 305

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 7 19 25 47 164 305 3 227
2 10 22 28 50 167 351 2 407
3 12 25 33 57 164 369 1 814
4 13 27 37 62 164 370 1 398
5 15 30 42 65 165 361 1 105
6 17 33 44 69 165 347 894
7 19 36 46 71 165 331 737
8 19 37 48 74 166 313 618
9 19 38 49 76 166 296 525
10 20 38 51 78 166 278 451
11 20 39 51 79 165 261 391
12 20 38 51 79 165 259 342
13 19 38 50 79 164 258 301
14 18 37 50 78 164 258 266
15 18 37 49 77 163 257 257
16 17 36 48 76 162 256 256
17 17 36 48 76 162 256 256
18 16 35 48 76 162 256 256
19 16 35 49 76 162 256 256
20 17 35 51 76 162 256 256
21 17 36 54 76 162 256 256
22 17 36 56 76 162 256 256
23 17 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 76 162 255 255
27 16 35 68 75 161 255 255
28 16 35 71 75 161 255 255
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 90 103 109 130 248 344 3 432
2 91 104 110 131 249 372 2 569
3 91 104 113 137 244 392 1 941
4 92 106 116 141 242 395 1 500
5 93 108 119 142 242 387 1 188
6 94 110 121 145 242 373 962
7 95 112 122 147 241 356 794
8 95 112 123 149 241 338 666
9 94 112 124 151 240 334 567
10 93 112 124 152 239 333 487
11 92 111 123 151 237 331 422
12 90 109 122 150 236 330 369
13 89 107 120 148 234 328 328
14 87 106 118 146 232 326 326
15 85 104 116 144 230 324 324
16 83 102 115 143 229 322 322
17 82 101 113 141 227 321 321
18 80 99 112 140 226 319 319
19 79 98 110 138 224 318 318
20 78 97 109 137 223 317 317
21 77 96 108 136 222 316 316
22 76 94 107 135 221 315 315
23 74 93 106 134 220 314 314
24 73 92 105 133 219 312 312
25 72 91 103 131 217 311 311
26 71 90 102 130 216 310 310
27 69 88 101 129 215 309 309
28 68 87 100 128 214 308 308
29 67 86 99 127 213 306 306
30 66 85 97 125 211 305 305

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
1 313 325 331 353 470 566 3 578
2 81 93 99 121 238 386 2 674
3 83 96 104 128 236 405 2 013
4 85 99 109 134 235 406 1 549
5 87 102 113 137 237 396 1 223
6 89 105 116 141 237 381 988
7 91 108 119 143 238 363 814
8 92 109 121 146 238 344 682
9 92 111 122 150 239 332 579
10 93 111 124 151 238 332 497
11 93 112 124 152 238 332 431
12 93 112 125 153 239 332 377
13 93 112 125 153 239 333 333
14 94 113 125 154 239 333 333
15 95 114 126 154 240 334 334
16 96 115 127 155 241 335 335
17 97 116 128 156 242 336 336
18 98 117 129 157 243 337 337
19 99 117 130 158 244 338 338
20 99 118 130 158 244 338 338
21 99 118 131 159 245 338 338
22 99 118 130 158 244 338 338
23 98 117 129 157 243 337 337
24 97 116 129 157 243 336 336
25 96 115 127 155 241 335 335
26 95 114 126 154 240 334 334
27 93 112 125 153 239 333 333
28 92 111 123 151 237 331 331
29 91 109 122 150 236 330 330
30 89 108 121 149 235 328 328

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 35 152 304 3 222
2 0 7 13 35 152 349 2 392
3 1 7 15 39 147 365 1 798
4 1 7 17 42 144 366 1 385
5 1 8 20 43 143 357 1 093
6 2 10 21 46 142 343 884
7 2 12 22 47 141 327 729
8 2 12 23 49 141 310 611
9 3 12 25 51 140 292 519
10 4 12 26 52 139 274 446
11 4 12 29 53 139 257 387
12 4 12 32 53 139 241 338
13 4 13 34 53 139 233 297
14 4 13 37 53 139 233 263
15 6 13 38 54 140 233 234
16 6 13 41 54 140 234 234
17 6 14 44 54 140 234 234
18 6 15 46 55 141 235 235
19 7 15 48 55 141 235 235
20 7 17 51 57 142 236 236
21 7 17 53 59 143 237 237
22 8 18 55 61 144 238 238
23 8 20 58 63 144 238 238
24 9 20 61 65 145 239 239
25 9 21 63 67 145 239 239
26 9 21 65 69 146 239 239
27 10 23 67 71 146 240 240
28 10 23 70 73 146 240 240
29 11 24 72 75 146 240 240
30 11 25 76 77 146 240 240

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 65 87 204 311 3 293
2 48 60 66 88 205 358 2 458
3 47 60 69 92 200 376 1 853
4 47 61 71 95 197 377 1 428
5 47 62 73 97 196 368 1 128
6 48 64 75 99 196 354 912
7 48 65 76 100 195 337 752
8 48 65 76 102 194 319 630
9 47 66 77 105 194 301 535
10 47 65 78 105 192 286 460
11 45 64 77 105 191 285 399
12 44 63 76 104 190 283 348
13 43 62 74 102 188 282 306
14 41 60 73 101 187 281 281
15 40 59 72 100 186 279 279
16 39 58 70 98 184 278 278
17 38 57 69 97 183 277 277
18 37 56 68 96 182 276 276
19 36 55 67 95 181 275 275
20 36 54 67 95 181 275 275
21 35 54 66 94 180 274 274
22 34 53 66 94 180 274 274
23 34 53 65 93 179 273 273
24 33 52 65 93 179 272 272
25 32 51 64 92 178 272 272
26 32 51 66 91 177 271 271
27 31 50 69 90 176 270 270
28 30 49 71 90 176 270 270
29 30 49 73 89 175 269 269
30 29 48 77 89 175 268 268

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
1 110 122 129 150 268 363 3 448
2 112 124 130 152 269 375 2 585
3 113 126 134 158 266 395 1 953
4 114 128 138 163 264 397 1 509
5 115 130 142 165 265 389 1 195
6 117 133 144 169 265 375 969
7 119 136 146 171 265 359 801
8 118 136 147 173 265 359 673
9 118 137 148 176 265 358 573
10 118 137 149 177 264 358 493
11 117 136 149 177 263 357 428
12 116 135 148 176 262 355 374
13 115 134 146 174 260 354 354
14 113 132 144 172 258 352 352
15 111 130 142 170 256 350 350
16 109 128 140 168 254 348 348
17 107 126 138 166 252 346 346
18 105 124 136 164 250 344 344
19 103 122 134 162 248 342 342
20 101 120 133 161 247 340 340
21 99 118 131 159 245 339 339
22 98 117 129 157 243 337 337
23 96 115 127 155 241 335 335
24 94 113 125 153 239 333 333
25 92 111 123 152 237 331 331
26 90 109 122 150 236 330 330
27 88 107 120 148 234 328 328
28 87 106 118 146 232 326 326
29 85 104 116 144 230 324 324
30 83 102 115 143 229 323 323

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
1 162 174 180 202 319 415 3 827
2 171 184 190 211 329 425 2 806
3 176 189 197 221 329 424 2 088
4 178 192 202 227 328 423 1 598
5 179 194 205 229 328 422 1 258
6 179 196 207 231 328 421 1 016
7 180 197 208 232 327 420 838
8 179 196 208 233 325 419 704
9 178 196 208 235 324 418 599
10 177 196 208 236 323 417 516
11 176 195 207 235 321 415 448
12 173 192 205 233 319 413 413
13 171 190 202 230 316 410 410
14 168 187 199 227 313 407 407
15 165 184 196 224 310 404 404
16 162 181 193 221 307 401 401
17 159 178 190 218 304 398 398
18 156 175 187 215 301 395 395
19 153 172 184 212 298 392 392
20 150 169 182 210 296 389 389
21 147 166 179 207 293 386 386
22 144 163 176 204 290 383 383
23 141 160 172 200 286 380 380
24 138 157 169 197 283 377 377
25 135 154 166 194 280 374 374
26 132 151 163 191 277 371 371
27 129 148 160 188 274 368 368
28 126 145 158 186 272 365 365
29 123 142 155 183 269 363 363
30 121 140 152 180 266 360 360

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 68 185 313 3 318
2 29 41 47 69 186 359 2 466
3 28 42 50 74 181 376 1 856
4 28 42 52 77 179 377 1 430
5 29 44 55 79 178 368 1 130
6 30 46 57 81 178 354 914
7 30 47 58 82 177 338 754
8 29 47 58 84 176 320 632
9 29 47 59 86 175 302 537
10 29 47 60 87 174 284 461
11 28 47 60 88 174 268 400
12 28 47 59 87 173 267 350
13 27 46 59 87 173 266 308
14 27 46 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 27 46 58 86 172 266 266
21 27 46 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 85 171 265 265
25 26 45 65 85 171 265 265
26 25 44 67 85 171 265 265
27 25 44 70 85 170 264 264
28 25 44 72 84 170 264 264
29 24 43 75 84 170 264 264
30 24 43 77 83 169 263 263

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 65 182 312 3 308
2 27 39 45 67 184 360 2 473
3 28 41 49 73 181 378 1 866
4 29 43 53 78 179 380 1 439
5 31 46 57 81 180 371 1 138
6 32 48 60 84 180 358 921
7 34 51 62 86 181 341 761
8 34 52 63 89 181 323 638
9 35 53 65 92 181 305 543
10 36 54 67 94 182 287 466
11 36 55 68 96 182 276 404
12 37 56 68 96 182 276 354
13 37 56 68 96 182 276 311
14 37 55 68 96 182 276 276
15 36 55 68 96 182 276 276
16 36 55 68 96 182 275 275
17 36 55 68 96 182 276 276
18 36 55 68 96 182 276 276
19 36 55 68 96 182 276 276
20 37 56 68 96 182 276 276
21 37 56 68 96 182 276 276
22 37 56 68 96 182 276 276
23 36 55 68 96 182 276 276
24 36 55 68 96 182 275 275
25 36 55 67 95 181 275 275
26 35 54 68 95 181 274 274
27 35 53 70 94 180 274 274
28 34 53 73 93 179 273 273
29 33 52 75 93 179 273 273
30 33 52 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
1 121 134 140 161 279 375 3 630
2 120 133 139 160 278 390 2 709
3 119 132 140 164 272 409 2 039
4 118 132 142 167 269 410 1 569
5 118 134 145 168 268 401 1 238
6 119 135 146 170 267 385 1 000
7 119 136 147 171 266 367 824
8 118 136 147 173 265 359 690
9 118 136 148 175 264 358 585
10 117 136 149 176 263 357 502
11 117 136 148 176 263 356 435
12 116 135 147 175 261 355 380
13 115 134 146 174 260 354 354
14 114 132 145 173 259 353 353
15 111 130 143 171 257 351 351
16 109 128 141 169 255 349 349
17 107 126 138 166 252 346 346
18 105 124 136 164 250 344 344
19 103 122 134 162 248 342 342
20 101 120 132 160 246 340 340
21 98 117 130 158 244 338 338
22 96 115 128 156 242 336 336
23 94 113 126 154 240 333 333
24 92 111 123 151 237 331 331
25 90 109 121 149 235 329 329
26 88 107 119 147 233 327 327
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 80 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 36 153 305 3 229
2 0 10 16 38 155 351 2 409
3 1 12 20 44 151 369 1 815
4 1 14 24 49 150 370 1 400
5 1 16 28 51 151 362 1 107
6 3 19 31 55 151 348 896
7 5 22 33 57 152 332 739
8 5 23 34 60 152 314 620
9 6 24 35 63 152 296 526
10 6 24 37 64 152 278 452
11 6 25 37 65 151 261 392
12 6 24 37 65 151 245 342
13 5 24 37 65 151 245 301
14 5 24 37 65 150 244 266
15 6 24 40 64 150 244 244
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 24 49 64 150 244 244
20 7 24 51 65 151 245 245
21 7 25 54 65 151 245 245
22 8 25 56 65 151 245 245
23 8 25 58 66 152 245 245
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 26 68 72 152 246 246
28 10 26 71 73 152 246 246
29 11 26 73 75 152 246 246
30 11 26 76 77 152 246 246

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 71 189 310 3 284
2 32 44 50 72 189 356 2 444
3 30 43 52 76 183 373 1 838
4 29 43 53 78 180 373 1 415
5 29 44 56 79 179 364 1 117
6 32 48 59 83 180 350 903
7 30 47 57 82 177 334 744
8 33 51 62 88 180 316 624
9 33 51 63 90 179 298 530
10 28 46 59 86 174 280 455
11 24 42 55 83 169 263 394
12 20 39 52 80 166 260 344
13 18 37 50 78 164 257 302
14 16 35 48 76 162 256 267
15 15 34 46 74 160 254 254
16 13 32 45 73 159 253 253
17 13 31 44 72 158 252 252
18 12 31 47 71 157 251 251
19 12 30 49 71 157 251 251
20 12 30 51 71 157 251 251
21 12 30 54 71 157 251 251
22 12 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 71 157 250 250
26 11 30 66 70 156 250 250
27 11 30 68 71 156 250 250
28 11 30 71 73 156 250 250
29 11 30 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
1 202 214 221 242 360 455 4 446
2 199 211 217 239 356 476 3 376
3 193 207 215 239 346 506 2 572
4 189 203 213 238 340 511 1 991
5 185 200 211 235 335 502 1 574
6 182 198 209 233 330 484 1 271
7 179 196 206 231 325 461 1 044
8 174 192 203 229 321 436 871
9 171 189 200 228 317 411 737
10 167 185 198 226 313 406 630
11 163 182 194 222 308 402 544
12 159 178 190 218 304 398 473
13 155 174 186 214 300 394 414
14 151 170 182 210 296 390 390
15 147 166 179 207 293 387 387
16 144 163 175 203 289 383 383
17 141 160 172 200 286 380 380
18 138 156 169 197 283 377 377
19 135 153 166 194 280 374 374
20 132 151 163 191 277 371 371
21 129 148 160 188 274 368 368
22 126 145 157 185 271 365 365
23 123 142 155 183 269 362 362
24 120 139 152 180 266 360 360
25 118 137 149 177 263 357 357
26 115 134 147 175 261 354 354
27 113 132 144 172 258 352 352
28 110 129 142 170 256 349 349
29 108 127 139 167 253 347 347
30 106 124 137 165 251 345 345

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 25 51 169 305 3 228
2 0 14 25 51 169 351 2 407
3 1 17 28 55 166 369 1 815
4 1 20 31 61 165 370 1 398
5 3 23 36 66 166 361 1 105
6 5 26 39 68 166 348 894
7 8 30 42 71 167 331 738
8 10 34 45 74 167 314 618
9 12 37 49 76 167 296 526
10 13 39 51 77 167 278 452
11 14 40 52 78 167 261 391
12 15 42 54 79 167 261 342
13 16 43 54 80 167 261 301
14 16 44 55 80 167 261 266
15 16 44 55 80 167 261 261
16 16 44 55 80 167 260 260
17 16 44 55 80 167 260 260
18 16 44 55 80 167 260 260
19 16 44 55 80 167 261 261
20 16 44 55 80 167 261 261
21 16 44 55 80 167 261 261
22 16 44 56 80 167 261 261
23 16 44 58 80 167 261 261
24 16 44 61 80 167 261 261
25 16 44 63 80 167 261 261
26 16 44 66 80 167 260 260
27 16 44 68 80 166 260 260
28 16 44 71 80 166 260 260
29 16 44 73 80 166 260 260
30 16 44 75 80 165 259 259

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 14 132 303 3 200
2 0 1 6 14 131 347 2 375
3 1 1 9 17 124 363 1 785
4 1 3 11 20 121 363 1 374
5 1 4 14 22 120 354 1 085
6 2 4 16 25 119 341 877
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 37 119 255 384
12 4 10 31 39 119 239 335
13 4 10 34 41 119 224 295
14 4 12 36 43 119 213 261
15 6 12 38 45 120 214 232
16 6 13 41 48 120 214 214
17 6 14 43 50 120 214 214
18 6 15 46 52 123 215 215
19 7 15 48 54 125 215 215
20 7 17 50 56 127 216 216
21 7 17 53 58 128 216 216
22 8 18 55 60 130 216 216
23 8 18 57 62 132 217 217
24 8 20 59 64 133 217 217
25 9 20 62 66 135 217 217
26 9 21 64 68 137 217 217
27 10 23 67 70 138 217 217
28 10 23 69 71 139 217 217
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 21
Danish krone Denmark 47
Forint Hungary 8
Krona Sweden 11
Kuna Croatia -0
Lev Bulgaria -4
Pound sterling United Kingdom 3
Romanian leu Romania 5
Zloty Poland 17
Króna Iceland -7
Norwegian krone Norway 32
Swiss franc Liechtenstein 4
Swiss franc Switzerland 4
Australian dollar Australia 15
Canadian dollar Canada 39
Renminbi-yuan China 34
Hong Kong dollar Hong Kong 2
US dollar United States 23
Yen Japan 4

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