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Commission Implementing Regulation (EU) 2022/732 of 12 May 2022 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 March 2022 until 29 June 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 2022-05-13
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 92 98 120 237 332 3 238
2 78 91 97 118 236 359 2 441
3 77 90 98 122 229 377 1 856
4 75 89 99 123 225 379 1 439
5 73 88 100 123 223 370 1 143
6 73 89 100 124 221 357 928
7 72 89 100 124 219 340 768
8 70 88 99 125 216 322 645
9 69 87 98 126 214 308 549
10 68 86 99 126 213 307 472
11 66 85 98 126 212 305 410
12 65 84 96 124 210 304 359
13 64 82 95 123 209 302 316
14 62 81 94 121 207 301 301
15 61 80 92 120 206 300 300
16 60 79 91 119 205 298 298
17 59 78 90 118 204 297 297
18 58 77 89 117 203 297 297
19 57 76 88 116 202 296 296
20 56 75 88 116 201 295 295
21 55 74 87 115 200 294 294
22 55 73 86 114 199 293 293
23 53 72 85 113 198 292 292
24 52 71 84 112 197 291 291
25 51 70 83 110 196 290 290
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 92 209 315 3 267
2 51 64 70 91 209 361 2 454
3 50 63 72 95 203 378 1 859
4 50 63 74 98 200 378 1 438
5 49 64 75 99 198 368 1 139
6 49 65 76 100 197 354 923
7 49 66 77 101 195 337 762
8 48 65 76 102 194 319 640
9 47 65 77 104 193 300 544
10 46 65 77 105 191 285 468
11 46 64 77 105 191 284 406
12 45 64 76 104 190 283 355
13 44 63 76 103 189 283 313
14 44 62 75 103 189 282 282
15 43 62 74 102 188 282 282
16 42 61 74 101 187 281 281
17 42 61 73 101 187 280 280
18 41 60 73 100 186 280 280
19 41 60 72 100 186 279 279
20 41 59 72 100 186 279 279
21 40 59 72 100 185 279 279
22 40 59 71 99 185 279 279
23 39 58 71 99 184 278 278
24 39 58 70 98 184 277 277
25 38 57 69 97 183 277 277
26 37 56 69 97 182 276 276
27 37 56 71 96 182 275 275
28 36 55 73 95 181 275 275
29 35 54 77 94 180 274 274
30 35 53 79 94 180 273 273

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 67 184 304 3 135
2 28 40 46 68 185 346 2 343
3 27 40 48 72 179 362 1 774
4 26 40 50 74 176 362 1 374
5 26 41 52 76 175 354 1 090
6 27 43 54 78 174 340 885
7 27 44 55 79 174 324 731
8 27 44 55 81 173 307 614
9 26 44 56 83 172 289 523
10 26 45 57 85 171 272 450
11 26 44 57 85 171 264 391
12 25 44 56 84 170 264 342
13 24 43 56 84 169 263 301
14 24 43 55 83 169 262 267
15 23 42 55 82 168 262 262
16 23 41 54 82 167 261 261
17 22 41 54 81 167 261 261
18 22 41 53 81 167 261 261
19 22 41 53 81 167 260 260
20 22 41 53 81 167 260 260
21 22 41 54 81 167 260 260
22 22 41 57 81 167 260 260
23 22 40 59 81 167 260 260
24 21 40 62 81 166 260 260
25 21 40 64 80 166 260 260
26 21 40 67 80 166 259 259
27 21 39 69 80 166 259 259
28 20 39 72 79 165 259 259
29 20 39 74 79 165 259 259
30 20 38 77 79 165 258 258

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 24 141 290 2 987
2 0 1 6 25 142 332 2 236
3 1 1 8 29 137 347 1 695
4 1 3 11 33 135 348 1 313
5 1 4 14 35 135 340 1 043
6 2 4 16 38 135 327 847
7 2 6 19 40 135 312 701
8 2 6 21 43 135 296 590
9 4 7 24 46 135 279 503
10 4 8 27 48 135 263 433
11 4 9 29 49 136 247 376
12 4 9 31 48 134 231 330
13 4 11 34 49 135 229 290
14 5 11 37 49 135 228 257
15 6 13 38 48 134 227 229
16 6 13 41 47 133 226 226
17 6 14 43 49 133 226 226
18 6 15 46 51 133 226 226
19 7 16 48 52 133 227 227
20 7 16 51 55 134 227 227
21 7 18 53 57 134 228 228
22 8 18 55 58 134 228 228
23 8 19 58 61 134 228 228
24 8 21 60 63 134 227 227
25 9 21 63 65 134 227 227
26 9 22 64 66 134 227 227
27 10 23 67 68 135 227 227
28 10 24 69 70 136 227 227
29 10 24 72 72 138 227 227
30 11 26 75 73 138 227 227

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 59 80 198 299 3 081
2 41 53 59 81 198 344 2 327
3 40 53 61 85 193 361 1 768
4 39 53 63 88 190 362 1 370
5 40 54 66 89 189 354 1 088
6 40 56 67 91 188 341 883
7 41 58 68 93 187 325 731
8 40 57 68 94 186 308 615
9 39 57 69 96 185 290 524
10 39 58 70 97 184 278 451
11 39 57 70 98 184 277 392
12 38 57 69 97 183 276 343
13 37 56 69 96 182 276 302
14 37 55 68 96 182 275 275
15 36 55 67 95 181 275 275
16 35 54 67 94 180 274 274
17 35 54 66 94 180 273 273
18 34 53 66 93 179 273 273
19 34 53 65 93 179 272 272
20 34 53 65 93 179 272 272
21 33 52 65 93 178 272 272
22 33 52 64 92 178 272 272
23 32 51 64 92 177 271 271
24 32 51 63 91 177 270 270
25 31 50 64 90 176 270 270
26 30 49 67 90 175 269 269
27 30 48 69 89 175 268 268
28 29 48 72 88 174 267 267
29 28 47 74 87 173 267 267
30 27 46 77 87 172 266 266

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 53 171 295 3 038
2 17 29 35 57 174 336 2 272
3 19 32 41 64 172 352 1 723
4 22 36 46 70 172 353 1 337
5 24 39 50 74 173 346 1 063
6 24 40 51 75 171 333 864
7 28 45 56 80 175 318 716
8 27 45 56 82 174 302 603
9 29 47 58 85 174 286 514
10 30 49 61 89 176 269 443
11 31 50 63 91 177 270 386
12 32 51 63 91 177 271 338
13 33 51 64 92 178 271 298
14 33 52 64 92 178 271 271
15 33 52 64 92 178 272 272
16 33 51 64 92 178 271 271
17 33 52 64 92 178 271 271
18 32 51 63 91 177 271 271
19 32 51 63 91 177 270 270
20 32 51 63 91 177 271 271
21 32 51 63 91 177 270 270
22 32 50 63 91 177 270 270
23 31 50 63 90 176 270 270
24 31 50 62 90 176 269 269
25 30 49 64 90 175 269 269
26 30 49 67 89 175 268 268
27 29 48 69 89 174 268 268
28 29 48 72 88 174 267 267
29 28 47 74 87 173 267 267
30 28 47 77 87 173 266 266

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 53 170 304 3 146
2 14 27 33 54 172 347 2 351
3 15 28 36 60 167 362 1 779
4 15 29 39 64 165 363 1 376
5 16 31 43 66 165 354 1 091
6 18 34 45 69 165 340 885
7 19 36 47 71 165 324 732
8 19 37 48 74 165 307 615
9 20 38 49 76 165 290 524
10 20 39 51 79 165 273 451
11 20 39 52 80 166 259 392
12 21 39 52 80 166 259 343
13 21 40 52 80 166 259 302
14 21 40 52 80 166 259 267
15 21 40 52 80 166 259 259
16 21 39 52 80 165 259 259
17 21 39 52 80 166 259 259
18 21 39 52 80 165 259 259
19 20 39 52 80 165 259 259
20 21 39 52 80 166 259 259
21 21 39 54 80 165 259 259
22 20 39 57 79 165 259 259
23 20 39 59 79 165 258 258
24 19 38 62 78 164 258 258
25 19 38 64 78 164 257 257
26 18 37 67 77 163 257 257
27 18 37 69 77 163 256 256
28 17 36 72 77 162 256 256
29 17 36 74 76 162 256 256
30 17 36 77 76 162 255 255

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 58 65 86 203 325 3 383
2 49 61 68 89 206 370 2 525
3 52 65 73 97 204 385 1 906
4 53 67 77 102 203 385 1 470
5 55 69 81 104 204 375 1 163
6 57 73 84 108 204 360 942
7 58 75 85 110 204 343 778
8 58 75 87 112 204 324 653
9 58 76 88 115 204 305 555
10 59 77 90 117 204 298 477
11 59 77 90 118 204 297 414
12 58 77 89 117 203 297 362
13 57 76 89 117 202 296 319
14 57 76 88 116 202 295 295
15 56 75 87 115 201 295 295
16 55 74 87 114 200 294 294
17 55 73 86 114 200 293 293
18 54 73 85 113 199 293 293
19 53 72 85 113 198 292 292
20 53 72 84 112 198 291 291
21 52 71 83 111 197 291 291
22 51 70 83 110 196 290 290
23 50 69 82 109 195 289 289
24 49 68 81 109 194 288 288
25 49 67 80 108 193 287 287
26 48 66 79 107 193 286 286
27 47 65 78 106 192 285 285
28 46 64 77 105 191 284 284
29 45 64 77 104 190 283 283
30 44 63 80 103 189 282 282

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 89 95 117 234 330 3 430
2 82 94 100 122 239 377 2 574
3 83 96 104 128 235 395 1 955
4 83 97 107 131 233 396 1 516
5 86 101 112 135 235 388 1 204
6 88 104 115 140 236 374 977
7 90 107 118 142 237 357 809
8 92 109 120 146 238 339 680
9 93 111 123 150 239 332 579
10 94 112 125 152 239 333 499
11 94 112 125 153 239 332 433
12 93 112 124 152 238 331 379
13 92 111 123 151 237 330 333
14 90 109 122 150 235 329 329
15 89 108 120 148 234 328 328
16 88 107 119 147 233 326 326
17 86 105 118 146 231 325 325
18 85 104 116 144 230 324 324
19 84 103 115 143 229 322 322
20 82 101 114 142 227 321 321
21 81 100 112 140 226 320 320
22 80 98 111 139 224 318 318
23 78 97 109 137 223 316 316
24 76 95 107 135 221 315 315
25 75 93 106 134 220 313 313
26 73 92 104 132 218 311 311
27 71 90 103 130 216 310 310
28 70 88 101 129 215 308 308
29 68 87 99 127 213 307 307
30 67 85 98 126 211 305 305

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 26 47 164 300 3 091
2 10 22 29 50 167 344 2 326
3 12 25 33 57 164 360 1 762
4 13 27 37 62 163 360 1 363
5 15 30 42 65 164 351 1 081
6 17 33 44 69 165 338 877
7 19 36 46 71 165 322 726
8 19 37 48 73 165 305 610
9 19 38 49 76 165 288 519
10 20 38 51 78 165 271 447
11 20 39 51 79 165 259 388
12 20 39 51 79 165 258 340
13 19 38 51 78 164 258 299
14 19 37 50 78 164 257 265
15 18 37 49 77 163 257 257
16 17 36 48 76 162 256 256
17 17 36 48 76 162 255 255
18 17 35 48 76 162 255 255
19 17 35 50 76 162 255 255
20 17 36 52 76 162 255 255
21 17 36 54 76 162 255 255
22 17 36 57 76 162 255 255
23 17 36 59 76 162 255 255
24 17 35 62 76 162 255 255
25 16 35 64 76 161 255 255
26 16 35 67 75 161 255 255
27 16 35 69 75 161 255 255
28 16 35 72 75 161 254 254
29 16 34 74 75 161 254 254
30 15 34 77 75 160 254 254

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 90 103 109 130 248 343 3 246
2 92 104 110 131 249 359 2 442
3 91 104 113 136 244 378 1 857
4 92 106 116 140 242 380 1 443
5 93 108 119 142 242 372 1 148
6 94 110 121 145 242 359 934
7 95 112 122 147 241 343 774
8 95 113 124 149 241 335 651
9 94 113 124 151 240 334 555
10 94 112 125 152 239 333 478
11 92 111 123 151 237 331 415
12 91 109 122 150 236 329 364
13 89 108 120 148 234 327 327
14 87 106 118 146 232 326 326
15 85 104 117 145 230 324 324
16 84 102 115 143 228 322 322
17 82 101 113 141 227 321 321
18 81 99 112 140 226 319 319
19 79 98 111 138 224 318 318
20 78 97 109 137 223 317 317
21 77 96 108 136 222 316 316
22 76 95 107 135 221 315 315
23 75 94 106 134 220 313 313
24 74 92 105 133 218 312 312
25 72 91 104 131 217 311 311
26 71 90 102 130 216 310 310
27 70 89 101 129 215 308 308
28 69 88 100 128 214 307 307
29 68 86 99 127 213 306 306
30 66 85 98 126 211 305 305

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
1 311 323 330 351 468 564 3 451
2 81 93 100 121 238 379 2 589
3 83 96 104 128 236 395 1 958
4 85 99 109 134 235 395 1 512
5 87 102 114 137 237 385 1 197
6 89 105 117 141 237 370 970
7 91 108 119 143 238 353 801
8 92 110 121 147 238 334 673
9 93 111 123 150 239 332 572
10 93 112 124 152 238 332 492
11 93 112 125 152 238 332 427
12 94 112 125 153 239 332 373
13 94 113 125 153 239 333 333
14 94 113 126 154 239 333 333
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 99 118 130 158 244 337 337
20 99 118 131 158 244 338 338
21 99 118 131 158 244 338 338
22 99 118 130 158 244 338 338
23 98 117 130 157 243 337 337
24 97 116 129 156 242 336 336
25 96 115 127 155 241 335 335
26 95 114 126 154 240 334 334
27 94 112 125 153 239 332 332
28 92 111 123 151 237 331 331
29 91 110 122 150 236 329 329
30 89 108 121 148 234 328 328

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 35 152 296 3 048
2 0 7 13 35 152 337 2 275
3 1 7 15 39 147 351 1 720
4 1 7 17 42 143 352 1 331
5 1 8 20 43 143 343 1 056
6 2 10 21 45 142 330 857
7 2 12 22 47 141 315 709
8 2 12 23 49 140 298 596
9 4 12 24 50 139 281 508
10 4 12 27 52 139 264 437
11 4 12 30 53 139 248 380
12 4 13 31 53 139 233 333
13 4 13 34 53 139 232 293
14 5 13 37 53 139 233 260
15 6 13 39 54 139 233 233
16 6 13 41 54 140 233 233
17 6 14 44 54 140 234 234
18 6 15 46 55 141 234 234
19 7 16 48 55 141 235 235
20 7 16 51 56 142 236 236
21 7 18 54 57 143 237 237
22 8 19 55 59 144 237 237
23 8 19 58 61 144 238 238
24 8 21 61 63 145 238 238
25 9 21 63 65 145 239 239
26 9 22 66 67 145 239 239
27 10 23 68 69 146 239 239
28 10 24 70 71 146 239 239
29 10 25 73 73 146 240 240
30 11 26 75 75 146 240 240

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 87 204 305 3 155
2 48 60 66 87 205 350 2 370
3 47 60 68 92 200 366 1 794
4 47 60 71 95 197 366 1 388
5 47 62 73 96 196 357 1 101
6 48 64 75 99 196 343 893
7 48 65 75 100 194 327 739
8 48 65 76 102 194 310 621
9 47 66 77 104 193 292 528
10 47 65 78 105 192 286 455
11 46 64 77 105 191 284 395
12 44 63 75 103 189 283 345
13 43 62 74 102 188 281 304
14 42 60 73 101 186 280 280
15 40 59 72 99 185 279 279
16 39 58 70 98 184 277 277
17 38 57 69 97 183 276 276
18 37 56 68 96 182 276 276
19 36 55 67 95 181 275 275
20 36 55 67 95 181 274 274
21 35 54 66 94 180 274 274
22 35 53 66 94 180 273 273
23 34 53 65 93 179 272 272
24 33 52 65 92 178 272 272
25 33 51 65 92 177 271 271
26 32 51 67 91 177 270 270
27 31 50 70 90 176 270 270
28 31 49 72 90 175 269 269
29 30 49 74 89 175 268 268
30 29 48 78 88 174 268 268

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
1 110 122 129 150 267 363 3 288
2 112 124 130 151 269 364 2 478
3 113 126 134 158 265 382 1 883
4 114 128 138 163 264 384 1 462
5 116 130 142 165 265 376 1 163
6 117 133 144 169 265 363 946
7 119 136 146 171 265 359 785
8 119 136 147 173 265 358 661
9 119 137 148 175 264 358 564
10 118 137 149 177 264 357 486
11 118 137 149 177 263 356 422
12 117 135 148 176 261 355 370
13 115 134 146 174 260 354 354
14 113 132 144 172 258 352 352
15 111 130 143 170 256 350 350
16 109 128 140 168 254 348 348
17 107 126 138 166 252 346 346
18 105 124 136 164 250 344 344
19 103 122 135 162 248 342 342
20 102 121 133 161 247 340 340
21 100 119 131 159 245 339 339
22 98 117 129 157 243 337 337
23 96 115 128 155 241 335 335
24 94 113 126 154 239 333 333
25 93 111 124 152 237 331 331
26 91 110 122 150 236 329 329
27 89 108 120 148 234 327 327
28 87 106 118 146 232 326 326
29 85 104 117 145 230 324 324
30 84 103 115 143 229 322 322

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
1 162 174 181 202 319 415 3 655
2 172 184 190 211 329 424 2 707
3 176 189 197 221 328 424 2 039
4 178 192 202 226 328 422 1 575
5 179 194 205 229 328 422 1 248
6 180 196 207 231 327 421 1 013
7 180 197 207 232 326 420 838
8 179 196 208 233 325 419 705
9 178 196 208 235 324 417 602
10 177 196 208 236 323 416 519
11 176 195 207 235 321 415 451
12 174 192 205 233 319 412 412
13 171 190 202 230 316 410 410
14 168 187 199 227 313 407 407
15 165 184 196 224 310 404 404
16 162 181 194 221 307 401 401
17 159 178 191 218 304 398 398
18 156 175 188 215 301 395 395
19 153 172 185 213 298 392 392
20 151 169 182 210 295 389 389
21 148 166 179 207 292 386 386
22 144 163 176 204 289 383 383
23 141 160 173 201 286 380 380
24 138 157 170 197 283 377 377
25 135 154 167 194 280 374 374
26 132 151 164 191 277 371 371
27 129 148 161 188 274 368 368
28 127 145 158 186 271 365 365
29 124 143 155 183 269 362 362
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 47 68 185 303 3 125
2 29 41 47 69 186 345 2 334
3 29 42 50 74 181 360 1 767
4 28 42 52 77 179 361 1 368
5 29 44 55 79 178 352 1 086
6 30 46 57 81 177 339 882
7 31 47 58 82 177 323 730
8 30 47 58 84 176 307 613
9 29 47 59 86 175 289 523
10 29 47 60 87 174 272 450
11 28 47 60 87 174 267 391
12 28 47 59 87 173 267 342
13 27 46 59 87 172 266 302
14 27 46 58 86 172 266 267
15 27 46 58 86 172 265 265
16 27 45 58 86 172 265 265
17 27 45 58 86 172 265 265
18 27 46 58 86 172 265 265
19 27 46 58 86 172 265 265
20 27 46 58 86 172 265 265
21 27 46 58 86 172 265 265
22 27 46 58 86 172 265 265
23 27 45 59 86 172 265 265
24 26 45 62 85 171 265 265
25 26 45 65 85 171 265 265
26 26 45 67 85 171 264 264
27 25 44 70 85 170 264 264
28 25 44 72 84 170 264 264
29 25 43 74 84 170 263 263
30 24 43 78 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 44 65 182 302 3 123
2 27 39 45 67 184 347 2 347
3 28 41 49 73 180 364 1 783
4 29 43 53 78 179 365 1 384
5 31 46 57 81 180 357 1 100
6 33 49 60 84 180 344 894
7 35 52 62 87 181 329 740
8 35 52 63 89 181 312 623
9 35 53 65 92 181 294 531
10 36 55 67 95 181 277 457
11 37 55 68 96 182 275 397
12 37 56 68 96 182 276 348
13 37 56 68 96 182 276 307
14 37 56 68 96 182 275 275
15 37 56 68 96 182 275 275
16 37 55 68 96 181 275 275
17 37 55 68 96 182 275 275
18 37 56 68 96 182 275 275
19 37 56 68 96 182 275 275
20 37 56 68 96 182 276 276
21 37 56 69 96 182 276 276
22 37 56 68 96 182 276 276
23 37 56 68 96 182 275 275
24 36 55 68 96 181 275 275
25 36 55 67 95 181 275 275
26 35 54 68 95 180 274 274
27 35 54 71 94 180 273 273
28 34 53 73 93 179 273 273
29 34 53 76 93 179 272 272
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
1 122 135 141 162 280 375 3 719
2 121 133 140 161 278 398 2 747
3 120 133 141 165 272 413 2 065
4 119 133 143 168 269 412 1 591
5 119 134 146 169 268 401 1 258
6 119 135 146 171 267 386 1 018
7 120 137 147 172 266 367 840
8 119 137 148 174 265 359 705
9 118 137 148 175 264 358 600
10 118 137 149 177 264 357 516
11 118 136 149 177 263 356 448
12 117 135 148 176 262 355 391
13 116 134 147 175 260 354 354
14 114 133 146 173 259 353 353
15 112 131 143 171 257 351 351
16 110 129 141 169 255 349 349
17 108 126 139 167 253 346 346
18 106 124 137 165 251 344 344
19 104 122 135 163 248 342 342
20 101 120 133 161 246 340 340
21 99 118 130 158 244 338 338
22 97 116 128 156 242 336 336
23 95 114 126 154 240 333 333
24 93 111 124 152 238 331 331
25 90 109 122 150 235 329 329
26 88 107 120 147 233 327 327
27 86 105 117 145 231 325 325
28 84 103 115 143 229 323 323
29 82 101 113 141 227 321 321
30 80 99 111 139 225 319 319

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 36 153 300 3 092
2 0 10 16 38 155 343 2 323
3 1 12 20 44 151 359 1 760
4 1 14 24 49 150 360 1 363
5 2 17 28 51 151 351 1 082
6 4 20 31 55 151 338 878
7 5 22 33 57 152 322 726
8 6 23 34 60 152 305 610
9 6 24 36 63 152 288 520
10 6 25 37 64 151 271 447
11 6 25 37 65 151 254 388
12 6 25 37 65 151 244 340
13 6 24 37 65 151 244 299
14 5 24 37 64 150 244 265
15 6 24 40 64 150 244 244
16 6 24 43 64 150 243 243
17 6 24 44 64 150 243 243
18 6 24 47 64 150 243 243
19 7 24 50 64 150 244 244
20 7 24 52 65 151 244 244
21 7 25 54 65 151 245 245
22 8 25 57 65 151 245 245
23 9 25 59 66 151 245 245
24 9 25 62 66 152 245 245
25 10 26 64 66 152 245 245
26 10 26 67 68 152 245 245
27 11 26 69 70 152 245 245
28 11 26 72 72 152 246 246
29 11 26 74 73 152 246 246
30 12 26 77 75 152 246 246

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 71 188 302 3 122
2 32 44 50 71 189 346 2 342
3 30 43 52 75 183 362 1 774
4 29 43 53 78 180 362 1 373
5 29 44 56 79 178 353 1 089
6 32 48 59 83 179 340 883
7 30 47 57 82 176 324 730
8 33 51 62 88 179 307 614
9 33 51 62 89 178 289 522
10 28 46 59 86 173 272 449
11 24 42 55 83 169 262 390
12 21 39 52 80 166 259 341
13 18 37 50 77 163 257 300
14 16 35 48 76 161 255 266
15 15 34 46 74 160 254 254
16 14 32 45 73 159 252 252
17 13 32 44 72 158 251 251
18 12 31 47 71 157 251 251
19 12 31 50 71 157 250 250
20 12 31 52 71 157 250 250
21 12 31 54 71 157 250 250
22 12 31 57 71 157 250 250
23 12 30 59 71 157 250 250
24 12 30 62 71 156 250 250
25 11 30 64 70 156 250 250
26 11 30 67 70 156 250 250
27 11 30 69 70 156 250 250
28 11 30 72 71 156 249 249
29 11 30 74 73 156 249 249
30 12 29 76 75 156 249 249

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
1 204 216 222 243 361 456 4 286
2 201 213 219 240 358 469 3 277
3 196 209 217 241 348 494 2 501
4 191 205 215 240 341 497 1 940
5 187 202 213 237 336 486 1 537
6 184 200 211 235 332 468 1 242
7 181 198 208 233 327 445 1 023
8 177 194 205 231 323 421 855
9 173 191 202 230 318 412 724
10 169 187 200 227 314 408 620
11 165 184 196 224 310 404 535
12 161 180 192 220 306 399 466
13 157 176 188 216 302 395 408
14 153 172 184 212 298 392 392
15 149 168 181 208 294 388 388
16 146 165 177 205 291 384 384
17 142 161 174 202 287 381 381
18 139 158 171 198 284 378 378
19 136 155 168 195 281 375 375
20 133 152 165 193 278 372 372
21 131 149 162 190 275 369 369
22 128 146 159 187 273 366 366
23 125 144 156 184 270 363 363
24 122 141 153 181 267 361 361
25 119 138 151 178 264 358 358
26 117 135 148 176 262 355 355
27 114 133 145 173 259 353 353
28 112 130 143 171 257 350 350
29 109 128 140 168 254 348 348
30 107 126 138 166 252 345 345

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 51 169 302 3 113
2 0 14 25 51 169 346 2 341
3 1 17 28 55 166 362 1 772
4 1 20 31 60 165 361 1 370
5 3 23 36 66 166 352 1 085
6 5 26 39 68 166 339 880
7 8 30 42 70 166 323 728
8 10 34 45 74 167 306 612
9 12 37 49 76 167 288 520
10 13 39 51 77 167 271 448
11 14 40 52 78 167 260 389
12 15 42 53 79 167 260 340
13 16 43 54 80 167 260 300
14 16 44 55 80 167 260 265
15 16 44 55 80 167 260 260
16 17 44 55 80 166 260 260
17 17 44 55 80 166 260 260
18 17 44 55 80 166 260 260
19 17 44 55 80 166 260 260
20 17 44 55 80 167 260 260
21 17 44 55 80 167 260 260
22 17 44 57 80 167 260 260
23 17 44 59 80 167 260 260
24 17 44 62 80 167 260 260
25 17 44 64 80 166 260 260
26 17 44 67 80 166 260 260
27 17 44 68 80 166 260 260
28 17 44 72 80 166 259 259
29 17 44 74 80 165 259 259
30 17 44 76 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 14 132 292 3 010
2 0 1 6 13 130 333 2 246
3 1 1 8 16 124 347 1 698
4 1 3 11 19 120 347 1 314
5 1 4 13 21 120 339 1 042
6 2 4 16 24 119 326 846
7 2 6 19 26 119 311 700
8 2 6 21 29 119 294 589
9 4 7 24 31 119 278 501
10 4 8 27 33 119 261 432
11 4 9 28 36 119 245 375
12 4 9 31 38 119 230 329
13 4 11 34 40 119 216 290
14 5 11 36 42 119 213 257
15 6 13 38 44 120 213 229
16 6 13 41 46 120 213 213
17 6 14 43 49 120 214 214
18 6 15 46 50 121 214 214
19 7 16 48 52 122 215 215
20 7 16 50 54 124 215 215
21 7 18 53 56 126 216 216
22 8 18 55 58 128 216 216
23 8 19 58 60 129 216 216
24 8 20 60 63 130 216 216
25 9 21 62 64 132 216 216
26 9 22 64 66 133 216 216
27 9 23 67 68 134 216 216
28 10 24 69 69 136 216 216
29 10 24 72 71 137 216 216
30 11 25 74 73 138 216 216

ANNEX III

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

Currency National insurance market Volatility adjustment (in bps)
Euro Austria 6
Euro Belgium 6
Euro Cyprus 6
Euro Estonia 6
Euro Finland 6
Euro France 6
Euro Germany 6
Euro Greece 6
Euro Ireland 6
Euro Italy 6
Euro Latvia 6
Euro Lithuania 6
Euro Luxembourg 6
Euro Malta 6
Euro Netherlands 6
Euro Portugal 6
Euro Slovakia 6
Euro Slovenia 6
Euro Spain 6
Czech koruna Czech Republic 20
Danish krone Denmark 48
Forint Hungary 12
Krona Sweden 9
Kuna Croatia 0
Lev Bulgaria –12
Pound sterling United Kingdom 11
Romanian leu Romania 6
Zloty Poland 22
Króna Iceland –5
Norwegian krone Norway 34
Swiss franc Liechtenstein –1
Swiss franc Switzerland –1
Australian dollar Australia 17
Canadian dollar Canada 37
Renminbi-yuan China 25
Hong Kong dollar Hong Kong 2
US dollar United States 34
Yen Japan 1

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