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Commission Implementing Regulation (EU) 2022/1384 of 8 August 2022 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 June 2022 until 29 September 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 2022-08-09
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 3 435
2 79 91 97 118 236 380 2 594
3 77 90 98 122 229 397 1 963
4 75 89 99 124 225 396 1515
5 74 89 100 123 223 386 1 199
6 73 89 100 125 221 371 971
7 73 90 100 125 219 353 802
8 71 88 99 125 217 335 674
9 69 87 99 126 215 316 575
10 68 86 99 126 213 307 495
11 67 85 98 126 212 305 430
12 65 84 97 124 210 304 376
13 64 83 95 123 209 302 331
14 63 81 94 122 207 301 301
15 61 80 93 120 206 299 299
16 60 79 91 119 205 298 298
17 59 78 90 118 204 297 297
18 58 77 90 117 203 297 297
19 58 76 89 116 202 296 296
20 57 75 88 116 201 295 295
21 56 75 87 115 201 294 294
22 55 74 86 114 200 293 293
23 54 73 85 113 198 292 292
24 53 71 84 112 197 291 291
25 52 70 83 111 196 290 290
26 51 69 82 109 195 289 289
27 49 68 81 108 194 288 288
28 48 67 80 107 193 286 286
29 47 66 80 106 192 285 285
30 46 65 82 105 191 284 284

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 53 65 71 92 210 325 3 377
2 52 64 70 91 209 372 2 535
3 51 64 72 96 203 388 1 917
4 50 64 74 98 200 388 1 481
5 49 64 76 99 198 378 1 172
6 49 65 76 101 197 363 949
7 49 66 77 101 195 346 784
8 48 66 77 102 194 327 658
9 47 65 77 104 193 308 559
10 46 65 77 105 192 290 481
11 46 65 77 105 191 284 417
12 45 64 76 104 190 283 365
13 45 63 76 104 189 283 321
14 44 63 75 103 189 282 284
15 43 62 75 102 188 282 282
16 43 61 74 102 187 281 281
17 42 61 73 101 187 280 280
18 42 60 73 101 186 280 280
19 41 60 72 100 186 279 279
20 41 60 72 100 186 279 279
21 41 59 72 100 185 279 279
22 40 59 71 99 185 278 278
23 40 58 71 99 184 278 278
24 39 58 70 98 184 277 277
25 38 57 70 97 183 277 277
26 38 57 70 97 182 276 276
27 37 56 72 96 182 275 275
28 36 55 75 95 181 274 274
29 36 54 78 95 180 274 274
30 35 54 80 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 67 184 307 3 175
2 28 40 46 67 185 349 2 371
3 27 40 48 71 179 365 1 793
4 26 40 50 74 176 365 1 387
5 26 41 52 76 175 356 1 100
6 27 43 54 78 174 343 892
7 27 44 55 79 173 327 738
8 27 44 55 81 173 309 620
9 26 44 56 83 172 292 528
10 26 45 57 84 171 274 454
11 26 44 57 85 171 264 394
12 25 44 56 84 170 263 345
13 24 43 56 83 169 263 304
14 24 43 55 83 169 262 269
15 23 42 55 82 168 261 261
16 23 41 54 82 167 261 261
17 22 41 54 81 167 260 260
18 22 41 53 81 167 260 260
19 22 41 53 81 167 260 260
20 22 41 53 81 167 260 260
21 22 41 55 81 167 260 260
22 22 41 58 81 167 260 260
23 22 41 59 81 166 260 260
24 22 40 62 80 166 260 260
25 21 40 65 80 166 259 259
26 21 40 67 80 166 259 259
27 21 39 70 80 165 259 259
28 20 39 72 79 165 259 259
29 20 39 74 79 165 258 258
30 20 39 78 79 164 258 258

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 24 141 292 3005
2 0 1 6 24 142 333 2 247
3 1 1 8 29 137 348 1702
4 1 3 11 33 134 349 1 319
5 1 4 15 35 134 341 1 048
6 2 4 17 38 134 329 851
7 2 6 19 40 134 314 705
8 2 6 21 43 134 297 593
9 4 7 24 46 134 281 506
10 4 8 27 47 134 264 436
11 4 9 30 49 135 248 379
12 4 9 31 48 134 233 332
13 4 11 34 49 135 228 292
14 5 11 37 49 135 228 259
15 6 13 39 48 134 227 231
16 6 13 41 47 133 226 226
17 6 14 44 49 133 226 226
18 6 15 46 51 133 226 226
19 7 16 48 53 133 226 226
20 7 16 51 55 134 227 227
21 7 18 53 57 134 227 227
22 8 19 55 59 134 227 227
23 8 19 58 61 134 227 227
24 8 21 60 63 134 227 227
25 9 21 63 65 133 227 227
26 9 22 66 67 135 227 227
27 10 23 68 69 136 227 227
28 10 24 70 70 138 226 226
29 10 24 73 73 138 226 226
30 11 26 75 75 140 226 226

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 80 198 308 3 183
2 41 53 59 80 198 352 2 387
3 40 53 61 85 192 368 1 808
4 39 53 63 88 189 368 1 400
5 39 54 66 89 188 359 1109
6 40 56 67 91 187 347 902
7 41 58 68 93 187 331 746
8 40 57 68 94 186 313 627
9 39 57 69 96 185 296 534
10 39 57 70 97 184 278 459
11 39 57 70 97 183 277 399
12 38 57 69 97 183 276 349
13 37 56 68 96 182 275 308
14 37 55 68 96 181 275 275
15 36 55 67 95 181 274 274
16 35 54 67 94 180 273 273
17 35 54 66 94 180 273 273
18 34 53 66 93 179 272 272
19 34 53 65 93 179 272 272
20 34 53 65 93 178 272 272
21 34 52 65 92 178 272 272
22 33 52 64 92 178 271 271
23 32 51 64 91 177 271 271
24 32 51 63 91 177 270 270
25 31 50 66 90 176 269 269
26 30 49 68 89 175 269 269
27 30 48 71 89 174 268 268
28 29 48 73 88 174 267 267
29 28 47 75 87 173 266 266
30 28 46 78 86 172 266 266

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 25 32 53 170 298 3 072
2 17 29 35 57 174 341 2308
3 19 32 40 64 172 358 1 753
4 22 35 46 70 171 359 1 360
5 24 39 50 73 173 352 1 081
6 24 39 51 75 171 339 878
7 28 45 56 80 174 323 727
8 27 45 56 82 173 306 612
9 29 47 58 85 174 289 521
10 30 49 61 88 175 272 449
11 31 50 63 90 176 270 391
12 32 51 63 91 177 270 342
13 33 51 64 92 177 271 302
14 33 52 64 92 178 271 271
15 33 52 64 92 178 271 271
16 33 51 64 92 177 271 271
17 33 52 64 92 177 271 271
18 32 51 63 91 177 270 270
19 32 51 63 91 177 270 270
20 32 51 63 91 177 270 270
21 32 51 63 91 177 270 270
22 32 50 63 91 176 270 270
23 31 50 63 90 176 270 270
24 31 50 62 90 176 269 269
25 31 49 65 89 175 269 269
26 30 49 67 89 175 268 268
27 30 48 70 88 174 268 268
28 29 48 72 88 174 267 267
29 28 47 75 87 173 267 267
30 28 47 78 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 14 26 32 53 171 308 3 190
2 15 27 33 54 172 351 2 382
3 15 28 36 60 167 366 1801
4 16 29 39 64 165 366 1 392
5 16 31 43 66 165 357 1104
6 18 34 45 69 165 344 895
7 19 36 47 71 165 328 741
8 19 37 48 74 165 311 623
9 20 38 49 76 165 293 530
10 20 39 51 79 165 276 457
11 21 39 52 79 165 259 397
12 21 39 52 80 166 259 347
13 21 40 52 80 166 259 306
14 21 40 52 80 166 259 271
15 21 40 52 80 166 259 259
16 21 39 52 80 165 259 259
17 21 39 52 80 165 259 259
18 21 39 52 80 165 259 259
19 21 39 52 80 165 259 259
20 21 39 53 80 165 259 259
21 21 39 55 80 165 259 259
22 20 39 58 79 165 258 258
23 20 39 61 79 165 258 258
24 19 38 62 78 164 258 258
25 19 38 65 78 164 257 257
26 19 37 67 77 163 257 257
27 18 37 70 77 163 256 256
28 18 36 72 77 162 256 256
29 17 36 75 76 162 255 255
30 17 36 78 77 162 255 255

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 47 59 65 86 204 333 3 469
2 50 62 68 89 207 372 2 551
3 52 65 73 97 204 386 1 914
4 53 67 77 102 203 384 1 475
5 55 70 81 104 204 374 1 167
6 57 73 84 108 204 360 946
7 58 75 86 110 204 343 782
8 58 76 87 112 204 325 657
9 58 77 88 115 204 307 559
10 59 77 90 117 204 297 481
11 59 78 90 118 204 297 418
12 58 77 90 117 203 297 366
13 58 77 89 117 202 296 322
14 57 76 88 116 202 295 295
15 56 75 87 115 201 294 294
16 56 74 87 114 200 294 294
17 55 74 86 114 200 293 293
18 54 73 85 113 199 292 292
19 54 72 85 113 198 292 292
20 53 72 84 112 198 291 291
21 52 71 84 111 197 290 290
22 52 70 83 110 196 290 290
23 51 69 82 110 195 289 289
24 50 68 81 109 194 288 288
25 49 68 80 108 193 287 287
26 48 67 79 107 193 286 286
27 47 66 78 106 192 285 285
28 46 65 77 105 191 284 284
29 45 64 78 104 190 283 283
30 44 63 81 103 189 282 282

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 96 117 234 336 3501
2 82 94 101 122 239 385 2 635
3 83 96 104 128 235 404 2004
4 83 97 107 132 233 406 1 555
5 86 101 113 136 235 398 1 236
6 89 105 116 140 236 384 1004
7 91 108 118 143 237 367 831
8 92 110 121 147 238 348 699
9 94 112 123 150 239 332 595
10 94 113 125 152 239 333 512
11 94 113 125 153 239 332 445
12 94 112 125 152 238 332 389
13 92 111 124 151 237 331 342
14 91 110 122 150 236 329 329
15 90 109 121 149 234 328 328
16 88 107 120 147 233 327 327
17 87 106 118 146 232 325 325
18 86 105 117 145 230 324 324
19 84 103 116 143 229 323 323
20 83 102 114 142 228 321 321
21 82 100 113 141 226 320 320
22 80 99 111 139 225 318 318
23 78 97 110 137 223 317 317
24 77 96 108 136 221 315 315
25 75 94 106 134 220 313 313
26 73 92 105 132 218 312 312
27 72 91 103 131 216 310 310
28 70 89 101 129 215 308 308
29 69 87 100 128 213 307 307
30 67 86 98 126 212 305 305

3.18.   Hong Kong dollar

Duration (in years) Credit quality step 0 Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6
1 7 19 26 47 164 306 3 161
2 10 22 29 50 167 349 2 366
3 12 25 33 57 164 364 1 789
4 13 27 37 62 163 364 1 384
5 15 30 42 65 164 356 1 098
6 17 33 44 69 165 342 891
7 19 36 46 71 165 326 737
8 19 37 48 73 165 309 619
9 20 38 49 76 165 292 527
10 20 38 51 78 165 274 454
11 20 39 51 79 165 258 394
12 20 39 51 79 165 258 345
13 19 38 51 78 164 257 304
14 19 37 50 78 163 257 269
15 18 37 49 77 163 256 256
16 17 36 49 76 162 255 255
17 17 36 48 76 162 255 255
18 17 36 48 76 162 255 255
19 17 35 50 76 161 255 255
20 17 36 53 76 162 255 255
21 17 36 55 76 162 255 255
22 17 36 58 76 162 255 255
23 17 36 59 76 162 255 255
24 17 36 62 76 161 255 255
25 17 35 65 76 161 255 255
26 16 35 67 75 161 255 255
27 16 35 70 75 161 254 254
28 16 35 72 75 161 254 254
29 16 35 74 75 160 254 254
30 16 34 78 77 160 254 254

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 91 103 109 130 247 343 3 338
2 92 104 110 131 249 368 2507
3 92 104 113 136 244 385 1902
4 92 106 116 140 242 386 1 474
5 93 108 119 142 242 378 1 170
6 94 110 121 145 241 364 950
7 95 112 122 147 241 347 786
8 95 113 124 149 241 334 661
9 95 113 124 151 240 334 563
10 94 112 125 152 239 332 484
11 92 111 124 151 237 331 421
12 91 110 122 150 236 329 368
13 89 108 120 148 234 327 327
14 87 106 119 146 232 325 325
15 86 104 117 145 230 324 324
16 84 103 115 143 228 322 322
17 82 101 114 141 227 320 320
18 81 100 112 140 226 319 319
19 80 98 111 138 224 318 318
20 79 97 110 137 223 317 317
21 77 96 109 136 222 316 316
22 76 95 107 135 221 314 314
23 75 94 106 134 220 313 313
24 74 93 105 133 219 312 312
25 73 91 104 132 217 311 311
26 71 90 103 130 216 309 309
27 70 89 101 129 215 308 308
28 69 88 100 128 214 307 307
29 68 87 99 127 213 306 306
30 67 86 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
1 309 321 328 349 466 561 3 526
2 82 94 100 122 239 384 2 635
3 84 97 105 129 236 400 1 988
4 86 100 110 134 236 400 1 534
5 88 103 114 137 237 390 1214
6 90 106 117 141 237 375 984
7 92 109 119 144 238 357 813
8 93 110 121 147 239 338 682
9 93 111 123 150 239 332 580
10 93 112 124 152 239 332 499
11 94 112 125 153 239 332 433
12 94 113 125 153 239 332 378
13 94 113 125 153 239 332 333
14 95 114 126 154 240 333 333
15 96 114 127 154 240 334 334
16 96 115 128 155 241 335 335
17 97 116 129 156 242 335 335
18 98 117 129 157 243 336 336
19 99 118 130 158 244 337 337
20 100 118 131 158 244 338 338
21 100 118 131 158 244 338 338
22 99 118 130 158 244 337 337
23 98 117 130 157 243 337 337
24 98 116 129 156 242 336 336
25 96 115 128 155 241 334 334
26 95 114 126 154 240 333 333
27 94 112 125 153 238 332 332
28 92 111 123 151 237 330 330
29 91 110 122 150 236 329 329
30 89 108 121 148 234 327 327

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 14 35 152 296 3 055
2 0 7 13 34 152 337 2 281
3 1 7 15 39 146 352 1 725
4 1 7 17 42 143 353 1 335
5 1 8 20 43 142 344 1 059
6 2 10 21 45 142 331 860
7 2 12 22 47 141 316 712
8 2 12 23 49 140 299 598
9 4 12 24 50 139 282 510
10 4 12 27 52 139 266 439
11 4 12 30 53 139 249 381
12 4 13 31 53 139 234 334
13 4 13 34 53 139 232 294
14 5 13 37 53 139 232 261
15 6 13 40 53 139 233 233
16 6 13 41 54 139 233 233
17 6 14 44 54 140 233 233
18 6 15 47 55 140 234 234
19 7 16 49 55 141 235 235
20 7 17 51 56 142 235 235
21 7 18 54 57 143 236 236
22 8 19 56 60 143 237 237
23 8 19 58 61 144 237 237
24 8 21 61 63 144 238 238
25 9 21 63 65 145 238 238
26 9 22 66 67 145 239 239
27 10 23 68 69 145 239 239
28 10 24 71 71 146 239 239
29 10 25 73 73 146 239 239
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 86 204 310 3213
2 48 60 66 87 205 354 2 404
3 47 60 68 92 199 370 1 818
4 47 60 71 95 196 370 1 406
5 47 62 73 96 196 361 1 115
6 48 64 75 99 195 347 904
7 48 65 75 100 194 331 748
8 48 65 76 102 194 313 628
9 47 65 77 104 193 296 535
10 47 65 77 105 192 285 460
11 45 64 77 104 190 284 400
12 44 63 75 103 189 282 350
13 43 62 74 102 188 281 308
14 42 60 73 100 186 280 280
15 40 59 72 99 185 278 278
16 39 58 70 98 184 277 277
17 38 57 69 97 183 276 276
18 37 56 68 96 182 275 275
19 36 55 67 95 181 274 274
20 36 55 67 95 180 274 274
21 35 54 66 94 180 273 273
22 35 53 66 94 179 273 273
23 34 53 65 93 179 272 272
24 33 52 65 92 178 271 271
25 33 51 66 92 177 271 271
26 32 51 68 91 177 270 270
27 31 50 71 90 176 269 269
28 31 49 73 89 175 269 269
29 30 49 76 89 175 268 268
30 29 48 78 88 174 267 267

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
1 110 122 128 150 267 362 3 350
2 111 123 130 151 268 371 2529
3 113 126 134 157 265 390 1 922
4 114 128 138 162 264 391 1 492
5 116 130 142 165 264 383 1 186
6 117 133 144 169 265 370 965
7 119 136 146 171 265 358 800
8 119 136 147 173 265 358 674
9 119 137 148 175 264 358 574
10 119 137 149 177 264 357 495
11 118 137 149 177 263 356 430
12 117 135 148 176 261 355 377
13 115 134 146 174 260 353 353
14 114 132 145 172 258 352 352
15 112 130 143 171 256 350 350
16 109 128 141 168 254 348 348
17 108 126 139 166 252 346 346
18 106 124 137 164 250 344 344
19 104 122 135 163 248 342 342
20 102 121 133 161 247 340 340
21 100 119 132 159 245 338 338
22 99 117 130 157 243 337 337
23 97 115 128 156 241 335 335
24 95 114 126 154 239 333 333
25 93 112 124 152 238 331 331
26 91 110 122 150 236 329 329
27 89 108 120 148 234 327 327
28 88 106 119 146 232 326 326
29 86 105 117 145 231 324 324
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
1 162 175 181 202 319 415 3 721
2 172 184 190 211 329 424 2 760
3 176 189 197 221 328 423 2 084
4 178 192 202 226 328 422 1 611
5 179 194 205 229 328 421 1 277
6 180 195 207 231 327 420 1 036
7 180 197 207 232 326 419 857
8 179 196 208 233 325 418 720
9 178 196 208 235 324 417 613
10 178 196 208 236 323 416 527
11 176 195 207 235 321 414 458
12 174 193 205 233 319 412 412
13 171 190 202 230 316 409 409
14 168 187 200 227 313 407 407
15 165 184 197 224 310 404 404
16 163 181 194 221 307 401 401
17 160 178 191 218 304 398 398
18 157 175 188 216 301 395 395
19 154 172 185 213 298 392 392
20 151 170 182 210 295 389 389
21 148 167 179 207 293 386 386
22 145 164 176 204 289 383 383
23 142 160 173 201 286 380 380
24 139 157 170 197 283 377 377
25 136 154 167 194 280 374 374
26 133 151 164 191 277 371 371
27 130 148 161 189 274 368 368
28 127 146 158 186 271 365 365
29 124 143 155 183 269 362 362
30 121 140 153 180 266 360 360

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 3 124
2 29 41 47 69 186 345 2 335
3 29 41 50 73 181 360 1 768
4 28 42 52 77 178 361 1 369
5 29 44 55 79 178 353 1 087
6 30 46 57 81 177 340 882
7 30 47 58 82 176 324 730
8 30 47 58 84 175 307 614
9 29 47 59 86 175 290 523
10 29 47 60 87 174 273 451
11 28 47 60 87 173 267 392
12 28 47 59 87 173 266 343
13 28 46 59 86 172 266 302
14 27 46 58 86 172 265 268
15 27 46 58 86 172 265 265
16 27 45 58 86 171 265 265
17 27 45 58 86 171 265 265
18 27 46 58 86 171 265 265
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 86 171 265 265
24 27 45 62 85 171 265 265
25 26 45 65 85 171 264 264
26 26 45 67 85 171 264 264
27 26 44 70 84 170 264 264
28 25 44 72 84 170 263 263
29 25 44 74 84 169 263 263
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 65 182 307 3 169
2 27 39 45 67 184 350 2 375
3 28 41 49 73 180 367 1802
4 29 43 53 78 179 368 1 398
5 31 46 57 81 180 360 1 110
6 33 49 60 84 180 347 902
7 35 52 62 87 181 331 747
8 35 52 63 89 181 314 628
9 35 54 65 92 181 296 535
10 36 55 67 95 181 279 461
11 37 56 68 96 182 275 401
12 37 56 68 96 182 275 351
13 37 56 68 96 182 275 309
14 37 56 68 96 182 275 275
15 37 56 68 96 182 275 275
16 37 56 68 96 182 275 275
17 37 56 68 96 182 275 275
18 37 56 68 96 182 275 275
19 37 56 68 96 182 275 275
20 37 56 69 96 182 276 276
21 38 56 69 96 182 276 276
22 37 56 69 96 182 276 276
23 37 56 68 96 182 275 275
24 37 56 68 96 181 275 275
25 36 55 67 95 181 274 274
26 36 55 69 95 180 274 274
27 35 54 71 94 180 273 273
28 35 53 73 94 179 273 273
29 34 53 77 93 179 272 272
30 33 52 79 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
1 123 135 141 162 280 375 3605
2 122 134 140 161 279 386 2 652
3 120 133 141 165 272 399 1 990
4 119 133 143 168 269 398 1 533
5 120 134 146 169 269 388 1213
6 120 136 147 171 267 373 983
7 120 137 148 172 266 360 812
8 119 137 148 174 265 359 682
9 119 137 148 175 264 358 580
10 118 137 149 177 264 357 499
11 118 137 149 177 263 356 433
12 117 136 148 176 262 355 379
13 116 135 147 175 260 354 354
14 115 133 146 173 259 353 353
15 113 131 144 171 257 351 351
16 111 129 142 169 255 349 349
17 108 127 139 167 253 346 346
18 106 125 137 165 251 344 344
19 104 123 135 163 249 342 342
20 102 121 133 161 246 340 340
21 100 118 131 158 244 338 338
22 97 116 129 156 242 335 335
23 95 114 126 154 240 333 333
24 93 112 124 152 238 331 331
25 91 110 122 150 235 329 329
26 89 107 120 148 233 327 327
27 87 105 118 145 231 325 325
28 84 103 116 143 229 323 323
29 82 101 114 141 227 321 321
30 81 99 112 139 225 319 319

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 15 36 153 305 3 150
2 0 10 17 38 155 347 2 355
3 1 12 20 44 151 363 1 783
4 1 14 24 49 150 363 1 380
5 2 17 28 52 151 355 1 094
6 4 20 31 55 151 341 888
7 6 23 33 57 152 325 734
8 6 23 34 60 152 308 617
9 6 24 36 63 152 291 525
10 6 25 37 64 151 273 452
11 6 25 37 65 151 257 393
12 6 25 37 65 151 244 344
13 6 25 37 65 151 244 303
14 6 24 37 64 150 244 268
15 6 24 40 64 150 244 244
16 6 24 43 64 150 243 243
17 6 24 45 64 150 243 243
18 6 24 47 64 150 243 243
19 7 24 50 64 150 243 243
20 7 25 53 65 150 244 244
21 7 25 55 65 151 244 244
22 9 25 57 65 151 245 245
23 9 25 59 66 151 245 245
24 10 26 62 66 152 245 245
25 10 26 65 67 152 245 245
26 10 26 67 69 152 245 245
27 11 26 70 71 152 245 245
28 11 26 72 73 152 245 245
29 11 26 74 75 152 245 245
30 12 26 77 76 152 245 245

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 71 188 307 3 177
2 32 44 50 71 189 351 2 380
3 30 43 52 75 183 367 1801
4 29 43 53 78 179 367 1 393
5 29 44 56 79 178 358 1104
6 32 48 59 83 179 344 895
7 30 47 57 82 176 327 740
8 33 51 62 87 179 310 621
9 33 51 62 89 178 292 529
10 28 46 59 86 173 275 455
11 24 42 55 83 169 262 395
12 21 39 52 80 165 259 345
13 18 37 50 77 163 256 304
14 17 35 48 75 161 255 269
15 15 34 46 74 160 253 253
16 14 32 45 73 158 252 252
17 13 32 45 72 158 251 251
18 12 31 47 71 157 250 250
19 12 31 50 71 157 250 250
20 12 31 52 71 157 250 250
21 12 31 55 71 157 250 250
22 12 31 57 71 157 250 250
23 12 30 59 71 156 250 250
24 12 30 62 71 156 250 250
25 11 30 64 70 156 250 250
26 11 30 67 70 156 249 249
27 11 30 69 70 156 249 249
28 11 30 72 72 156 249 249
29 11 30 74 74 156 249 249
30 12 29 77 76 155 249 249

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
1 205 218 224 245 362 458 4 274
2 203 215 221 242 360 470 3 282
3 198 211 219 242 350 497 2514
4 193 207 217 242 343 499 1 947
5 189 204 215 239 338 485 1 532
6 186 202 213 237 333 461 1 225
7 183 200 210 235 329 431 993
8 178 196 207 233 324 418 814
9 174 192 204 231 320 413 675
10 170 189 201 229 315 409 568
11 166 185 197 225 311 405 485
12 162 181 193 221 307 400 418
13 158 177 189 217 303 396 396
14 154 173 185 213 299 392 392
15 151 169 182 209 295 389 389
16 147 166 178 206 292 385 385
17 144 162 175 203 288 382 382
18 140 159 172 199 285 379 379
19 137 156 169 196 282 376 376
20 135 153 166 193 279 373 373
21 132 150 163 190 276 370 370
22 129 147 160 188 273 367 367
23 126 145 157 185 270 364 364
24 123 142 154 182 268 361 361
25 120 139 151 179 265 358 358
26 118 136 149 176 262 356 356
27 115 134 146 174 260 353 353
28 112 131 144 171 257 351 351
29 110 129 141 169 255 348 348
30 108 126 139 167 252 346 346

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 51 169 308 3 182
2 0 14 25 51 169 350 2 375
3 1 17 28 55 166 365 1 792
4 1 20 31 60 164 364 1 386
5 3 23 36 66 165 356 1 098
6 5 26 39 68 166 342 891
7 8 30 42 70 166 326 736
8 10 34 45 74 166 309 619
9 12 37 49 76 166 291 527
10 13 39 51 77 166 274 453
11 14 40 52 78 166 260 394
12 15 42 54 79 166 260 345
13 16 43 54 80 166 260 304
14 16 44 55 80 166 260 269
15 17 44 55 80 166 260 260
16 17 44 55 80 166 259 259
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 80 166 260 260
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 80 166 260 260
25 17 44 64 80 166 260 260
26 17 44 67 80 166 259 259
27 17 44 69 80 166 259 259
28 17 44 72 80 165 259 259
29 17 44 74 80 165 258 258
30 17 44 77 80 165 258 258

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 3 009
2 0 1 6 13 130 333 2 245
3 1 1 8 16 124 347 1 697
4 1 3 11 19 120 347 1 313
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 29 119 295 589
9 4 7 24 31 119 278 502
10 4 8 27 33 119 262 432
11 4 9 28 36 119 246 376
12 4 9 31 38 119 231 329
13 4 11 34 40 119 216 290
14 5 11 36 42 119 213 257
15 6 13 38 44 119 213 229
16 6 13 41 46 120 213 213
17 6 14 43 49 120 213 213
18 6 15 46 51 120 214 214
19 7 16 48 52 122 214 214
20 7 16 51 55 124 215 215
21 7 18 53 57 126 215 215
22 8 18 55 58 128 216 216
23 8 19 58 61 129 216 216
24 8 21 60 63 131 216 216
25 9 21 63 65 133 216 216
26 9 22 64 66 134 216 216
27 10 23 67 68 135 216 216
28 10 24 69 70 136 216 216
29 10 24 72 72 138 216 216
30 11 26 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 25
Euro Belgium 25
Euro Cyprus 25
Euro Estonia 25
Euro Finland 25
Euro France 25
Euro Germany 25
Euro Greece 25
Euro Ireland 25
Euro Italy 25
Euro Latvia 25
Euro Lithuania 25
Euro Luxembourg 25
Euro Malta 25
Euro Netherlands 25
Euro Portugal 25
Euro Slovakia 25
Euro Slovenia 25
Euro Spain 25
Czech koruna Czech Republic 32
Danish krone Denmark 33
Forint Hungary 18
Krona Sweden 19
Kuna Croatia 5
Lev Bulgaria -0
Pound sterling United Kingdom 26
Romanian leu Romania 13
Zloty Poland 32
Króna Iceland 12
Norwegian krone Norway 52
Swiss franc Liechtenstein -2
Swiss franc Switzerland -2
Australian dollar Australia 35
Canadian dollar Canada 54
Renminbi-yuan China 28
Hong Kong dollar Hong Kong 8
US dollar United States 61
Yen Japan 6

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