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Commission Implementing Regulation (EU) 2022/2282 of 21 November 2022 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 September 2022 until 30 December 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 2022-11-22
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 99 120 237 332 3 425
2 79 91 97 118 236 376 2 571
3 77 90 98 122 229 394 1 949
4 75 89 99 124 225 395 1 509
5 74 89 100 124 223 385 1 196
6 74 90 101 125 221 371 970
7 73 90 100 125 219 353 801
8 71 88 99 125 217 335 673
9 69 87 99 126 215 316 572
10 68 87 99 126 213 307 492
11 67 86 98 126 212 305 427
12 66 84 97 125 211 304 373
13 64 83 96 123 209 302 328
14 63 82 94 122 208 301 301
15 62 80 93 121 206 300 300
16 61 79 92 119 205 299 299
17 60 78 91 118 204 298 298
18 59 77 90 118 203 297 297
19 58 77 89 117 203 296 296
20 57 76 88 116 202 295 295
21 56 75 87 115 201 294 294
22 55 74 86 114 200 293 293
23 54 73 85 113 199 292 292
24 53 72 84 112 198 291 291
25 52 71 83 111 197 290 290
26 51 70 82 110 196 289 289
27 50 68 81 109 194 288 288
28 49 67 80 107 193 287 287
29 48 66 79 106 192 286 286
30 47 65 82 105 191 285 285

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 53 65 71 92 210 326 3 386
2 52 64 70 92 209 372 2 537
3 51 64 72 96 203 388 1 919
4 50 64 74 99 200 388 1 484
5 50 64 76 99 199 379 1 175
6 49 65 76 101 197 364 952
7 50 66 77 101 196 347 787
8 48 66 77 103 194 328 660
9 47 65 77 104 193 310 562
10 47 65 77 105 192 291 483
11 46 65 77 105 191 284 419
12 45 64 77 104 190 283 367
13 45 64 76 104 190 283 323
14 44 63 75 103 189 282 285
15 44 62 75 102 188 282 282
16 43 62 74 102 187 281 281
17 42 61 74 101 187 280 280
18 42 61 73 101 187 280 280
19 41 60 73 100 186 279 279
20 41 60 72 100 186 279 279
21 41 60 72 100 186 279 279
22 41 59 72 99 185 278 278
23 40 59 71 99 185 278 278
24 39 58 70 98 184 277 277
25 39 57 70 97 183 277 277
26 38 57 70 97 183 276 276
27 37 56 73 96 182 275 275
28 37 55 76 95 181 275 275
29 36 55 78 95 180 274 274
30 35 54 81 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 67 184 309 3 200
2 28 40 46 67 185 352 2 388
3 27 39 48 71 179 367 1 804
4 26 40 50 74 176 367 1 395
5 26 41 52 76 175 358 1 105
6 27 43 54 78 174 344 896
7 27 44 55 79 173 328 741
8 27 44 55 81 173 310 623
9 26 44 56 83 172 293 530
10 26 44 57 84 171 275 456
11 26 44 57 84 171 264 396
12 25 44 56 84 170 263 347
13 25 43 56 83 169 262 305
14 24 43 55 83 169 262 270
15 23 42 54 82 168 261 261
16 23 41 54 81 167 261 261
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 61 81 167 260 260
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 79 165 258 258
29 20 39 75 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 4 23 141 295 3 040
2 0 1 6 24 142 336 2 271
3 1 1 8 29 137 351 1 719
4 1 3 12 33 134 352 1 331
5 1 4 15 35 134 344 1 056
6 2 4 17 38 134 331 858
7 2 6 20 40 134 315 710
8 2 6 21 43 134 299 597
9 4 7 24 45 134 282 509
10 4 8 27 47 134 265 438
11 4 9 30 49 135 249 380
12 4 9 31 48 134 233 333
13 4 11 34 49 135 228 293
14 5 11 37 49 135 228 260
15 6 13 39 48 133 227 231
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 54 57 134 227 227
22 8 19 55 58 134 227 227
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 65 67 135 227 227
27 10 23 68 69 136 226 226
28 10 24 70 71 137 226 226
29 10 24 73 73 138 226 226
30 11 26 75 74 139 226 226

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 80 198 311 3 221
2 41 53 59 80 198 355 2 411
3 40 53 61 85 192 370 1 823
4 39 53 63 88 189 371 1 410
5 39 54 66 89 188 362 1 118
6 40 56 67 91 187 348 907
7 41 57 68 92 187 332 751
8 40 57 68 94 186 315 631
9 39 57 69 96 185 297 537
10 39 57 70 97 184 279 463
11 39 57 70 97 183 277 402
12 38 57 69 97 183 276 351
13 37 56 68 96 182 275 310
14 37 55 68 95 181 275 275
15 36 55 67 95 181 274 274
16 35 54 66 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 33 51 64 91 177 270 270
24 32 51 63 91 177 270 270
25 31 50 66 90 176 269 269
26 30 49 68 89 175 268 268
27 30 48 71 88 174 268 268
28 29 48 73 88 174 267 267
29 28 47 76 87 173 266 266
30 28 46 78 86 172 265 265

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 53 170 300 3 093
2 17 29 35 56 174 343 2 319
3 19 32 40 64 171 359 1 760
4 21 35 45 70 171 361 1 365
5 24 39 50 73 173 353 1 085
6 23 39 50 75 171 340 882
7 28 45 56 80 174 325 730
8 27 45 56 81 173 308 615
9 28 46 58 85 174 291 524
10 30 49 61 88 175 274 452
11 31 50 62 90 176 269 393
12 32 51 63 91 177 270 344
13 33 51 64 91 177 271 303
14 33 52 64 92 178 271 271
15 33 52 64 92 178 271 271
16 33 51 64 91 177 271 271
17 33 51 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 90 176 270 270
23 31 50 63 90 176 269 269
24 31 50 63 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 73 88 174 267 267
29 29 47 76 87 173 266 266
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 53 171 312 3 235
2 15 27 33 54 172 355 2 411
3 15 28 36 60 168 369 1 818
4 16 29 40 64 166 368 1 403
5 17 31 43 66 165 359 1 111
6 18 34 45 69 165 345 900
7 19 36 47 71 165 329 744
8 19 37 48 74 165 311 625
9 20 38 49 76 165 293 532
10 20 39 51 78 165 276 458
11 21 39 52 79 166 259 398
12 21 40 52 80 166 259 348
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 40 52 80 165 259 259
18 21 39 52 80 165 259 259
19 21 39 52 79 165 259 259
20 21 40 53 80 165 259 259
21 21 39 55 79 165 259 259
22 20 39 58 79 165 258 258
23 20 39 61 79 165 258 258
24 20 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 76 162 256 256
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 48 60 66 87 205 340 3 546
2 50 62 69 90 207 379 2 605
3 52 65 74 97 205 392 1 952
4 54 67 77 102 203 390 1 502
5 55 70 81 105 204 380 1 187
6 57 73 84 108 205 365 961
7 59 75 86 110 205 347 793
8 58 76 87 113 204 328 665
9 59 77 88 115 204 310 566
10 59 78 90 117 204 298 486
11 59 78 90 118 204 297 422
12 59 77 90 117 203 297 369
13 58 77 89 117 203 296 324
14 57 76 88 116 202 295 295
15 57 75 88 115 201 294 294
16 56 75 87 115 200 294 294
17 55 74 86 114 200 293 293
18 55 73 86 113 199 293 293
19 54 73 85 113 199 292 292
20 53 72 84 112 198 291 291
21 53 71 84 111 197 291 291
22 52 71 83 111 196 290 290
23 51 70 82 110 196 289 289
24 50 69 81 109 195 288 288
25 49 68 80 108 194 287 287
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 78 90 97 118 235 344 3 596
2 83 95 101 123 240 394 2 707
3 84 97 105 129 236 414 2 056
4 84 98 108 133 234 415 1 594
5 87 102 113 137 236 406 1 266
6 90 105 117 141 237 392 1 027
7 92 109 119 144 238 374 849
8 93 111 122 147 239 354 714
9 94 112 124 151 240 335 607
10 95 113 126 153 240 333 522
11 95 114 126 154 240 333 453
12 94 113 125 153 239 332 396
13 93 112 124 152 238 331 348
14 92 111 123 151 237 330 330
15 91 109 122 149 235 328 328
16 89 108 120 148 234 327 327
17 88 107 119 147 232 326 326
18 87 105 118 145 231 324 324
19 85 104 116 144 230 323 323
20 84 103 115 143 228 322 322
21 82 101 113 141 227 320 320
22 81 99 112 140 225 319 319
23 79 98 110 138 224 317 317
24 77 96 109 136 222 315 315
25 76 94 107 135 220 314 314
26 74 93 105 133 219 312 312
27 72 91 104 131 217 310 310
28 71 89 102 130 215 309 309
29 69 88 100 128 214 307 307
30 68 86 99 126 212 306 306

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 26 47 164 312 3 233
2 10 22 29 50 167 356 2 417
3 12 25 33 57 164 371 1 825
4 14 27 38 62 163 370 1 410
5 16 30 42 65 164 361 1 117
6 17 33 44 69 165 347 906
7 19 36 46 71 165 331 748
8 19 37 48 73 165 313 628
9 20 38 49 76 165 295 535
10 20 38 51 78 165 277 460
11 20 39 51 79 165 260 399
12 20 39 51 79 165 258 349
13 19 38 51 78 164 257 308
14 19 37 50 78 163 257 272
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 36 51 76 162 255 255
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 61 76 162 255 255
24 17 36 63 76 162 255 255
25 17 35 66 76 161 255 255
26 17 35 68 75 161 255 255
27 16 35 71 75 161 254 254
28 16 35 73 75 161 254 254
29 16 35 76 75 161 254 254
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 90 102 109 130 247 342 3 364
2 91 104 110 131 249 370 2 524
3 92 104 113 136 244 387 1 912
4 92 106 116 140 242 388 1 480
5 93 108 119 142 242 379 1 174
6 94 110 121 145 241 365 952
7 95 112 123 147 241 348 787
8 95 113 124 149 241 334 661
9 95 113 124 151 240 334 563
10 94 112 125 152 239 332 485
11 93 111 124 151 237 331 421
12 91 110 122 150 236 329 368
13 89 108 120 148 234 327 327
14 88 106 119 146 232 326 326
15 86 105 117 145 231 324 324
16 84 103 115 143 229 322 322
17 83 101 114 141 227 321 321
18 81 100 112 140 226 319 319
19 80 98 111 139 224 318 318
20 79 97 110 138 223 317 317
21 78 96 109 136 222 316 316
22 77 95 108 135 221 315 315
23 75 94 106 134 220 313 313
24 74 93 105 133 219 312 312
25 73 92 104 132 218 311 311
26 72 90 103 130 216 310 310
27 70 89 102 129 215 308 308
28 69 88 100 128 214 307 307
29 68 87 99 127 213 306 306
30 67 86 98 126 212 305 305

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
1 307 319 326 347 464 559 3 587
2 82 94 101 122 239 388 2 668
3 84 97 105 129 236 403 2 006
4 86 100 110 135 236 402 1 546
5 88 103 114 138 237 392 1 223
6 90 106 117 142 238 377 991
7 92 109 119 144 238 359 819
8 93 110 121 147 239 340 687
9 94 112 123 150 239 332 585
10 94 112 125 152 239 332 502
11 94 113 125 153 239 332 436
12 94 113 125 153 239 332 381
13 95 113 126 153 239 333 335
14 95 114 126 154 240 333 333
15 96 114 127 154 240 334 334
16 97 115 128 155 241 335 335
17 98 116 129 156 242 336 336
18 99 117 130 157 243 336 336
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 99 117 130 157 243 337 337
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 94 113 125 153 238 332 332
28 92 111 124 151 237 330 330
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 13 35 152 298 3 076
2 0 7 13 34 152 340 2 298
3 1 7 15 39 146 355 1 739
4 1 7 17 42 143 355 1 346
5 1 8 20 43 142 347 1 068
6 2 10 21 45 142 334 867
7 2 12 22 47 141 318 717
8 2 12 23 48 140 302 603
9 4 12 24 50 139 284 514
10 4 12 27 52 139 268 442
11 4 12 30 52 139 251 384
12 4 12 32 53 139 236 336
13 4 13 34 53 139 232 296
14 5 13 37 53 139 232 263
15 6 13 40 53 139 233 234
16 6 13 41 53 139 233 233
17 6 14 44 54 140 233 233
18 6 15 47 55 141 234 234
19 7 16 49 55 141 235 235
20 7 17 51 56 142 235 235
21 7 18 54 58 143 236 236
22 8 19 57 60 144 237 237
23 8 19 59 61 144 237 237
24 8 21 61 63 145 238 238
25 10 21 63 65 145 238 238
26 10 23 66 67 145 239 239
27 11 23 68 69 145 239 239
28 11 24 71 71 146 239 239
29 11 25 73 73 146 239 239
30 12 26 76 75 146 239 239

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 86 204 314 3 253
2 48 60 66 87 205 358 2 433
3 47 60 68 92 199 373 1 838
4 46 60 70 95 196 373 1 421
5 47 61 73 96 196 364 1 125
6 48 63 75 99 195 350 912
7 48 65 75 100 194 333 754
8 48 65 76 102 193 316 634
9 47 65 77 104 193 298 539
10 46 65 77 105 192 285 464
11 45 64 76 104 190 284 403
12 44 63 75 103 189 282 352
13 43 62 74 102 187 281 310
14 42 60 73 100 186 280 280
15 40 59 71 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 95 181 274 274
21 35 54 66 94 180 273 273
22 35 53 66 93 179 273 273
23 34 53 65 93 179 272 272
24 33 52 65 92 178 271 271
25 33 51 66 91 177 271 271
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 79 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
1 110 122 128 149 267 362 3 415
2 111 123 130 151 268 376 2 568
3 113 125 134 157 265 394 1 949
4 114 128 138 162 264 395 1 511
5 116 130 142 165 264 387 1 201
6 117 133 144 169 265 374 976
7 119 136 146 171 265 358 809
8 119 136 147 173 265 358 681
9 119 137 149 175 264 358 581
10 119 137 150 177 264 357 501
11 118 137 149 177 263 356 435
12 117 136 148 176 262 355 381
13 116 134 147 174 260 353 353
14 114 133 145 173 258 352 352
15 112 131 143 171 257 350 350
16 110 129 141 169 254 348 348
17 108 127 139 167 253 346 346
18 106 125 137 165 251 344 344
19 104 123 135 163 249 342 342
20 102 121 134 161 247 340 340
21 101 119 132 159 245 339 339
22 99 118 130 158 244 337 337
23 97 116 128 156 242 335 335
24 95 114 126 154 240 333 333
25 93 112 124 152 238 331 331
26 92 110 123 150 236 329 329
27 90 108 121 148 234 328 328
28 88 107 119 147 233 326 326
29 86 105 117 145 231 324 324
30 85 103 116 143 229 323 323

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
1 163 175 181 202 320 415 3 676
2 172 184 190 211 329 424 2 722
3 176 189 197 221 328 423 2 052
4 178 191 202 226 327 421 1 587
5 179 194 205 228 328 421 1 258
6 180 195 207 231 327 420 1 021
7 180 197 207 232 326 419 844
8 179 196 207 233 325 418 710
9 178 196 208 235 324 417 605
10 178 196 208 236 323 416 521
11 176 195 207 235 321 414 452
12 174 193 205 233 319 412 412
13 171 190 203 230 316 409 409
14 169 187 200 227 313 407 407
15 166 184 197 224 310 404 404
16 163 181 194 221 307 401 401
17 160 178 191 218 304 398 398
18 157 176 188 216 301 395 395
19 154 173 185 213 299 392 392
20 151 170 182 210 296 389 389
21 148 167 179 207 293 386 386
22 145 164 176 204 290 383 383
23 142 161 173 201 287 380 380
24 139 158 170 198 283 377 377
25 136 154 167 195 280 374 374
26 133 151 164 192 277 371 371
27 130 149 161 189 275 368 368
28 127 146 158 186 272 365 365
29 124 143 155 183 269 362 362
30 122 140 153 180 266 360 360

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 46 68 185 302 3 116
2 29 41 47 68 186 344 2 330
3 28 41 50 73 181 360 1 765
4 28 42 52 77 178 361 1 367
5 29 44 55 78 178 352 1 085
6 30 45 57 81 177 339 881
7 30 47 58 82 176 323 729
8 30 47 58 84 175 307 613
9 29 47 59 86 175 289 523
10 29 47 60 87 174 272 450
11 28 47 60 87 173 267 391
12 28 47 59 87 173 266 342
13 28 46 59 86 172 265 302
14 27 46 58 86 172 265 267
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 86 172 265 265
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 46 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 84 170 263 263
30 25 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 3 178
2 27 39 45 67 184 352 2 385
3 28 41 49 73 180 368 1 809
4 29 43 53 78 179 369 1 402
5 31 46 57 81 180 361 1 113
6 33 49 60 84 180 348 904
7 35 52 62 87 181 332 748
8 35 52 63 89 181 315 629
9 36 54 65 92 181 297 536
10 36 55 67 95 181 279 462
11 37 56 68 96 182 275 401
12 37 56 68 96 182 275 351
13 37 56 69 96 182 275 310
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 38 56 69 96 182 276 276
21 38 56 69 97 182 276 276
22 38 56 69 96 182 276 276
23 37 56 68 96 182 275 275
24 37 56 68 96 182 275 275
25 37 55 68 95 181 274 274
26 36 55 69 95 181 274 274
27 35 54 71 94 180 273 273
28 35 54 73 94 179 273 273
29 34 53 77 93 179 272 272
30 34 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
1 123 135 141 163 280 375 3 537
2 122 134 140 161 279 387 2 656
3 120 133 141 165 272 405 2 012
4 120 133 143 168 269 406 1 557
5 120 134 146 169 269 396 1 234
6 120 136 147 171 267 382 1 000
7 120 137 148 172 266 364 826
8 120 137 148 174 265 359 694
9 119 137 148 175 264 358 590
10 119 137 149 177 264 357 508
11 118 137 149 177 263 356 441
12 117 136 148 176 262 355 386
13 116 135 147 175 261 354 354
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
20 102 121 133 161 247 340 340
21 100 119 131 159 244 338 338
22 98 116 129 156 242 336 336
23 95 114 127 154 240 333 333
24 93 112 124 152 238 331 331
25 91 110 122 150 236 329 329
26 89 108 120 148 234 327 327
27 87 105 118 146 231 325 325
28 85 103 116 143 229 323 323
29 83 101 114 141 227 321 321
30 81 99 112 140 225 319 319

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 9 15 36 154 309 3 196
2 0 10 17 38 155 352 2 392
3 1 12 20 44 152 368 1 810
4 1 14 24 49 150 368 1 399
5 2 17 28 52 151 359 1 109
6 4 20 31 55 152 345 899
7 6 23 33 58 152 329 743
8 6 23 34 60 152 311 624
9 6 24 36 63 152 293 531
10 6 25 37 65 152 276 457
11 6 25 38 65 151 259 397
12 6 25 37 65 151 244 347
13 6 25 37 65 151 244 306
14 6 24 38 65 150 244 271
15 6 24 40 64 150 244 244
16 6 24 43 64 150 243 243
17 6 24 46 64 150 243 243
18 7 24 48 64 150 243 243
19 7 24 50 64 150 244 244
20 7 25 53 65 151 244 244
21 7 25 55 65 151 244 244
22 9 25 58 65 151 245 245
23 9 26 61 66 152 245 245
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 75 75 152 245 245
30 12 26 78 77 152 245 245

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 71 188 311 3 224
2 32 44 50 71 189 355 2 412
3 30 43 52 75 183 371 1 823
4 29 43 53 78 179 370 1 409
5 29 44 55 79 178 361 1 117
6 32 48 59 83 179 347 905
7 30 47 57 82 176 331 748
8 33 51 62 87 179 313 628
9 33 51 62 89 178 295 534
10 28 46 59 86 173 277 459
11 24 42 55 82 169 262 399
12 21 39 52 80 165 259 349
13 18 37 50 77 163 256 307
14 17 35 48 75 161 255 272
15 15 34 46 74 160 253 253
16 14 32 45 72 158 252 252
17 13 32 46 72 158 251 251
18 12 31 48 71 157 250 250
19 12 31 50 71 157 250 250
20 12 31 53 71 157 250 250
21 12 31 55 71 157 250 250
22 12 31 58 71 157 250 250
23 12 31 61 71 156 250 250
24 12 30 63 70 156 250 250
25 12 30 65 70 156 250 250
26 11 30 67 70 156 249 249
27 11 30 70 71 156 249 249
28 11 30 73 73 156 249 249
29 11 30 75 75 156 249 249
30 12 30 78 77 155 249 249

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
1 206 218 225 246 363 458 3 794
2 203 215 222 243 360 455 2 795
3 198 211 219 243 351 446 2 083
4 194 208 218 242 344 438 1 593
5 190 204 216 239 339 432 1 255
6 186 202 213 238 334 427 1 015
7 183 200 211 235 329 423 840
8 179 196 207 233 325 418 709
9 175 193 204 231 320 414 607
10 171 189 202 229 316 409 525
11 167 186 198 226 312 405 457
12 163 182 194 222 308 401 401
13 159 178 190 218 304 397 397
14 155 174 186 214 300 393 393
15 151 170 182 210 296 389 389
16 148 166 179 206 292 386 386
17 144 163 175 203 289 382 382
18 141 160 172 200 286 379 379
19 138 157 169 197 283 376 376
20 135 154 166 194 280 373 373
21 132 151 163 191 277 370 370
22 129 148 161 188 274 367 367
23 127 145 158 185 271 364 364
24 124 142 155 182 268 362 362
25 121 140 152 180 266 359 359
26 118 137 149 177 263 356 356
27 116 134 147 174 260 354 354
28 113 132 144 172 258 351 351
29 111 129 142 169 255 349 349
30 108 127 139 167 253 346 346

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 51 169 314 3 249
2 0 14 25 51 169 357 2 425
3 1 16 28 55 166 372 1 830
4 1 20 31 60 165 371 1 413
5 3 23 36 66 165 362 1 119
6 5 27 39 68 166 347 907
7 8 30 42 70 166 331 749
8 10 34 45 74 166 313 629
9 12 37 49 76 166 295 535
10 14 39 51 77 167 277 460
11 14 40 52 78 167 260 399
12 15 42 54 79 166 260 349
13 16 43 54 80 166 260 308
14 17 44 55 80 166 260 272
15 17 44 55 80 166 260 260
16 17 44 55 80 166 259 259
17 17 44 55 80 166 259 259
18 17 44 55 80 166 259 259
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 58 80 167 260 260
23 17 44 61 80 167 260 260
24 17 44 63 80 166 260 260
25 17 44 65 80 166 260 260
26 17 44 67 80 166 259 259
27 17 44 70 80 166 259 259
28 17 44 72 80 165 259 259
29 17 44 75 80 165 258 258
30 17 44 78 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 1 314
5 1 4 13 21 120 339 1 043
6 2 4 16 24 119 326 846
7 2 6 19 26 119 311 701
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 37 42 119 213 257
15 6 13 38 44 120 213 229
16 6 13 41 46 120 213 213
17 6 14 43 49 120 213 213
18 6 15 46 51 121 214 214
19 7 16 48 52 122 214 214
20 7 16 51 55 125 215 215
21 7 18 53 57 126 215 215
22 8 18 55 58 128 216 216
23 8 19 58 61 130 216 216
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 68 136 216 216
28 10 24 69 70 136 216 216
29 10 24 72 72 138 216 216
30 11 26 75 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 17
Euro Belgium 17
Euro Cyprus 17
Euro Estonia 17
Euro Finland 17
Euro France 17
Euro Germany 17
Euro Greece 17
Euro Ireland 17
Euro Italy 17
Euro Latvia 17
Euro Lithuania 17
Euro Luxembourg 17
Euro Malta 17
Euro Netherlands 17
Euro Portugal 17
Euro Slovakia 17
Euro Slovenia 17
Euro Spain 17
Czech koruna Czech Republic 32
Danish krone Denmark 49
Forint Hungary 22
Krona Sweden 4
Kuna Croatia 2
Lev Bulgaria -4
Pound sterling United Kingdom 26
Romanian leu Romania 9
Zloty Poland 24
Króna Iceland 3
Norwegian krone Norway 23
Swiss franc Liechtenstein -3
Swiss franc Switzerland -3
Australian dollar Australia 13
Canadian dollar Canada 20
Renminbi-yuan China 11
Hong Kong dollar Hong Kong 5
US dollar United States 66
Yen Japan 2

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