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Commission Implementing Regulation (EU) 2023/266 of 9 February 2023 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 December 2022 until 30 March 2023 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 2023-02-10
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 40 52 59 80 197 311 3 221
2 40 52 59 80 197 355 2 409
3 40 52 61 84 192 370 1 821
4 39 53 63 88 189 370 1 409
5 39 54 65 89 188 362 1 117
6 40 56 67 91 187 348 907
7 40 57 68 92 186 332 751
8 40 57 68 94 185 315 631
9 39 57 69 96 185 297 538
10 39 57 70 97 184 280 463
11 38 57 69 97 183 276 402
12 38 56 69 96 182 276 352
13 37 56 68 96 182 275 310
14 37 55 68 95 181 274 274
15 36 55 67 95 181 274 274
16 35 54 66 94 180 273 273
17 35 54 66 93 179 273 273
18 34 53 66 93 179 272 272
19 34 53 65 93 178 272 272
20 34 52 65 92 178 272 272
21 34 52 65 92 178 271 271
22 33 52 64 92 178 271 271
23 33 51 64 91 177 270 270
24 32 51 63 90 176 270 270
25 31 50 66 90 176 269 269
26 30 49 68 89 175 268 268
27 30 48 71 88 174 267 267
28 29 48 73 87 173 267 267
29 28 47 76 87 173 266 266
30 27 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 31 52 170 299 3 079
2 16 28 35 56 173 341 2 304
3 19 32 40 64 171 356 1 746
4 21 35 45 70 171 357 1 352
5 23 38 50 73 172 349 1 074
6 23 39 50 74 170 336 872
7 28 45 55 80 174 321 723
8 27 44 55 81 173 304 608
9 28 46 58 85 174 288 519
10 30 48 61 88 175 271 447
11 31 50 62 90 176 269 389
12 32 50 63 91 176 270 341
13 32 51 63 91 177 270 301
14 33 51 64 91 177 270 270
15 33 52 64 91 177 271 271
16 33 51 64 91 177 270 270
17 33 51 64 91 177 270 270
18 32 51 63 91 177 270 270
19 32 51 63 91 176 270 270
20 32 51 63 91 176 270 270
21 32 51 63 91 176 270 270
22 32 50 63 90 176 269 269
23 31 50 63 90 176 269 269
24 31 50 62 90 175 269 269
25 31 49 65 89 175 268 268
26 30 49 67 89 175 268 268
27 30 48 70 88 174 267 267
28 29 48 72 88 173 267 267
29 29 47 74 87 173 266 266
30 28 47 77 87 172 266 266

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 53 171 314 3 253
2 15 27 33 54 172 356 2 421
3 15 28 36 60 167 370 1 822
4 16 29 39 64 165 369 1 405
5 16 31 43 66 165 359 1 112
6 18 34 45 69 165 345 901
7 19 36 47 71 165 329 745
8 19 37 48 73 165 311 626
9 20 38 49 76 165 294 533
10 20 39 51 78 165 276 459
11 21 39 52 79 165 259 398
12 21 39 52 79 165 259 348
13 21 40 52 80 165 259 307
14 21 40 52 80 165 259 272
15 21 40 52 80 165 259 259
16 21 39 52 79 165 258 258
17 21 39 52 79 165 259 259
18 21 39 52 79 165 259 259
19 21 39 52 79 165 258 258
20 21 39 53 79 165 259 259
21 21 39 55 79 165 258 258
22 20 39 58 79 165 258 258
23 20 39 61 79 164 258 258
24 20 38 63 78 164 257 257
25 19 38 65 78 164 257 257
26 19 37 67 77 163 256 256
27 18 37 70 77 163 256 256
28 18 36 73 76 162 255 255
29 17 36 75 76 162 255 255
30 17 36 78 77 161 255 255

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 67 88 205 334 3 479
2 50 62 69 90 207 372 2 550
3 52 65 74 97 205 384 1 908
4 54 67 77 102 203 382 1 467
5 55 70 81 105 204 371 1 159
6 57 73 84 108 204 356 938
7 59 75 86 110 204 339 774
8 58 76 87 112 204 321 649
9 59 77 88 115 204 302 552
10 59 77 90 117 204 297 475
11 59 78 90 118 204 297 412
12 59 77 90 117 203 296 360
13 58 77 89 117 202 296 317
14 57 76 88 116 202 295 295
15 57 75 88 115 201 294 294
16 56 75 87 114 200 294 294
17 55 74 86 114 200 293 293
18 55 73 86 113 199 292 292
19 54 73 85 113 198 292 292
20 53 72 84 112 198 291 291
21 53 71 84 111 197 290 290
22 52 71 83 110 196 290 290
23 51 70 82 110 195 289 289
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 77 104 190 283 283
30 45 63 79 103 189 282 282

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 79 91 97 118 235 345 3 603
2 84 96 102 123 240 395 2 714
3 85 97 106 129 237 415 2 062
4 85 99 109 133 235 416 1 599
5 88 103 114 138 237 408 1 270
6 90 106 117 142 238 393 1 030
7 93 109 120 144 238 375 852
8 94 111 122 148 240 355 716
9 95 113 125 152 240 335 609
10 96 114 127 154 241 334 524
11 96 114 127 154 240 334 454
12 95 114 126 154 240 333 397
13 94 113 125 153 238 332 349
14 93 111 124 151 237 330 330
15 91 110 122 150 236 329 329
16 90 109 121 149 234 328 328
17 89 107 120 147 233 326 326
18 87 106 118 146 232 325 325
19 86 105 117 145 230 324 324
20 85 103 116 143 229 322 322
21 83 102 114 142 228 321 321
22 82 100 113 140 226 319 319
23 80 98 111 138 224 318 318
24 78 97 109 137 223 316 316
25 76 95 108 135 221 314 314
26 75 93 106 133 219 312 312
27 73 92 104 132 218 311 311
28 71 90 103 130 216 309 309
29 70 88 101 128 214 308 308
30 68 87 99 127 213 306 306

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 8 20 26 47 165 315 3 265
2 10 22 29 50 167 357 2 429
3 12 25 33 57 164 371 1 830
4 14 27 38 62 163 370 1 413
5 16 30 42 65 164 361 1 119
6 18 33 44 69 165 347 907
7 19 36 46 71 165 331 749
8 19 37 48 73 165 313 629
9 20 38 49 76 165 295 535
10 20 38 51 78 165 277 461
11 20 39 51 79 165 260 400
12 20 39 51 79 164 258 350
13 20 38 51 78 164 257 308
14 19 38 50 77 163 257 273
15 18 37 49 77 163 256 256
16 18 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 76 161 255 255
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 61 76 162 255 255
24 17 36 63 76 162 255 255
25 17 36 66 76 161 255 255
26 17 35 68 75 161 254 254
27 17 35 71 75 161 254 254
28 16 35 73 75 161 254 254
29 16 35 76 75 161 254 254
30 16 35 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 3 367
2 91 103 110 131 248 370 2 522
3 91 104 113 136 243 387 1 910
4 92 106 116 140 242 387 1 479
5 93 108 119 142 242 378 1 173
6 94 110 121 145 241 364 951
7 95 112 122 147 241 347 787
8 95 113 124 149 241 334 661
9 95 113 124 151 240 333 563
10 94 112 125 152 239 332 484
11 93 111 124 151 237 330 420
12 91 110 122 150 236 329 368
13 89 108 120 148 234 327 327
14 88 106 119 146 232 325 325
15 86 105 117 145 230 324 324
16 84 103 115 143 229 322 322
17 83 101 114 141 227 320 320
18 81 100 112 140 226 319 319
19 80 99 111 138 224 318 318
20 79 98 110 137 223 317 317
21 78 97 109 136 222 316 316
22 77 95 108 135 221 314 314
23 75 94 107 134 220 313 313
24 74 93 105 133 219 312 312
25 73 92 104 132 217 311 311
26 72 90 103 130 216 310 310
27 71 89 102 129 215 308 308
28 69 88 101 128 214 307 307
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
1 306 318 324 345 462 557 3 603
2 83 95 101 122 240 387 2 660
3 84 97 106 129 237 400 1 995
4 86 100 110 135 236 399 1 537
5 88 103 115 138 237 389 1 216
6 90 106 117 142 238 374 985
7 92 109 120 144 238 356 814
8 93 111 122 147 239 337 683
9 94 112 123 150 239 332 581
10 94 112 125 152 239 332 499
11 94 113 125 153 239 332 433
12 94 113 126 153 239 332 378
13 95 113 126 153 239 333 333
14 95 114 126 154 240 333 333
15 96 115 127 155 240 334 334
16 97 115 128 155 241 335 335
17 98 116 129 156 242 335 335
18 99 117 130 157 243 336 336
19 99 118 130 158 244 337 337
20 100 118 131 158 244 337 337
21 100 118 131 158 244 337 337
22 99 118 130 158 244 337 337
23 99 117 130 157 243 336 336
24 98 116 129 156 242 335 335
25 97 115 128 155 241 334 334
26 95 114 126 154 240 333 333
27 94 112 125 152 238 332 332
28 92 111 123 151 237 330 330
29 91 110 122 150 235 329 329
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 34 152 297 3 064
2 0 6 13 34 151 338 2 288
3 1 7 15 39 146 353 1 731
4 1 7 17 42 143 354 1 339
5 1 8 19 43 142 345 1 063
6 2 10 21 45 141 332 862
7 2 12 22 47 141 317 713
8 2 12 23 48 140 300 600
9 4 12 24 50 139 283 511
10 4 12 27 52 138 266 440
11 4 12 30 52 138 250 382
12 4 12 31 52 138 234 334
13 4 13 34 53 138 232 295
14 5 13 37 53 139 232 261
15 6 13 40 53 139 232 233
16 6 13 41 53 139 232 232
17 6 14 44 54 140 233 233
18 6 15 47 54 140 234 234
19 7 16 49 55 141 234 234
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 67 145 238 238
27 11 23 68 69 145 239 239
28 11 24 71 71 146 239 239
29 10 25 73 73 146 239 239
30 11 26 75 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 46 59 65 86 203 318 3 298
2 47 59 66 87 204 361 2 460
3 47 60 68 92 199 376 1 855
4 46 60 70 95 196 375 1 431
5 46 61 73 96 195 366 1 133
6 47 63 74 99 195 352 919
7 48 64 75 99 194 335 759
8 47 65 76 101 193 317 638
9 47 65 77 104 192 299 543
10 46 65 77 104 191 285 467
11 45 64 76 104 190 283 405
12 44 63 75 103 189 282 355
13 43 61 74 101 187 280 312
14 41 60 73 100 186 279 279
15 40 59 71 99 185 278 278
16 39 58 70 97 183 277 277
17 38 57 69 97 182 276 276
18 37 56 68 96 182 275 275
19 36 55 67 95 181 274 274
20 36 55 67 94 180 274 274
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 89 175 268 268
29 30 49 77 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
1 109 121 128 149 266 361 3 417
2 111 123 129 151 268 374 2 556
3 112 125 133 157 264 391 1 937
4 114 127 137 162 263 392 1 500
5 115 130 141 165 264 384 1 192
6 117 133 144 169 265 371 969
7 119 136 146 171 265 358 804
8 119 136 147 173 265 358 677
9 119 137 149 175 264 358 577
10 119 137 150 177 264 357 497
11 118 137 149 177 263 356 432
12 117 136 148 176 262 355 379
13 116 134 147 174 260 353 353
14 114 133 145 173 258 352 352
15 112 131 143 171 257 350 350
16 110 129 141 169 255 348 348
17 108 127 139 167 253 346 346
18 106 125 137 165 251 344 344
19 104 123 136 163 249 342 342
20 103 121 134 161 247 341 341
21 101 120 132 160 246 339 339
22 99 118 130 158 244 337 337
23 97 116 129 156 242 335 335
24 96 114 127 154 240 333 333
25 94 112 125 152 238 331 331
26 92 111 123 150 236 330 330
27 90 109 121 149 234 328 328
28 88 107 119 147 233 326 326
29 87 105 118 145 231 324 324
30 85 104 116 144 229 323 323

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 3 703
2 171 184 190 211 328 423 2 758
3 176 188 197 220 328 423 2 084
4 177 191 201 226 327 421 1 612
5 179 193 205 228 327 421 1 278
6 179 195 206 231 327 420 1 036
7 180 197 207 232 326 419 856
8 179 196 207 233 325 418 719
9 178 196 208 235 324 417 611
10 178 196 208 236 322 416 526
11 176 195 207 235 321 414 456
12 174 193 205 233 319 412 412
13 171 190 203 230 316 409 409
14 169 187 200 227 313 406 406
15 166 184 197 224 310 403 403
16 163 181 194 221 307 400 400
17 160 178 191 218 304 398 398
18 157 176 188 215 301 395 395
19 154 173 185 213 298 392 392
20 151 170 182 210 296 389 389
21 148 167 179 207 293 386 386
22 145 164 176 204 290 383 383
23 142 161 173 201 286 380 380
24 139 158 170 198 283 377 377
25 136 155 167 194 280 374 374
26 133 152 164 191 277 371 371
27 130 149 161 189 274 368 368
28 127 146 158 186 272 365 365
29 124 143 155 183 269 362 362
30 122 140 153 180 266 359 359

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 67 184 303 3 125
2 28 40 47 68 185 345 2 337
3 28 41 49 73 180 361 1 770
4 28 42 52 77 178 362 1 371
5 29 43 55 78 177 353 1 089
6 29 45 56 81 177 340 884
7 30 47 57 82 176 325 732
8 29 47 58 83 175 308 615
9 29 47 58 85 174 290 524
10 29 47 59 87 174 273 451
11 28 47 59 87 173 266 392
12 28 46 59 86 172 266 343
13 27 46 59 86 172 265 303
14 27 46 58 86 171 265 268
15 27 45 58 85 171 265 265
16 27 45 58 85 171 264 264
17 27 45 58 85 171 264 264
18 27 46 58 85 171 265 265
19 27 46 58 86 171 265 265
20 27 46 58 86 172 265 265
21 27 46 58 86 172 265 265
22 27 46 58 86 171 265 265
23 27 46 60 85 171 265 265
24 27 45 62 85 171 264 264
25 26 45 65 85 171 264 264
26 26 45 67 85 170 264 264
27 26 44 70 84 170 263 263
28 25 44 72 84 170 263 263
29 25 44 74 84 169 263 263
30 25 43 78 83 169 262 262

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 65 182 308 3 189
2 27 39 45 66 184 352 2 387
3 28 41 49 73 180 368 1 807
4 29 43 53 78 179 368 1 399
5 31 46 57 81 180 360 1 110
6 33 49 60 84 180 346 901
7 35 52 62 87 181 330 746
8 35 52 63 89 181 313 627
9 36 54 65 92 181 295 534
10 36 55 67 94 181 278 460
11 37 56 68 96 182 275 399
12 37 56 68 96 182 275 349
13 37 56 69 96 182 275 308
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 69 96 182 275 275
20 38 56 69 96 182 276 276
21 38 57 69 96 182 276 276
22 38 56 69 96 182 276 276
23 38 56 69 96 182 275 275
24 37 56 68 96 182 275 275
25 37 55 68 95 181 274 274
26 36 55 68 95 181 274 274
27 36 54 71 94 180 273 273
28 35 54 73 94 179 273 273
29 34 53 76 93 179 272 272
30 34 52 78 92 178 271 271

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 3 546
2 121 133 140 161 278 381 2 613
3 120 133 141 165 272 397 1 972
4 119 133 143 168 269 398 1 528
5 120 134 146 169 268 390 1 215
6 120 136 147 171 267 376 988
7 120 137 148 172 266 360 819
8 120 137 148 174 265 359 689
9 119 137 148 175 264 358 588
10 119 137 150 177 264 357 506
11 118 137 149 177 263 356 440
12 117 136 148 176 262 355 385
13 116 135 147 175 261 354 354
14 115 134 146 174 259 353 353
15 113 132 144 172 257 351 351
16 111 130 142 170 255 349 349
17 109 127 140 167 253 346 346
18 107 125 138 165 251 344 344
19 105 123 136 163 249 342 342
20 102 121 134 161 247 340 340
21 100 119 131 159 245 338 338
22 98 117 129 157 242 336 336
23 96 114 127 154 240 334 334
24 94 112 125 152 238 331 331
25 91 110 122 150 236 329 329
26 89 108 120 148 234 327 327
27 87 106 118 146 232 325 325
28 85 104 116 144 230 323 323
29 83 102 114 142 228 321 321
30 81 100 112 140 226 319 319

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 36 154 312 3 230
2 0 11 17 38 155 353 2 399
3 1 12 21 44 152 368 1 810
4 1 14 25 49 150 367 1 398
5 2 17 28 52 151 358 1 108
6 4 20 31 55 151 344 898
7 6 23 33 58 152 328 742
8 6 23 35 60 152 310 623
9 6 24 36 63 152 293 530
10 7 25 37 65 151 275 456
11 7 25 38 65 151 258 396
12 6 25 37 65 151 244 347
13 6 25 37 65 151 244 305
14 6 25 38 65 150 244 270
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 64 150 243 243
20 7 25 53 65 151 244 244
21 7 25 55 65 151 244 244
22 9 26 58 65 151 245 245
23 9 26 60 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 3 217
2 31 43 50 71 188 353 2 398
3 30 43 51 75 182 368 1 811
4 29 43 53 78 179 368 1 399
5 29 44 55 79 178 359 1 109
6 32 47 58 83 179 345 899
7 30 47 57 82 176 328 743
8 33 50 61 87 179 311 624
9 32 50 62 89 178 293 531
10 28 46 58 86 173 276 457
11 24 42 55 82 168 262 397
12 21 39 52 79 165 259 347
13 18 37 49 77 163 256 305
14 17 35 48 75 161 254 270
15 15 34 46 74 160 253 253
16 14 32 45 72 158 251 251
17 13 32 45 72 157 251 251
18 12 31 48 71 157 250 250
19 12 31 50 71 156 250 250
20 12 31 53 71 156 250 250
21 12 31 55 71 156 250 250
22 12 31 58 71 156 250 250
23 12 31 59 70 156 250 250
24 12 30 62 70 156 249 249
25 12 30 65 70 156 249 249
26 11 30 67 70 156 249 249
27 11 30 69 71 156 249 249
28 11 30 72 73 156 249 249
29 11 30 74 75 155 249 249
30 12 30 78 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
1 206 218 225 246 363 458 3 660
2 203 215 222 243 360 455 2 661
3 198 211 219 243 350 445 1 991
4 193 207 217 242 343 437 1 533
5 189 204 215 239 338 431 1 214
6 186 202 213 237 333 427 985
7 183 200 210 235 329 422 816
8 179 196 207 233 324 418 687
9 175 193 204 231 320 413 587
10 171 189 202 229 316 409 507
11 167 186 198 226 312 405 441
12 163 182 194 222 308 401 401
13 159 178 190 218 304 397 397
14 155 174 186 214 300 393 393
15 152 170 183 210 296 389 389
16 148 167 179 207 293 386 386
17 145 163 176 203 289 382 382
18 142 160 173 200 286 379 379
19 139 157 170 197 283 376 376
20 136 154 167 194 280 373 373
21 133 151 164 191 277 370 370
22 130 148 161 188 274 368 368
23 127 146 158 186 271 365 365
24 124 143 155 183 269 362 362
25 121 140 152 180 266 359 359
26 119 137 150 177 263 356 356
27 116 135 147 175 260 354 354
28 114 132 145 172 258 351 351
29 111 130 142 170 256 349 349
30 109 127 140 167 253 346 346

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 50 169 316 3 277
2 0 14 25 50 169 358 2 436
3 1 16 28 55 166 372 1 833
4 1 20 31 60 165 371 1 414
5 3 23 36 66 165 361 1 120
6 5 27 39 68 166 347 907
7 8 30 42 70 166 331 750
8 11 34 45 74 166 313 629
9 12 37 49 76 166 295 535
10 14 39 51 77 166 277 461
11 15 41 52 78 166 260 400
12 15 42 54 79 166 260 350
13 16 43 54 80 166 260 308
14 17 44 55 80 166 259 273
15 17 44 55 80 166 259 259
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 80 166 259 259
20 17 44 55 80 166 260 260
21 17 44 55 80 166 260 260
22 17 44 58 80 166 260 260
23 17 44 61 80 166 260 260
24 17 44 63 80 166 259 259
25 17 44 66 80 166 259 259
26 17 44 68 80 166 259 259
27 17 44 71 80 165 259 259
28 17 44 73 80 165 258 258
29 17 44 75 80 165 258 258
30 17 44 78 80 164 258 258

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 14 131 293 3 014
2 0 1 6 13 130 333 2 249
3 1 1 8 16 123 348 1 701
4 1 3 11 19 120 348 1 317
5 1 4 15 21 119 340 1 045
6 2 4 16 24 119 327 849
7 2 6 19 27 119 312 703
8 2 6 21 29 118 296 591
9 4 7 24 31 118 279 504
10 4 8 27 33 118 263 434
11 4 9 30 36 118 247 377
12 4 9 31 38 119 232 330
13 4 11 34 40 119 217 291
14 5 11 37 42 119 212 258
15 6 13 39 44 119 213 230
16 6 13 41 46 120 213 213
17 6 14 44 49 120 213 213
18 6 15 46 51 120 214 214
19 7 16 48 53 123 214 214
20 7 16 51 55 125 215 215
21 7 18 53 57 126 215 215
22 8 19 55 58 129 216 216
23 8 19 58 61 130 216 216
24 8 21 60 63 132 216 216
25 9 21 63 65 133 216 216
26 9 22 65 67 135 216 216
27 10 23 68 68 136 216 216
28 10 24 70 70 137 216 216
29 10 24 73 72 138 216 216
30 11 26 75 75 140 216 216

ANNEX III

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

Currency National insurance market Volatility adjustment (in bps)
Euro Austria 19
Euro Belgium 19
Euro Cyprus 19
Euro Estonia 19
Euro Finland 19
Euro France 19
Euro Germany 19
Euro Greece 19
Euro Ireland 19
Euro Italy 19
Euro Latvia 19
Euro Lithuania 19
Euro Luxembourg 19
Euro Malta 19
Euro Netherlands 19
Euro Portugal 19
Euro Slovakia 19
Euro Slovenia 19
Euro Spain 19
Czech koruna Czech Republic 24
Danish krone Denmark 15
Forint Hungary 20
Krona Sweden -3
Kuna Croatia -1
Lev Bulgaria 35
Pound sterling United Kingdom 24
Romanian leu Romania 5
Zloty Poland 17
Króna Iceland -6
Norwegian krone Norway 5
Swiss franc Liechtenstein -3
Swiss franc Switzerland -3
Australian dollar Australia 5
Canadian dollar Canada 10
Renminbi-yuan China 6
Hong Kong dollar Hong Kong 3
US dollar United States 52
Yen Japan 2

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