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Commission Implementing Regulation (EU) 2023/967 of 16 May 2023 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 March 2023 until 29 June 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 2023-05-17
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 27 39 45 66 183 304 3 129
2 27 39 46 67 184 345 2 346
3 26 39 47 71 178 360 1 779
4 25 39 49 74 175 360 1 378
5 26 40 52 75 174 351 1 094
6 26 42 53 78 173 338 888
7 27 44 54 79 172 322 735
8 26 44 55 80 172 305 618
9 26 44 56 82 171 288 526
10 26 44 57 84 170 271 453
11 25 44 56 84 170 263 393
12 25 43 56 83 169 262 344
13 24 43 55 83 168 261 303
14 24 42 55 82 168 261 269
15 23 42 54 82 167 260 260
16 23 41 54 81 167 260 260
17 22 41 53 81 166 259 259
18 22 41 53 80 166 259 259
19 22 41 53 80 166 259 259
20 22 41 53 80 166 259 259
21 22 41 55 80 166 259 259
22 22 41 56 80 166 259 259
23 22 40 59 80 166 259 259
24 22 40 61 80 166 259 259
25 21 40 64 80 165 258 258
26 21 40 66 79 165 258 258
27 21 39 69 79 165 258 258
28 21 39 71 79 164 258 258
29 20 39 74 79 164 257 257
30 20 38 76 78 164 257 257

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 23 140 297 3 047
2 0 1 6 24 140 337 2 286
3 1 1 9 29 136 352 1 735
4 1 3 12 33 133 353 1 346
5 1 4 15 35 134 345 1 070
6 2 4 17 38 134 332 869
7 2 6 20 40 134 316 719
8 2 7 22 42 134 300 605
9 4 7 24 45 134 283 516
10 4 9 27 47 134 266 444
11 4 9 30 49 134 250 386
12 4 10 32 48 133 235 338
13 5 11 34 48 134 227 298
14 5 11 37 48 134 227 264
15 6 13 39 47 133 226 235
16 6 13 41 46 132 225 225
17 6 15 44 49 132 225 225
18 6 15 47 50 132 225 225
19 7 16 48 52 132 225 225
20 7 17 51 54 133 226 226
21 8 18 53 57 133 226 226
22 9 19 56 58 133 226 226
23 9 20 59 60 133 226 226
24 9 20 60 62 133 226 226
25 10 22 63 63 134 226 226
26 10 22 65 65 134 226 226
27 10 23 68 67 135 226 226
28 11 24 70 69 137 226 226
29 11 25 72 71 138 225 225
30 12 26 75 73 139 225 225

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 40 52 58 79 196 304 3 132
2 40 52 59 80 196 346 2 349
3 39 52 60 84 191 361 1 782
4 39 53 63 87 188 361 1 381
5 39 54 65 88 187 353 1 098
6 40 55 66 91 186 340 892
7 40 57 68 92 186 324 739
8 40 57 68 93 185 308 622
9 39 57 69 95 184 291 530
10 39 57 69 97 183 276 457
11 38 57 69 97 182 276 397
12 38 56 69 96 182 275 347
13 37 56 68 96 181 274 306
14 37 55 68 95 181 274 274
15 36 55 67 94 180 273 273
16 35 54 66 94 179 272 272
17 35 54 66 93 179 272 272
18 34 53 65 93 178 272 272
19 34 53 65 92 178 271 271
20 34 52 65 92 178 271 271
21 34 52 65 92 177 271 271
22 33 52 64 91 177 270 270
23 33 51 64 91 176 270 270
24 32 50 63 90 176 269 269
25 31 50 64 90 175 268 268
26 30 49 67 89 174 267 267
27 30 48 69 88 174 267 267
28 29 47 71 87 173 266 266
29 28 47 74 87 172 265 265
30 27 46 77 86 171 265 265

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 12 24 31 52 169 296 3 044
2 16 28 34 55 172 337 2 283
3 18 31 39 63 170 352 1 733
4 21 35 45 69 170 352 1 346
5 23 38 49 73 171 345 1 070
6 23 39 50 74 170 332 870
7 28 44 55 79 173 317 721
8 27 44 55 81 172 301 607
9 28 46 57 84 173 284 517
10 30 48 60 87 174 268 446
11 31 49 62 89 175 268 388
12 32 50 63 90 176 269 340
13 32 51 63 91 176 269 299
14 33 51 64 91 176 270 270
15 33 51 64 91 177 270 270
16 32 51 63 91 176 269 269
17 33 51 64 91 176 270 270
18 32 51 63 90 176 269 269
19 32 50 63 90 176 269 269
20 32 50 63 90 176 269 269
21 32 50 63 90 176 269 269
22 32 50 63 90 176 269 269
23 31 50 62 90 175 268 268
24 31 50 62 89 175 268 268
25 30 49 64 89 174 268 268
26 30 49 66 88 174 267 267
27 29 48 69 88 173 267 267
28 29 48 71 87 173 266 266
29 28 47 74 87 172 265 265
30 28 47 76 86 172 265 265

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 53 170 307 3 163
2 15 27 33 54 171 348 2 367
3 15 28 36 60 167 362 1 789
4 16 29 39 64 165 361 1 384
5 16 31 42 66 165 352 1 097
6 18 34 45 69 165 338 890
7 19 36 46 71 165 323 737
8 19 37 48 73 165 306 619
9 20 38 49 76 165 289 527
10 20 39 51 78 165 272 454
11 21 39 52 79 165 258 395
12 21 39 52 79 165 258 345
13 21 40 52 79 165 258 304
14 21 40 52 79 165 258 269
15 21 40 52 79 165 258 258
16 21 39 52 79 165 258 258
17 21 39 52 79 165 258 258
18 21 39 52 79 165 258 258
19 21 39 52 79 165 258 258
20 21 39 52 79 165 258 258
21 21 39 55 79 165 258 258
22 20 39 56 79 164 258 258
23 20 39 59 78 164 257 257
24 20 38 61 78 164 257 257
25 19 38 64 77 163 256 256
26 19 37 66 77 163 256 256
27 18 37 69 77 162 255 255
28 18 36 71 76 162 255 255
29 17 36 74 76 161 254 254
30 17 36 76 75 161 254 254

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 88 205 322 3 328
2 50 62 69 90 207 362 2 478
3 52 65 74 97 204 376 1 872
4 53 67 77 102 203 375 1 446
5 55 70 81 105 203 365 1 145
6 57 73 84 108 204 351 928
7 58 75 86 110 204 334 766
8 58 76 87 112 204 316 643
9 59 77 88 115 204 298 547
10 59 77 90 117 203 297 471
11 59 78 90 117 203 296 409
12 59 77 90 117 203 296 357
13 58 77 89 116 202 295 315
14 57 76 88 116 201 294 294
15 57 75 88 115 200 294 294
16 56 74 87 114 200 293 293
17 55 74 86 114 199 292 292
18 55 73 86 113 199 292 292
19 54 73 85 112 198 291 291
20 53 72 84 112 197 291 291
21 53 71 84 111 197 290 290
22 52 71 83 110 196 289 289
23 51 70 82 109 195 288 288
24 50 69 81 109 194 287 287
25 49 68 80 108 193 286 286
26 48 67 79 107 192 285 285
27 47 66 78 106 191 284 284
28 46 65 77 105 190 283 283
29 46 64 77 104 189 283 283
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 98 119 235 335 3 475
2 84 96 103 124 240 382 2 625
3 85 98 106 130 237 401 1 999
4 85 99 109 134 235 402 1 554
5 89 103 115 138 237 394 1 236
6 91 107 118 142 238 380 1004
7 93 110 120 145 239 363 832
8 95 112 123 149 240 345 700
9 96 114 125 152 241 334 596
10 97 115 127 154 241 334 513
11 97 115 127 155 241 334 446
12 96 114 127 154 240 333 390
13 95 113 126 153 239 332 343
14 93 112 124 152 237 330 330
15 92 111 123 150 236 329 329
16 91 109 122 149 235 328 328
17 89 108 120 148 233 326 326
18 88 107 119 146 232 325 325
19 87 105 118 145 231 324 324
20 85 104 116 144 229 322 322
21 84 102 115 142 228 321 321
22 82 101 113 141 226 319 319
23 80 99 112 139 224 318 318
24 79 97 110 137 223 316 316
25 77 96 108 135 221 314 314
26 75 94 106 134 219 312 312
27 74 92 105 132 218 311 311
28 72 91 103 130 216 309 309
29 70 89 101 129 214 307 307
30 69 87 100 127 213 306 306

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 47 164 306 3 152
2 10 22 29 50 167 347 2 357
3 12 25 33 57 164 362 1 787
4 14 27 38 62 163 362 1 386
5 16 30 42 65 164 353 1 100
6 17 33 44 69 164 340 893
7 19 36 46 71 165 324 739
8 19 37 48 73 165 307 622
9 20 38 49 76 165 290 530
10 20 38 51 78 164 273 456
11 20 39 51 79 164 257 396
12 20 39 51 78 164 257 347
13 20 38 51 78 163 257 305
14 19 38 50 77 163 256 270
15 18 37 49 77 162 255 255
16 18 36 49 76 162 255 255
17 17 36 48 76 161 254 254
18 17 36 48 76 161 254 254
19 17 36 50 75 161 254 254
20 17 36 52 76 161 254 254
21 17 36 55 76 161 255 255
22 17 36 57 76 161 255 255
23 17 36 59 76 161 254 254
24 17 36 62 76 161 254 254
25 17 36 64 75 161 254 254
26 17 35 67 75 161 254 254
27 17 35 69 75 161 254 254
28 16 35 71 75 160 253 253
29 16 35 74 75 160 253 253
30 16 35 77 75 160 253 253

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 90 102 108 129 246 341 3 308
2 91 103 110 131 247 364 2 486
3 91 104 112 136 243 381 1 889
4 92 105 116 140 241 381 1 466
5 93 107 119 142 241 373 1 165
6 94 110 121 145 241 359 946
7 95 112 122 147 240 343 783
8 95 112 123 149 240 333 659
9 95 113 124 151 240 333 561
10 94 112 124 152 238 331 483
11 93 111 124 151 237 330 420
12 91 110 122 149 235 328 367
13 89 108 120 148 233 326 326
14 88 106 119 146 232 325 325
15 86 105 117 144 230 323 323
16 84 103 115 143 228 321 321
17 83 101 114 141 227 320 320
18 81 100 112 140 225 318 318
19 80 99 111 138 224 317 317
20 79 98 110 137 223 316 316
21 78 97 109 136 222 315 315
22 77 95 108 135 221 314 314
23 76 94 107 134 220 313 313
24 74 93 105 133 218 311 311
25 73 92 104 132 217 310 310
26 72 91 103 130 216 309 309
27 71 89 102 129 215 308 308
28 70 88 101 128 214 307 307
29 68 87 99 127 212 306 306
30 67 86 98 126 211 304 304

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
1 304 316 322 343 460 555 3 550
2 83 95 102 123 239 382 2 627
3 85 98 106 129 236 394 1 975
4 87 100 111 135 236 393 1 524
5 89 103 115 138 237 383 1207
6 91 106 118 142 238 368 978
7 93 109 120 144 238 351 808
8 93 111 122 147 239 332 679
9 94 112 123 150 239 332 578
10 94 113 125 152 239 332 497
11 94 113 125 153 239 332 431
12 95 113 126 153 239 332 377
13 95 114 126 153 239 332 332
14 95 114 126 154 239 332 332
15 96 115 127 154 240 333 333
16 97 116 128 155 241 334 334
17 98 116 129 156 242 335 335
18 99 117 130 157 243 336 336
19 99 118 130 158 243 336 336
20 100 118 131 158 244 337 337
21 100 118 131 158 244 337 337
22 99 118 130 158 243 336 336
23 99 117 130 157 243 336 336
24 98 116 129 156 242 335 335
25 96 115 128 155 240 334 334
26 95 114 126 154 239 332 332
27 94 112 125 152 238 331 331
28 92 111 123 151 236 329 329
29 91 110 122 149 235 328 328
30 89 108 120 148 233 327 327

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 6 13 34 151 292 3 000
2 0 6 13 34 150 332 2 250
3 1 6 15 38 145 347 1 709
4 1 7 17 41 142 348 1 326
5 1 8 19 43 141 340 1 054
6 2 10 21 45 141 327 857
7 2 11 22 46 140 312 709
8 2 11 22 48 139 296 597
9 4 11 24 50 138 279 509
10 4 12 27 51 138 263 438
11 4 12 29 52 138 247 381
12 4 12 31 52 138 232 333
13 5 13 34 52 138 231 294
14 5 13 37 53 138 231 261
15 6 13 38 53 138 232 232
16 6 13 41 53 139 232 232
17 6 15 44 54 139 232 232
18 6 15 45 54 140 233 233
19 7 16 48 55 141 234 234
20 7 17 51 56 141 235 235
21 8 18 53 57 142 235 235
22 9 18 55 58 143 236 236
23 9 20 58 60 143 237 237
24 9 20 60 61 144 237 237
25 10 22 63 63 144 237 237
26 10 22 65 65 145 238 238
27 10 23 68 67 145 238 238
28 11 24 70 69 145 238 238
29 11 25 72 71 145 238 238
30 12 26 75 73 146 239 239

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 58 65 86 203 312 3215
2 47 59 66 87 203 353 2 405
3 46 59 68 91 198 367 1 820
4 46 60 70 94 195 367 1 409
5 46 61 72 96 195 358 1 118
6 47 63 74 98 194 345 907
7 48 64 75 99 193 328 750
8 47 65 76 101 192 311 631
9 47 65 76 103 192 294 537
10 46 65 77 104 191 284 462
11 45 64 76 104 189 282 402
12 44 62 75 102 188 281 351
13 43 61 74 101 187 280 310
14 41 60 72 100 185 278 278
15 40 59 71 99 184 277 277
16 39 58 70 97 183 276 276
17 38 57 69 96 182 275 275
18 37 56 68 95 181 274 274
19 36 55 67 95 180 273 273
20 36 55 67 94 180 273 273
21 35 54 66 94 179 273 273
22 35 53 66 93 179 272 272
23 34 53 65 93 178 271 271
24 34 52 65 92 177 271 271
25 33 51 65 91 177 270 270
26 32 51 68 91 176 269 269
27 31 50 70 90 175 269 269
28 31 49 73 89 175 268 268
29 30 49 75 89 174 267 267
30 30 48 77 88 173 267 267

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
1 109 121 128 149 265 360 3 365
2 110 123 129 150 267 369 2523
3 112 125 133 157 264 385 1 916
4 113 127 137 162 263 386 1 488
5 115 130 141 165 263 378 1 184
6 117 133 144 168 264 366 964
7 119 136 146 170 264 357 800
8 119 136 147 173 264 357 674
9 119 137 149 175 264 357 575
10 119 137 150 177 263 357 496
11 118 137 149 177 263 356 432
12 117 136 148 176 261 354 378
13 116 135 147 174 260 353 353
14 114 133 145 173 258 351 351
15 113 131 144 171 256 350 350
16 110 129 141 169 254 347 347
17 109 127 140 167 252 346 346
18 107 125 138 165 251 344 344
19 105 123 136 163 249 342 342
20 103 122 134 162 247 340 340
21 101 120 132 160 245 339 339
22 100 118 131 158 244 337 337
23 98 116 129 156 242 335 335
24 96 115 127 154 240 333 333
25 94 113 125 152 238 331 331
26 92 111 123 151 236 329 329
27 90 109 121 149 234 327 327
28 89 107 120 147 233 326 326
29 87 106 118 145 231 324 324
30 85 104 116 144 229 322 322

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
1 163 175 181 202 319 414 3 587
2 171 183 190 211 328 422 2 678
3 175 188 197 220 327 422 2 035
4 177 191 201 226 327 420 1 582
5 179 193 205 228 327 420 1 259
6 179 195 206 230 326 419 1 024
7 180 197 207 232 325 418 849
8 179 196 207 233 324 417 714
9 178 196 208 235 323 416 609
10 178 196 208 235 322 415 525
11 176 195 207 235 320 414 456
12 174 193 205 233 318 411 411
13 172 190 203 230 316 409 409
14 169 187 200 227 313 406 406
15 166 185 197 224 310 403 403
16 163 182 194 221 307 400 400
17 160 179 191 218 304 397 397
18 157 176 188 216 301 394 394
19 154 173 185 213 298 391 391
20 151 170 182 210 295 388 388
21 148 167 179 207 292 385 385
22 145 164 176 204 289 382 382
23 142 161 173 201 286 379 379
24 139 158 170 198 283 376 376
25 136 155 167 195 280 373 373
26 133 152 164 192 277 370 370
27 130 149 161 189 274 367 367
28 127 146 158 186 271 364 364
29 125 143 156 183 269 362 362
30 122 141 153 180 266 359 359

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 27 39 46 67 183 298 3 062
2 28 40 46 67 184 339 2302
3 28 41 49 72 179 355 1 751
4 28 41 52 76 177 356 1 361
5 28 43 54 78 177 349 1 082
6 29 45 56 80 176 336 880
7 30 47 57 82 175 321 729
8 29 47 58 83 174 304 614
9 29 47 58 85 174 287 523
10 29 47 59 86 173 271 451
11 28 47 59 87 172 266 392
12 28 46 59 86 172 265 343
13 27 46 58 86 171 264 302
14 27 46 58 85 171 264 268
15 27 45 58 85 171 264 264
16 27 45 58 85 171 264 264
17 27 45 58 85 171 264 264
18 27 45 58 85 171 264 264
19 27 46 58 85 171 264 264
20 27 46 58 86 171 264 264
21 27 46 58 86 171 264 264
22 27 46 58 85 171 264 264
23 27 46 59 85 171 264 264
24 27 45 62 85 171 264 264
25 26 45 64 85 170 263 263
26 26 45 67 84 170 263 263
27 26 44 69 84 170 263 263
28 25 44 71 84 169 262 262
29 25 44 74 83 169 262 262
30 25 43 76 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 43 64 181 300 3 088
2 27 39 45 66 183 343 2 328
3 28 41 49 73 180 359 1 772
4 29 43 53 78 178 360 1 377
5 31 46 57 81 179 353 1 096
6 33 49 60 84 180 340 891
7 35 51 62 86 180 325 738
8 35 52 63 89 180 308 622
9 36 53 65 92 180 291 530
10 36 55 67 94 181 274 457
11 37 56 68 95 181 274 397
12 37 56 68 96 181 274 348
13 37 56 68 96 181 275 306
14 37 56 68 96 181 274 274
15 37 56 68 96 181 274 274
16 37 56 68 95 181 274 274
17 37 56 68 96 181 274 274
18 37 56 68 96 181 274 274
19 38 56 69 96 181 275 275
20 38 56 69 96 182 275 275
21 38 57 69 96 182 275 275
22 38 56 69 96 182 275 275
23 38 56 69 96 182 275 275
24 37 56 68 96 181 274 274
25 37 55 68 95 181 274 274
26 36 55 68 95 180 273 273
27 36 54 70 94 180 273 273
28 35 54 73 93 179 272 272
29 34 53 75 93 178 272 272
30 34 52 77 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
1 123 135 141 162 279 374 3 452
2 121 133 140 161 278 378 2 594
3 120 133 141 165 272 396 1 972
4 119 133 143 168 269 397 1 531
5 120 134 146 169 268 388 1 218
6 120 136 147 171 267 375 990
7 120 137 148 172 266 359 820
8 120 137 148 174 265 358 690
9 119 137 149 175 264 357 588
10 119 137 150 177 263 357 506
11 119 137 150 177 263 356 440
12 118 136 149 176 262 355 385
13 117 135 148 175 261 354 354
14 115 134 146 174 259 352 352
15 113 132 144 172 257 350 350
16 111 130 142 170 255 349 349
17 109 128 140 167 253 346 346
18 107 126 138 165 251 344 344
19 105 124 136 163 249 342 342
20 103 121 134 161 247 340 340
21 101 119 132 159 245 338 338
22 98 117 129 157 242 336 336
23 96 115 127 155 240 333 333
24 94 113 125 152 238 331 331
25 92 110 123 150 236 329 329
26 90 108 121 148 234 327 327
27 88 106 119 146 231 325 325
28 85 104 117 144 229 323 323
29 83 102 115 142 227 321 321
30 82 100 113 140 225 319 319

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 36 153 303 3 119
2 0 11 17 38 155 344 2 335
3 1 12 21 44 151 359 1 771
4 1 14 25 49 150 359 1 373
5 2 17 28 52 151 350 1 091
6 4 20 31 55 151 337 885
7 6 23 33 58 151 322 733
8 6 24 35 60 151 305 616
9 6 24 36 63 151 288 525
10 7 25 37 64 151 271 452
11 7 25 38 65 151 254 392
12 6 25 38 65 150 244 344
13 6 25 37 65 150 243 303
14 6 25 37 64 150 243 268
15 6 24 40 64 150 243 243
16 6 24 42 64 149 243 243
17 6 24 45 64 150 243 243
18 6 24 47 64 150 243 243
19 7 24 49 64 150 243 243
20 8 25 52 65 150 243 243
21 8 25 55 65 151 244 244
22 9 26 56 65 151 244 244
23 9 26 59 66 151 244 244
24 9 26 61 66 151 244 244
25 10 26 64 66 151 245 245
26 10 26 66 67 152 245 245
27 11 26 69 69 152 245 245
28 11 26 71 70 152 245 245
29 11 26 74 72 152 245 245
30 12 27 76 75 152 245 245

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 49 70 187 304 3 125
2 31 43 50 71 187 344 2 340
3 30 43 51 75 182 359 1 775
4 29 43 53 77 178 359 1 376
5 29 44 55 78 177 351 1 093
6 31 47 58 82 178 338 887
7 30 46 57 81 175 322 734
8 33 50 61 87 178 305 617
9 32 50 62 88 177 288 526
10 28 46 58 85 172 271 453
11 24 42 55 82 168 261 393
12 21 39 52 79 165 258 344
13 18 37 49 77 162 255 303
14 17 35 48 75 160 254 268
15 15 34 46 74 159 252 252
16 14 32 45 72 158 251 251
17 13 32 45 71 157 250 250
18 12 31 47 71 156 249 249
19 12 31 49 70 156 249 249
20 12 31 52 70 156 249 249
21 12 31 54 70 156 249 249
22 12 31 56 70 156 249 249
23 12 31 59 70 156 249 249
24 12 30 61 70 156 249 249
25 12 30 64 70 156 249 249
26 11 30 66 70 155 249 249
27 11 30 69 70 155 248 248
28 11 30 71 70 155 248 248
29 11 30 74 72 155 248 248
30 12 30 76 73 155 248 248

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
1 206 218 225 245 362 457 3 608
2 202 214 221 242 359 454 2 687
3 197 210 219 242 349 444 2 032
4 193 207 217 241 342 436 1 571
5 189 204 215 238 337 430 1 244
6 186 201 212 237 332 426 1008
7 183 199 210 234 328 421 832
8 179 196 207 232 324 417 698
9 175 193 204 231 320 413 593
10 171 189 202 229 315 409 510
11 167 186 198 226 311 404 442
12 163 182 194 222 307 400 400
13 159 178 190 218 303 396 396
14 155 174 186 214 299 393 393
15 152 170 183 210 296 389 389
16 148 167 179 207 292 385 385
17 145 164 176 203 289 382 382
18 142 160 173 200 286 379 379
19 139 157 170 197 283 376 376
20 136 155 167 194 280 373 373
21 133 152 164 191 277 370 370
22 130 149 161 189 274 367 367
23 127 146 158 186 271 364 364
24 124 143 155 183 268 362 362
25 122 140 153 180 266 359 359
26 119 138 150 177 263 356 356
27 116 135 147 175 260 353 353
28 114 132 145 172 258 351 351
29 111 130 142 170 255 348 348
30 109 128 140 167 253 346 346

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 50 169 309 3 185
2 0 14 25 50 169 349 2 374
3 1 17 28 55 165 362 1 794
4 1 20 31 60 164 362 1 389
5 3 23 36 66 165 353 1102
6 6 27 39 68 165 339 894
7 8 31 42 70 166 324 739
8 11 34 45 74 166 306 621
9 13 37 49 76 166 289 529
10 14 39 51 77 166 272 455
11 15 41 52 78 166 259 395
12 15 42 54 79 166 259 346
13 16 43 55 80 166 259 305
14 17 44 55 80 166 259 270
15 17 44 55 80 166 259 259
16 17 44 55 80 165 258 258
17 17 44 55 80 165 259 259
18 17 44 55 80 165 259 259
19 17 44 55 80 166 259 259
20 17 44 55 80 166 259 259
21 17 44 55 80 166 259 259
22 17 44 56 80 166 259 259
23 17 44 59 80 166 259 259
24 17 44 61 80 166 259 259
25 17 44 64 80 165 259 259
26 17 44 66 80 165 258 258
27 17 44 69 80 165 258 258
28 17 44 71 80 165 258 258
29 17 44 74 80 164 257 257
30 17 44 76 80 164 257 257

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 4 14 131 288 2 955
2 0 1 6 13 129 328 2 218
3 1 1 8 16 123 343 1 685
4 1 3 11 19 120 344 1 308
5 1 4 13 21 119 336 1 040
6 2 4 16 23 118 324 846
7 2 6 19 26 118 309 701
8 2 6 21 29 118 293 590
9 4 7 24 30 118 277 503
10 4 9 27 33 118 261 433
11 4 9 28 35 118 245 377
12 4 9 31 37 118 230 330
13 4 11 34 39 118 216 291
14 5 11 36 42 119 212 258
15 6 13 38 43 119 212 230
16 6 13 41 45 119 212 212
17 6 15 43 47 120 213 213
18 6 15 45 50 120 213 213
19 7 16 48 51 121 214 214
20 7 17 51 54 123 214 214
21 7 18 52 55 125 215 215
22 9 18 55 57 126 215 215
23 9 20 57 59 128 215 215
24 9 20 60 61 129 215 215
25 10 21 61 63 130 215 215
26 10 22 64 65 132 215 215
27 10 23 66 66 133 215 215
28 11 24 69 68 134 215 215
29 11 25 71 70 135 215 215
30 12 25 73 71 137 215 215

ANNEX III

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

Currency National insurance market Volatility adjustment (in bps)
Euro Austria 20
Euro Belgium 20
Euro Cyprus 20
Euro Estonia 20
Euro Finland 20
Euro France 20
Euro Germany 20
Euro Greece 20
Euro Ireland 20
Euro Italy 20
Euro Latvia 20
Euro Lithuania 20
Euro Luxembourg 20
Euro Malta 20
Euro Netherlands 20
Euro Portugal 20
Euro Slovakia 20
Euro Slovenia 20
Euro Spain 20
Czech koruna Czech Republic 16
Danish krone Denmark 26
Forint Hungary 17
Krona Sweden -1
Euro Croatia 20
Lev Bulgaria 17
Pound sterling United Kingdom 21
Romanian leu Romania 17
Zloty Poland 16
Króna Iceland 54
Norwegian krone Norway 10
Swiss franc Liechtenstein -3
Swiss franc Switzerland -3
Australian dollar Australia -2
Canadian dollar Canada 9
Renminbi-yuan China 8
Hong Kong dollar Hong Kong 2
US dollar United States 57
Yen Japan -0

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