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Commission Implementing Regulation (EU) 2024/2147 of 6 August 2024 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 June 2024 until 29 September 2024 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

Type Implementing Regulation
Publication 2024-08-07
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 26 38 44 65 179 302 3 230
2 26 38 45 66 180 345 2 424
3 26 38 47 70 174 361 1 836
4 25 39 49 73 171 361 1 420
5 25 40 51 74 171 353 1 125
6 26 42 53 77 170 340 911
7 27 43 54 78 169 324 753
8 26 43 54 79 168 307 632
9 26 44 55 81 168 290 537
10 26 44 56 82 167 273 462
11 25 44 56 83 166 258 400
12 25 43 56 82 166 258 350
13 24 43 55 82 165 257 308
14 24 42 54 81 165 257 272
15 23 42 54 81 164 256 256
16 23 41 53 80 163 255 255
17 22 41 53 80 163 255 255
18 22 41 53 79 163 255 255
19 22 41 53 79 163 255 255
20 22 41 53 80 163 255 255
21 22 41 54 80 163 255 255
22 22 41 56 79 163 255 255
23 22 41 59 79 163 255 255
24 22 40 61 79 163 255 255
25 22 40 64 79 162 254 254
26 21 40 66 79 162 254 254
27 21 39 69 78 162 254 254
28 21 39 71 78 162 254 254
29 20 39 73 78 161 253 253
30 20 39 76 77 161 253 253

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 21 135 287 3 055
2 0 1 6 22 136 328 2 291
3 1 1 8 28 132 343 1 737
4 1 3 11 32 130 344 1 347
5 1 4 13 34 130 337 1 068
6 2 4 16 37 130 325 867
7 2 5 19 39 130 310 716
8 2 7 21 41 130 294 602
9 4 7 24 44 130 277 512
10 4 9 27 46 130 261 441
11 4 9 28 47 131 245 382
12 4 10 31 46 130 230 334
13 4 11 34 47 131 223 294
14 5 12 35 47 131 223 261
15 6 13 38 46 130 222 232
16 6 13 41 46 129 221 221
17 6 15 42 48 129 221 221
18 6 15 45 49 129 221 221
19 7 17 48 52 129 221 221
20 7 17 49 53 130 222 222
21 8 18 52 56 130 222 222
22 9 19 54 57 130 222 222
23 9 20 57 59 130 222 222
24 9 20 59 61 130 222 222
25 10 22 61 62 130 222 222
26 10 22 63 64 131 222 222
27 10 24 66 66 132 222 222
28 11 24 68 68 133 222 222
29 11 25 71 70 134 222 222
30 11 26 73 72 135 221 221

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 38 50 57 77 191 303 3 239
2 38 50 57 78 192 346 2 430
3 38 51 59 82 187 362 1 842
4 38 51 61 86 184 363 1 427
5 38 53 64 87 184 355 1 132
6 39 54 65 89 183 342 918
7 40 56 67 91 182 327 759
8 39 56 67 92 181 310 637
9 39 57 68 94 181 293 542
10 39 57 69 95 180 276 466
11 38 57 69 95 179 271 405
12 38 56 68 95 179 271 354
13 37 56 68 94 178 270 311
14 37 55 67 94 178 270 276
15 36 55 67 93 177 269 269
16 35 54 66 93 176 268 268
17 35 54 66 92 176 268 268
18 35 53 65 92 175 268 268
19 34 53 65 92 175 267 267
20 34 53 65 91 175 267 267
21 34 52 64 91 175 267 267
22 33 52 64 91 174 266 266
23 33 51 63 90 174 266 266
24 32 51 63 89 173 265 265
25 31 50 64 89 172 264 264
26 31 49 66 88 171 263 263
27 30 48 69 87 171 263 263
28 29 48 71 86 170 262 262
29 28 47 74 86 169 261 261
30 28 46 77 85 168 260 260

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 10 22 29 50 164 293 3 125
2 14 26 33 53 167 335 2 345
3 17 30 38 61 166 351 1 780
4 19 33 43 67 166 352 1 380
5 22 36 48 71 167 345 1 096
6 22 37 48 72 166 333 889
7 26 43 53 78 169 318 736
8 26 43 54 79 168 302 618
9 27 45 56 82 169 285 526
10 29 47 59 85 170 268 453
11 30 48 61 87 171 263 393
12 31 49 61 88 172 264 344
13 31 50 62 88 172 264 303
14 32 50 62 89 172 264 268
15 32 50 62 89 173 265 265
16 32 50 62 89 172 264 264
17 32 50 62 89 173 265 265
18 31 50 62 89 172 264 264
19 31 50 62 88 172 264 264
20 31 50 62 89 172 264 264
21 31 50 62 89 172 264 264
22 31 50 62 88 172 264 264
23 31 49 61 88 172 264 264
24 30 49 61 88 171 263 263
25 30 48 62 87 171 263 263
26 30 48 65 87 170 262 262
27 29 47 67 86 170 262 262
28 29 47 70 86 169 261 261
29 28 46 72 85 169 261 261
30 27 46 75 85 168 260 260

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 53 167 302 3 229
2 15 27 33 54 168 344 2 413
3 15 28 36 59 164 359 1 826
4 16 29 39 63 162 359 1 412
5 16 31 42 66 162 351 1 119
6 18 34 45 69 162 338 907
7 19 36 46 70 162 322 749
8 20 37 48 73 162 306 629
9 20 38 49 75 162 289 535
10 20 39 51 77 162 272 460
11 21 39 51 78 162 255 399
12 21 39 52 78 162 254 349
13 21 40 52 78 162 254 307
14 21 40 52 78 162 254 272
15 21 40 52 78 162 254 254
16 21 39 52 78 162 254 254
17 21 39 52 78 162 254 254
18 21 39 52 78 162 254 254
19 21 39 52 78 162 254 254
20 21 39 52 78 162 254 254
21 21 39 53 78 162 254 254
22 21 39 56 78 161 253 253
23 20 39 59 77 161 253 253
24 20 38 61 77 161 253 253
25 19 38 64 77 160 252 252
26 19 37 66 76 160 252 252
27 18 37 68 76 159 251 251
28 18 36 71 75 159 251 251
29 17 36 73 75 158 250 250
30 17 36 76 74 158 250 250

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 87 201 302 3 229
2 50 62 68 89 203 347 2 439
3 52 65 73 96 201 366 1 859
4 53 67 77 101 200 368 1 445
5 55 69 81 104 200 361 1 149
6 57 72 83 107 201 349 934
7 58 75 85 109 201 334 772
8 58 76 86 111 201 317 649
9 59 76 88 114 200 299 552
10 59 77 89 116 200 292 475
11 59 77 90 116 200 292 412
12 59 77 89 116 200 292 360
13 58 76 89 115 199 291 317
14 57 76 88 115 198 290 290
15 57 75 87 114 197 289 289
16 56 74 87 113 197 289 289
17 55 74 86 113 196 288 288
18 55 73 85 112 196 288 288
19 54 73 85 112 195 287 287
20 54 72 84 111 195 287 287
21 53 71 84 110 194 286 286
22 52 71 83 109 193 285 285
23 51 70 82 109 192 284 284
24 50 69 81 108 191 283 283
25 50 68 80 107 190 282 282
26 49 67 79 106 189 281 281
27 48 66 78 105 189 281 281
28 47 65 77 104 188 280 280
29 46 64 77 103 187 279 279
30 45 63 78 102 186 278 278

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 98 119 233 326 3 388
2 85 97 103 124 238 366 2 583
3 86 99 107 131 235 388 1 978
4 87 101 111 135 234 391 1 540
5 90 105 116 139 236 384 1 225
6 93 109 120 144 237 371 995
7 95 112 122 146 238 355 823
8 97 114 125 150 239 337 692
9 98 116 127 153 240 332 589
10 99 117 129 156 240 332 507
11 99 117 129 156 240 332 440
12 98 117 129 156 239 331 384
13 97 116 128 154 238 330 338
14 96 114 127 153 237 329 329
15 94 113 125 152 235 327 327
16 93 112 124 150 234 326 326
17 92 110 122 149 233 325 325
18 90 109 121 148 231 323 323
19 89 107 120 146 230 322 322
20 88 106 118 145 228 320 320
21 86 104 117 143 227 319 319
22 84 103 115 142 225 317 317
23 83 101 113 140 224 316 316
24 81 99 112 138 222 314 314
25 79 98 110 136 220 312 312
26 77 96 108 135 218 310 310
27 76 94 106 133 217 309 309
28 74 92 105 131 215 307 307
29 72 91 103 130 213 305 305
30 71 89 101 128 212 304 304

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 47 161 302 3 222
2 10 22 29 50 164 343 2 410
3 12 25 33 56 161 359 1 825
4 14 28 37 62 160 359 1 412
5 16 30 42 65 161 351 1 119
6 18 33 44 68 162 338 906
7 19 36 46 70 162 322 749
8 20 37 48 73 162 305 628
9 20 38 49 75 162 288 534
10 20 38 51 77 162 271 459
11 20 39 51 78 162 255 399
12 20 39 51 78 161 253 348
13 20 38 50 77 161 253 307
14 19 38 50 77 160 252 271
15 19 37 49 76 160 252 252
16 18 37 49 75 159 251 251
17 18 36 49 75 159 251 251
18 18 36 48 75 159 251 251
19 18 36 49 75 159 251 251
20 18 36 52 75 159 251 251
21 18 36 53 75 159 251 251
22 18 36 56 75 159 251 251
23 18 36 59 75 159 251 251
24 18 36 61 75 159 251 251
25 18 36 64 75 158 250 250
26 17 36 66 75 158 250 250
27 17 36 69 74 158 250 250
28 17 35 71 74 158 250 250
29 17 35 73 74 158 250 250
30 16 35 76 74 157 249 249

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 88 100 107 127 241 335 3 351
2 89 102 108 129 243 357 2 513
3 90 103 111 134 239 373 1 906
4 91 105 114 139 237 374 1 477
5 92 107 118 141 237 366 1 171
6 93 109 120 144 237 353 949
7 94 111 121 146 237 337 784
8 95 112 123 148 237 329 658
9 94 112 123 150 236 328 559
10 93 112 124 150 235 327 480
11 92 111 123 150 233 325 416
12 91 109 122 148 232 324 364
13 89 108 120 147 230 322 322
14 88 106 118 145 228 320 320
15 86 104 117 143 227 319 319
16 84 103 115 142 225 317 317
17 83 101 114 140 224 316 316
18 82 100 112 139 222 314 314
19 80 99 111 138 221 313 313
20 79 98 110 137 220 312 312
21 78 97 109 136 219 311 311
22 77 96 108 134 218 310 310
23 76 94 107 133 217 309 309
24 75 93 105 132 216 308 308
25 74 92 104 131 214 306 306
26 72 91 103 130 213 305 305
27 71 90 102 128 212 304 304
28 70 89 101 127 211 303 303
29 69 87 100 126 210 302 302
30 68 86 99 125 209 301 301

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
1 294 306 312 333 447 541 3 570
2 85 97 103 124 238 376 2 671
3 86 99 107 130 235 393 2 019
4 88 102 112 136 234 393 1 560
5 90 104 116 139 235 384 1 234
6 92 107 118 142 236 369 999
7 94 110 121 145 236 352 825
8 95 112 123 148 237 334 692
9 95 113 124 151 237 329 588
10 95 114 126 152 237 329 505
11 96 114 126 153 237 329 437
12 96 114 126 153 237 329 382
13 96 114 127 153 237 329 335
14 96 115 127 154 237 329 329
15 97 115 128 154 238 330 330
16 98 116 128 155 239 331 331
17 98 117 129 156 239 331 331
18 99 118 130 157 240 332 332
19 100 118 130 157 241 333 333
20 100 119 131 157 241 333 333
21 100 119 131 157 241 333 333
22 100 118 130 157 240 332 332
23 99 117 129 156 240 332 332
24 98 116 128 155 239 331 331
25 97 115 127 154 237 329 329
26 95 114 126 153 236 328 328
27 94 112 125 151 235 327 327
28 92 111 123 150 233 325 325
29 91 109 122 148 232 324 324
30 89 108 120 147 230 322 322

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 4 11 31 145 288 3 061
2 0 4 11 32 146 329 2 301
3 1 5 13 36 141 346 1 748
4 1 6 16 40 138 347 1 356
5 1 7 18 41 138 340 1 077
6 2 9 20 44 137 327 874
7 2 11 21 45 136 312 722
8 2 11 22 47 136 296 607
9 4 11 24 48 135 280 516
10 4 11 27 50 134 263 444
11 4 12 29 50 134 247 385
12 4 12 31 51 134 232 337
13 5 12 34 51 134 226 297
14 5 12 36 51 135 227 263
15 6 13 38 52 135 227 234
16 6 13 41 52 135 227 227
17 6 15 43 52 136 228 228
18 6 15 45 53 137 229 229
19 7 17 48 54 137 229 229
20 7 17 50 55 138 230 230
21 8 18 52 56 139 231 231
22 9 19 55 57 140 232 232
23 9 20 57 59 140 232 232
24 9 21 60 62 141 233 233
25 10 22 62 64 141 233 233
26 10 22 65 66 141 233 233
27 10 24 67 67 142 234 234
28 11 24 70 69 142 234 234
29 11 26 72 71 142 234 234
30 11 26 74 72 142 234 234

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 45 57 64 84 198 306 3 276
2 46 58 64 85 199 348 2 450
3 45 58 67 90 194 364 1 853
4 45 59 69 93 192 364 1 434
5 45 60 71 94 191 356 1 136
6 46 62 73 97 190 343 921
7 47 63 74 98 189 327 761
8 47 64 75 100 189 310 638
9 46 64 76 102 188 293 543
10 46 64 76 102 187 279 467
11 45 63 75 102 186 278 405
12 44 62 74 101 185 277 354
13 43 61 73 100 183 275 312
14 41 60 72 99 182 274 276
15 40 59 71 98 181 273 273
16 39 57 70 96 180 272 272
17 38 57 69 95 179 271 271
18 37 56 68 95 178 270 270
19 37 55 67 94 178 270 270
20 36 55 67 94 177 269 269
21 36 54 67 93 177 269 269
22 35 54 66 93 176 268 268
23 35 53 65 92 176 268 268
24 34 52 65 91 175 267 267
25 33 52 65 91 174 266 266
26 33 51 66 90 174 266 266
27 32 50 69 89 173 265 265
28 31 50 72 89 172 264 264
29 31 49 75 88 172 264 264
30 30 49 77 87 171 263 263

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
1 107 120 126 147 261 354 3 408
2 109 121 128 148 262 362 2 558
3 111 124 132 155 260 380 1 943
4 112 126 136 160 259 382 1 508
5 115 129 140 164 260 375 1 199
6 117 132 143 167 261 362 974
7 119 135 146 170 261 353 807
8 119 137 147 172 262 354 680
9 120 137 149 175 262 354 579
10 120 138 150 177 261 353 499
11 120 138 150 177 261 353 434
12 119 137 149 176 260 352 380
13 117 136 148 175 258 350 350
14 116 134 147 173 257 349 349
15 114 133 145 172 255 347 347
16 112 131 143 170 253 345 345
17 111 129 141 168 252 344 344
18 109 127 140 166 250 342 342
19 107 126 138 164 248 340 340
20 106 124 136 163 246 338 338
21 104 122 134 161 245 337 337
22 102 120 133 159 243 335 335
23 100 119 131 157 241 333 333
24 98 117 129 156 239 331 331
25 96 115 127 154 237 329 329
26 95 113 125 152 235 327 327
27 93 111 123 150 234 326 326
28 91 109 122 148 232 324 324
29 89 108 120 146 230 322 322
30 88 106 118 145 228 320 320

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
1 160 172 179 199 313 407 3 561
2 168 180 187 208 322 415 2 697
3 173 186 194 217 322 415 2 056
4 175 189 199 223 322 414 1 596
5 177 191 202 226 322 414 1 267
6 178 193 204 228 322 414 1 027
7 178 195 205 229 321 413 849
8 178 195 206 231 320 412 712
9 177 195 206 233 319 411 605
10 177 195 207 234 318 410 520
11 175 194 206 233 317 409 451
12 173 192 204 231 314 406 406
13 171 189 202 228 312 404 404
14 168 187 199 226 309 401 401
15 165 184 196 223 306 398 398
16 163 181 193 220 303 395 395
17 160 178 190 217 301 393 393
18 157 175 187 214 298 390 390
19 154 172 185 211 295 387 387
20 151 170 182 208 292 384 384
21 148 167 179 205 289 381 381
22 145 164 176 202 286 378 378
23 142 161 173 199 283 375 375
24 139 158 170 196 280 372 372
25 136 155 167 193 277 369 369
26 133 152 164 190 274 366 366
27 130 149 161 187 271 363 363
28 127 146 158 185 268 360 360
29 125 143 155 182 266 358 358
30 122 140 153 179 263 355 355

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 24 36 43 64 178 290 3 088
2 25 38 44 65 179 332 2 319
3 26 39 47 70 175 348 1 760
4 26 40 50 74 173 349 1 365
5 27 42 53 76 172 342 1 084
6 28 44 55 79 172 329 879
7 29 45 56 80 171 314 727
8 28 45 56 81 170 298 611
9 28 46 57 83 170 282 520
10 28 46 58 85 169 265 447
11 27 46 58 85 169 261 389
12 27 46 58 84 168 260 340
13 27 45 57 84 168 260 299
14 26 45 57 84 167 259 265
15 26 45 57 84 167 259 259
16 26 45 57 84 167 259 259
17 26 45 57 84 167 259 259
18 27 45 57 84 167 259 259
19 27 45 57 84 168 260 260
20 27 45 58 84 168 260 260
21 27 45 58 84 168 260 260
22 27 45 58 84 168 260 260
23 27 45 57 84 168 260 260
24 27 45 60 84 167 259 259
25 26 45 62 84 167 259 259
26 26 45 65 83 167 259 259
27 26 44 67 83 167 259 259
28 25 44 70 83 166 258 258
29 25 44 72 82 166 258 258
30 25 43 75 82 166 258 258

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 23 35 42 62 176 296 3 154
2 25 37 44 64 178 339 2 373
3 27 40 48 71 176 356 1 804
4 28 42 52 76 175 357 1 399
5 30 45 56 79 176 350 1 111
6 32 48 59 83 176 337 902
7 34 51 61 85 177 322 745
8 35 52 63 88 177 305 626
9 35 53 64 91 177 289 533
10 36 54 66 93 178 272 458
11 37 55 67 94 178 270 398
12 37 56 68 95 178 270 348
13 37 56 68 95 178 270 306
14 37 56 68 95 178 270 271
15 37 56 68 95 178 270 270
16 37 56 68 94 178 270 270
17 37 56 68 95 178 270 270
18 37 56 68 95 178 270 270
19 38 56 68 95 179 271 271
20 38 56 69 95 179 271 271
21 38 57 69 95 179 271 271
22 38 56 69 95 179 271 271
23 38 56 68 95 179 271 271
24 37 56 68 95 178 270 270
25 37 55 68 94 178 270 270
26 36 55 67 94 177 269 269
27 36 54 69 93 177 269 269
28 35 54 71 93 176 268 268
29 35 53 73 92 176 268 268
30 34 53 76 91 175 267 267

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
1 124 137 143 164 278 371 3 971
2 123 135 141 162 276 414 2 969
3 122 134 143 166 270 431 2 240
4 121 135 145 169 268 430 1 725
5 122 136 147 171 267 419 1 360
6 122 138 148 172 266 402 1 097
7 123 139 150 174 265 382 903
8 122 139 150 175 264 362 755
9 122 139 151 177 263 355 640
10 122 140 152 178 263 355 549
11 121 139 152 178 262 354 476
12 120 139 151 178 261 353 415
13 119 138 150 177 260 352 365
14 118 137 149 175 259 351 351
15 116 135 147 173 257 349 349
16 114 133 145 172 255 347 347
17 112 130 143 169 253 345 345
18 110 128 141 167 251 343 343
19 108 126 139 165 249 341 341
20 106 124 137 163 247 339 339
21 104 122 134 161 244 336 336
22 101 120 132 159 242 334 334
23 99 118 130 156 240 332 332
24 97 115 128 154 238 330 330
25 95 113 125 152 236 328 328
26 93 111 123 150 233 325 325
27 90 109 121 148 231 323 323
28 88 107 119 146 229 321 321
29 86 105 117 144 227 319 319
30 84 103 115 142 225 317 317

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 36 150 298 3 177
2 0 11 17 38 152 339 2 380
3 1 13 21 44 149 355 1 804
4 1 15 25 49 147 356 1 397
5 3 17 29 52 148 348 1 108
6 5 20 31 55 149 335 898
7 6 23 33 57 149 320 742
8 7 24 35 60 149 303 623
9 7 25 36 62 149 286 530
10 7 25 37 64 148 270 456
11 7 26 38 64 148 253 395
12 7 25 38 64 148 240 346
13 7 25 37 64 148 240 304
14 7 25 37 64 147 239 269
15 6 25 39 64 147 239 239
16 6 25 42 63 147 239 239
17 6 25 44 64 147 239 239
18 6 25 46 64 147 239 239
19 7 25 49 64 147 239 239
20 8 25 51 64 148 240 240
21 8 26 53 65 148 240 240
22 9 26 56 65 149 241 241
23 9 26 58 65 149 241 241
24 9 26 61 65 149 241 241
25 10 27 62 65 149 241 241
26 10 27 65 66 149 241 241
27 10 27 67 68 149 241 241
28 11 27 70 70 149 241 241
29 11 27 72 72 149 241 241
30 12 27 75 74 149 241 241

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 29 41 48 68 182 296 3 162
2 29 41 48 69 183 338 2 371
3 28 41 50 73 177 354 1 798
4 28 42 52 76 174 355 1 393
5 28 43 54 77 173 347 1 105
6 30 46 57 81 174 335 896
7 29 45 56 80 171 319 740
8 32 49 60 85 174 303 622
9 31 49 61 87 173 286 529
10 27 45 57 84 168 269 455
11 23 42 54 81 164 256 394
12 20 39 51 78 161 253 345
13 18 37 49 76 159 251 303
14 17 35 47 74 157 249 268
15 15 34 46 72 156 248 248
16 14 32 45 71 155 247 247
17 13 32 44 70 154 246 246
18 13 31 46 70 153 245 245
19 12 31 49 70 153 245 245
20 12 31 51 70 153 245 245
21 12 31 53 70 153 245 245
22 12 31 56 70 153 245 245
23 12 31 58 69 153 245 245
24 12 30 60 69 153 245 245
25 12 30 62 69 153 245 245
26 12 30 65 69 153 245 245
27 12 30 67 69 152 244 244
28 11 30 70 70 152 244 244
29 11 30 72 72 152 244 244
30 12 30 74 74 152 244 244

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
1 219 231 237 258 372 500 5 632
2 213 225 232 253 367 534 3 999
3 207 220 228 251 356 536 2 920
4 202 215 225 250 348 522 2 194
5 197 212 223 246 342 499 1 698
6 193 209 220 244 337 473 1 351
7 190 206 217 241 332 446 1 101
8 185 202 213 238 327 420 914
9 181 199 210 237 323 415 771
10 177 196 208 234 319 411 658
11 173 192 204 231 314 406 567
12 169 188 200 227 310 402 492
13 165 184 196 222 306 398 430
14 161 180 192 219 302 394 394
15 158 176 188 215 298 390 390
16 154 172 185 211 295 387 387
17 151 169 181 208 291 383 383
18 147 166 178 205 288 380 380
19 144 163 175 201 285 377 377
20 141 160 172 198 282 374 374
21 138 157 169 195 279 371 371
22 135 154 166 192 276 368 368
23 132 151 163 189 273 365 365
24 129 148 160 186 270 362 362
25 126 145 157 183 267 359 359
26 123 142 154 181 264 356 356
27 121 139 151 178 262 354 354
28 118 137 149 175 259 351 351
29 116 134 146 173 256 348 348
30 113 132 144 170 254 346 346

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 50 166 305 3 260
2 0 14 25 50 166 347 2 437
3 1 17 28 54 163 362 1 844
4 1 20 31 60 161 363 1 427
5 3 23 36 65 162 354 1 130
6 6 27 39 67 163 341 916
7 8 31 42 70 163 325 756
8 11 34 46 74 163 308 635
9 13 37 50 76 163 291 540
10 14 40 51 77 163 274 464
11 15 41 53 78 163 257 402
12 16 42 54 79 163 255 352
13 17 44 55 80 163 255 309
14 17 44 55 80 163 255 274
15 17 45 56 81 163 255 255
16 17 45 56 81 163 255 255
17 17 45 56 81 163 255 255
18 17 45 56 81 163 255 255
19 17 45 56 81 163 255 255
20 17 45 56 81 163 255 255
21 17 45 56 81 163 255 255
22 17 45 56 81 163 255 255
23 17 45 59 81 163 255 255
24 17 45 61 81 163 255 255
25 17 45 64 81 162 254 254
26 17 45 66 81 162 254 254
27 17 45 69 81 162 254 254
28 17 45 71 81 162 254 254
29 17 45 73 81 161 253 253
30 17 45 76 81 161 253 253

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 12 126 284 3 019
2 0 1 6 12 125 325 2 270
3 1 1 8 15 119 341 1 725
4 1 3 11 18 116 343 1 338
5 1 4 13 20 116 336 1 063
6 2 4 16 23 115 324 863
7 2 5 19 26 115 309 714
8 2 7 21 28 115 293 600
9 4 7 24 30 115 277 511
10 4 9 27 32 115 261 440
11 4 9 28 35 115 245 382
12 4 10 31 37 115 230 334
13 4 11 34 39 116 216 294
14 5 12 35 41 116 208 261
15 6 13 38 43 116 208 232
16 6 13 41 46 116 208 208
17 6 15 42 48 117 209 209
18 6 15 45 49 117 209 209
19 7 17 48 52 119 210 210
20 7 17 49 53 122 211 211
21 8 18 52 56 123 211 211
22 9 19 55 57 125 211 211
23 9 20 57 59 127 212 212
24 9 20 60 61 128 212 212
25 10 22 61 63 130 212 212
26 10 22 64 65 131 212 212
27 10 24 66 67 133 212 212
28 11 24 68 68 134 211 211
29 11 25 71 70 135 211 211
30 11 26 73 72 135 211 211

ANNEX III

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

Currency National insurance market Volatility adjustment (in bps)
Euro Austria 16
Euro Belgium 16
Euro Croatia 16
Euro Cyprus 16
Euro Estonia 16
Euro Finland 16
Euro France 16
Euro Germany 16
Euro Greece 16
Euro Ireland 16
Euro Italy 16
Euro Latvia 16
Euro Lithuania 16
Euro Luxembourg 16
Euro Malta 16
Euro Netherlands 16
Euro Portugal 16
Euro Slovakia 16
Euro Slovenia 16
Euro Spain 16
Czech koruna Czechia 12
Danish krone Denmark 17
Forint Hungary 7
Krona Sweden –4
Lev Bulgaria 6
Pound sterling United Kingdom 15
Romanian leu Romania 1
Zloty Poland 9
Króna Iceland 42
Norwegian krone Norway 24
Swiss franc Liechtenstein –3
Swiss franc Switzerland –3
Australian dollar Australia 12
Canadian dollar Canada 19
Renminbi-yuan China –2
Hong Kong dollar Hong Kong 2
US dollar United States 38
Yen Japan 4

ELI: http://data.europa.eu/eli/reg_impl/2024/2147/oj

ISSN 1977-0677 (electronic edition)

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