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Commission Implementing Regulation (EU) 2026/2041 of 11 September 2026 laying down rules for the application of Directive 2009/138/EC of the European Parliament and of the Council as regards technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 June 2026 until 29 September 2026

Type Implementing Regulation
Publication 2026-09-14
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 0 9 30 91 202 462 1 188
2 1 9 30 91 203 462 963
3 2 12 32 87 199 459 789
4 4 14 34 89 198 458 655
5 5 15 38 92 197 457 551
6 6 17 41 96 197 456 469
7 7 18 43 98 196 456 456
8 9 18 42 97 195 455 455
9 10 18 41 95 195 454 454
10 11 19 41 95 194 454 454
11 12 20 41 95 194 454 454
12 13 21 41 95 194 454 454
13 14 21 42 95 194 454 454
14 15 22 42 95 194 454 454
15 15 22 42 96 195 454 454
16 16 23 43 96 195 455 455
17 17 23 43 97 196 455 455
18 18 24 44 97 197 456 456
19 20 25 45 98 197 457 457
20 21 26 46 99 198 458 458
21 22 26 46 100 199 459 459
22 23 27 47 100 200 459 459
23 24 28 48 101 200 460 460
24 24 28 48 101 201 460 460
25 25 28 49 102 201 461 461
26 26 29 49 102 201 461 461
27 27 29 49 102 202 461 461
28 28 29 49 103 202 462 462
29 28 30 50 103 202 462 462
30 29 30 50 103 202 462 462

2.17.   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 26 39 60 121 233 492 1 189
2 27 40 61 122 234 493 963
3 29 43 63 119 231 490 788
4 31 46 67 122 230 490 654
5 32 48 71 125 230 490 550
6 33 50 74 129 229 489 489
7 33 51 75 131 229 489 489
8 33 51 75 129 228 488 488
9 32 51 74 128 227 487 487
10 32 52 74 127 227 487 487
11 32 52 74 127 226 486 486
12 32 53 73 127 226 486 486
13 32 53 73 126 226 485 485
14 32 53 73 126 225 485 485
15 32 53 73 126 225 485 485
16 32 53 73 126 225 485 485
17 32 53 73 126 226 485 485
18 33 53 73 127 226 486 486
19 33 53 74 127 226 486 486
20 33 54 74 127 226 486 486
21 33 54 74 127 227 486 486
22 33 54 74 127 227 486 486
23 33 54 74 127 226 486 486
24 33 54 74 127 226 486 486
25 33 53 74 127 226 486 486
26 33 53 73 127 226 486 486
27 32 53 73 126 226 485 485
28 32 53 73 126 225 485 485
29 32 53 73 126 225 485 485
30 32 52 72 126 225 484 484

2.18.   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 7 24 45 93 225 484 1 243
2 7 24 45 93 225 484 1 007
3 9 28 48 91 223 482 824
4 12 32 52 90 223 482 683
5 16 38 58 93 223 483 575
6 18 41 62 91 224 483 489
7 19 44 62 88 224 483 483
8 18 43 62 87 224 483 483
9 19 45 64 90 224 483 483
10 21 48 66 93 224 483 483
11 23 50 67 96 224 483 483
12 25 52 68 97 224 483 483
13 26 54 69 97 224 483 483
14 26 55 70 97 223 483 483
15 26 55 70 97 223 483 483
16 27 55 70 97 223 483 483
17 27 55 70 97 223 483 483
18 27 55 70 97 223 483 483
19 27 55 70 97 223 483 483
20 27 55 70 97 224 483 483
21 27 55 70 97 224 483 483
22 27 55 70 97 224 483 483
23 27 55 70 97 224 483 483
24 27 55 70 97 223 483 483
25 27 55 70 97 223 483 483
26 27 55 70 97 223 482 482
27 28 55 70 97 222 482 482
28 28 55 70 97 222 482 482
29 29 55 70 97 222 481 481
30 30 55 70 97 221 481 481

2.19.   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 4 11 72 184 443 1 190
2 1 5 11 72 183 443 967
3 2 5 12 67 179 439 793
4 4 6 14 69 178 437 659
5 5 7 18 72 177 437 556
6 6 7 21 76 177 436 474
7 7 8 23 78 177 436 436
8 9 9 23 78 176 436 436
9 10 10 23 77 176 436 436
10 11 11 24 77 177 436 436
11 12 11 24 77 177 436 436
12 13 12 24 78 177 437 437
13 14 13 25 78 177 437 437
14 15 13 25 78 177 437 437
15 16 14 25 79 178 438 438
16 17 15 26 79 178 438 438
17 19 16 26 79 179 438 438
18 19 17 27 80 179 439 439
19 20 17 27 81 180 439 439
20 21 18 28 81 180 440 440
21 22 19 29 82 181 440 440
22 23 19 30 82 181 441 441
23 24 20 31 82 181 441 441
24 25 21 32 82 182 441 441
25 26 22 33 82 182 441 441
26 26 23 34 82 182 441 441
27 27 23 34 82 181 441 441
28 28 24 35 82 181 441 441
29 29 24 36 82 181 441 441
30 30 25 38 82 181 441 441

3. Other exposures

3.1.   Euro

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 1 13 20 39 149 296 3 115
2 1 13 20 39 149 338 2 341
3 1 14 22 44 145 354 1 778
4 1 15 25 48 143 354 1 379
5 3 17 28 50 143 347 1 095
6 4 20 30 53 143 334 889
7 6 22 32 55 143 318 735
8 6 23 34 57 143 302 618
9 7 24 35 60 143 285 526
10 7 25 37 62 143 268 452
11 7 26 37 63 143 252 393
12 8 26 38 63 143 236 344
13 8 26 38 63 143 233 302
14 8 26 38 63 143 233 268
15 8 26 39 63 143 233 238
16 8 26 41 63 143 233 233
17 8 26 44 63 143 233 233
18 8 26 46 63 143 233 233
19 8 26 48 63 143 233 233
20 8 26 51 63 143 233 233
21 8 26 53 63 143 233 233
22 9 26 55 63 143 233 233
23 9 26 58 63 143 233 233
24 9 26 60 63 143 233 233
25 10 26 63 63 143 233 233
26 10 26 65 63 143 233 233
27 10 26 67 64 143 233 233
28 11 26 70 66 143 233 233
29 11 26 72 68 143 233 233
30 11 27 75 70 143 233 233

3.2.   Czech koruna

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 15 27 34 53 163 302 3 183
2 16 28 35 54 164 345 2 394
3 16 29 37 59 159 361 1 819
4 16 29 39 62 157 362 1 411
5 16 31 41 64 156 354 1 120
6 17 32 43 66 155 341 909
7 18 34 44 67 155 325 751
8 17 34 45 69 154 308 631
9 17 35 46 71 153 291 537
10 17 35 47 72 153 274 462
11 17 35 47 72 152 257 401
12 17 35 47 72 152 242 351
13 16 35 46 71 151 241 309
14 16 34 46 71 151 241 273
15 16 34 46 71 150 241 243
16 15 33 45 70 150 240 240
17 15 33 45 70 150 240 240
18 15 33 47 70 150 240 240
19 15 34 50 70 150 240 240
20 16 34 51 71 150 241 241
21 16 34 54 71 151 241 241
22 16 34 56 71 151 241 241
23 16 34 59 71 151 241 241
24 16 34 61 71 151 241 241
25 16 34 64 71 151 241 241
26 16 34 66 71 151 241 241
27 16 34 69 71 151 241 241
28 16 34 71 70 150 241 241
29 15 34 73 70 150 240 240
30 15 33 76 71 150 240 240

3.3.   Danish 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 1 13 19 39 148 296 3 114
2 1 13 19 39 148 338 2 341
3 1 14 22 44 144 354 1 778
4 1 15 25 48 142 354 1 379
5 2 17 28 50 142 346 1 095
6 4 19 30 53 142 334 889
7 6 22 32 55 142 318 735
8 6 23 33 57 142 302 618
9 6 24 35 60 142 285 526
10 7 25 37 62 142 268 452
11 7 25 37 62 142 252 393
12 7 26 38 63 142 236 343
13 8 26 38 63 142 233 302
14 8 26 38 63 142 233 268
15 8 26 39 63 142 233 238
16 8 26 41 63 142 233 233
17 8 26 44 63 142 233 233
18 8 26 46 63 142 233 233
19 8 26 48 63 142 233 233
20 8 26 51 63 142 233 233
21 8 26 53 63 142 233 233
22 9 26 55 63 142 233 233
23 9 26 58 63 142 233 233
24 9 26 60 63 142 233 233
25 10 26 63 63 142 233 233
26 10 26 65 63 142 233 233
27 10 26 67 64 142 233 233
28 11 26 70 66 142 233 233
29 11 26 72 68 142 233 233
30 11 27 75 70 142 233 233

3.4.   Forint

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 73 85 91 111 220 312 3 241
2 70 82 89 108 218 350 2 434
3 72 85 93 115 216 366 1 848
4 71 84 94 117 212 367 1 433
5 70 85 96 118 210 359 1 137
6 70 86 96 119 209 345 922
7 70 87 97 120 207 329 762
8 70 87 97 121 206 312 640
9 69 87 98 123 206 296 545
10 67 85 97 122 203 293 468
11 66 84 96 121 201 291 407
12 65 83 95 120 200 290 355
13 64 83 94 119 199 289 313
14 64 82 94 119 199 289 289
15 64 82 94 119 199 289 289
16 64 82 94 119 198 289 289
17 63 81 93 118 198 288 288
18 63 81 93 118 198 288 288
19 62 80 92 117 197 287 287
20 62 80 92 117 197 287 287
21 61 79 91 116 196 286 286
22 60 79 90 115 195 285 285
23 59 78 89 114 194 284 284
24 58 77 88 113 193 283 283
25 57 76 87 112 192 282 282
26 56 75 86 111 191 281 281
27 55 74 85 110 190 280 280
28 54 72 84 109 189 279 279
29 53 71 83 108 188 278 278
30 52 70 82 107 187 277 277

3.5.   Krona

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 4 17 23 43 152 294 3 087
2 6 18 25 44 154 336 2 323
3 7 20 28 50 150 352 1 766
4 8 21 31 54 149 353 1 371
5 9 24 34 57 149 345 1 089
6 11 26 37 60 149 332 884
7 12 28 38 61 149 317 732
8 12 29 40 63 149 301 615
9 12 30 41 66 148 284 523
10 12 30 42 67 148 267 450
11 13 31 43 68 148 251 391
12 13 31 43 68 148 238 342
13 13 31 43 68 148 238 301
14 13 32 43 68 148 238 267
15 14 32 44 69 148 239 239
16 14 32 44 69 148 239 239
17 14 32 44 69 149 239 239
18 14 32 46 69 149 239 239
19 15 33 48 70 149 240 240
20 15 33 51 70 150 240 240
21 15 34 52 70 150 240 240
22 16 34 55 71 151 241 241
23 16 34 58 71 151 241 241
24 16 34 60 71 151 241 241
25 16 34 63 71 151 241 241
26 16 34 65 71 151 241 241
27 16 34 67 71 151 241 241
28 16 34 70 71 151 241 241
29 16 34 72 71 150 241 241
30 15 34 75 70 150 240 240

3.6.   Pound sterling

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 11 21 43 168 302 3 185
2 0 11 21 43 168 345 2 396
3 1 11 23 48 164 361 1 820
4 1 13 26 53 161 362 1 411
5 2 16 29 57 160 354 1 121
6 2 19 33 59 159 341 910
7 4 22 37 59 158 326 752
8 7 25 38 60 157 309 632
9 10 32 43 59 156 291 538
10 12 34 43 59 155 274 463
11 11 34 43 59 154 258 402
12 10 33 43 60 154 244 352
13 9 32 44 60 153 243 310
14 9 32 44 61 152 243 274
15 9 32 45 61 152 242 244
16 10 33 45 61 151 241 241
17 10 33 45 61 150 240 240
18 10 33 47 61 150 240 240
19 10 33 50 61 150 240 240
20 10 33 52 61 150 240 240
21 10 33 55 61 150 240 240
22 10 33 56 61 150 240 240
23 10 33 59 61 149 239 239
24 10 33 62 61 149 239 239
25 10 33 64 62 148 238 238
26 10 33 66 64 148 238 238
27 11 33 69 66 147 237 237
28 12 33 71 68 146 237 237
29 12 33 74 70 146 236 236
30 13 33 76 72 145 236 236

3.7.   Romanian leu

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 76 88 95 114 224 315 3 293
2 76 88 94 114 223 356 2 481
3 75 88 96 118 219 373 1 886
4 75 88 98 121 216 374 1 464
5 74 89 100 122 214 366 1 162
6 74 90 101 124 213 353 943
7 74 91 101 124 211 337 780
8 73 90 100 124 209 319 655
9 72 89 100 125 208 302 558
10 71 89 101 126 207 297 480
11 70 88 100 125 205 296 416
12 69 87 99 124 204 294 364
13 68 86 98 123 203 293 320
14 66 85 96 121 201 291 291
15 65 83 95 120 200 290 290
16 64 82 94 119 199 289 289
17 63 81 93 118 198 288 288
18 62 80 92 117 197 287 287
19 61 80 91 116 196 286 286
20 60 79 90 115 195 285 285
21 59 78 89 114 194 284 284
22 58 77 88 113 193 283 283
23 57 75 87 112 192 282 282
24 56 74 86 111 191 281 281
25 55 73 85 110 190 280 280
26 54 72 84 109 189 279 279
27 53 71 83 108 188 278 278
28 52 70 81 106 186 277 277
29 50 69 80 105 185 275 275
30 49 68 79 104 184 274 274

3.8.   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 49 61 67 87 196 301 3 170
2 49 61 68 87 197 345 2 390
3 49 62 70 92 193 362 1 820
4 49 63 73 96 190 363 1 415
5 49 64 75 97 189 356 1 126
6 50 65 76 99 188 344 915
7 50 67 77 100 187 328 758
8 50 67 77 101 186 312 637
9 49 67 78 103 185 295 543
10 49 67 78 103 184 277 467
11 48 67 78 104 184 274 406
12 48 66 78 103 183 273 355
13 47 66 77 102 182 272 312
14 47 65 77 102 182 272 276
15 46 64 76 101 181 271 271
16 45 64 75 100 180 270 270
17 45 63 75 100 180 270 270
18 44 63 74 99 179 269 269
19 44 62 74 99 179 269 269
20 44 62 74 99 179 269 269
21 43 62 73 98 178 268 268
22 43 61 73 98 178 268 268
23 42 61 72 97 177 267 267
24 42 60 72 97 177 267 267
25 41 59 71 96 176 266 266
26 40 58 70 95 175 265 265
27 39 58 69 94 174 264 264
28 39 57 71 94 174 264 264
29 38 56 74 93 173 263 263
30 37 55 77 92 172 262 262

3.9.   Króna

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 86 98 105 124 234 326 3 394
2 86 98 104 124 233 365 2 548
3 84 97 105 127 228 381 1 931
4 83 96 106 129 224 381 1 494
5 83 97 108 130 223 372 1 183
6 83 99 109 132 222 357 958
7 84 101 111 134 221 340 790
8 84 101 112 136 221 322 663
9 84 102 113 138 221 311 563
10 85 103 114 139 220 310 483
11 84 103 114 140 220 310 418
12 84 102 114 139 219 309 365
13 83 101 113 138 218 308 321
14 82 100 112 137 216 307 307
15 80 99 110 135 215 305 305
16 79 98 109 134 214 304 304
17 78 96 108 133 213 303 303
18 77 95 107 132 212 302 302
19 76 94 106 131 211 301 301
20 75 93 105 130 210 300 300
21 74 92 104 129 209 299 299
22 73 91 103 128 207 298 298
23 71 89 101 126 206 296 296
24 70 88 100 125 205 295 295
25 68 86 98 123 203 293 293
26 67 85 97 122 202 292 292
27 65 84 95 120 200 290 290
28 64 82 94 119 199 289 289
29 62 81 92 117 197 287 287
30 61 79 91 116 196 286 286

3.10.   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 26 38 45 64 174 306 3 230
2 27 39 45 65 174 349 2 426
3 26 39 47 69 170 365 1 840
4 25 39 49 72 167 365 1 425
5 26 40 51 73 166 356 1 129
6 27 42 53 76 165 343 915
7 27 44 54 77 164 326 756
8 27 44 54 78 163 309 635
9 27 44 55 80 163 292 540
10 27 44 56 81 162 274 464
11 26 44 56 81 162 257 402
12 26 44 56 81 161 251 352
13 25 44 55 80 160 250 309
14 25 43 55 80 160 250 274
15 24 43 54 79 159 249 249
16 24 42 54 79 159 249 249
17 24 42 54 79 158 249 249
18 23 42 53 78 158 248 248
19 23 42 53 78 158 248 248
20 23 42 53 78 158 248 248
21 23 42 54 78 158 249 249
22 23 42 56 78 158 248 248
23 23 41 59 78 158 248 248
24 23 41 61 78 158 248 248
25 23 41 64 78 158 248 248
26 22 41 66 77 157 247 247
27 22 40 69 77 157 247 247
28 22 40 71 77 157 247 247
29 21 40 73 76 156 247 247
30 21 39 76 76 156 246 246

3.11.   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 19 128 285 2 987
2 0 1 6 20 129 325 2 245
3 1 1 8 25 126 341 1 706
4 1 3 11 29 124 342 1 324
5 1 4 13 32 124 334 1 052
6 2 4 16 35 124 322 854
7 2 5 18 37 124 307 707
8 2 7 21 39 124 291 594
9 3 7 23 41 124 275 506
10 4 8 26 43 124 259 435
11 4 9 28 45 125 243 378
12 4 10 30 44 124 228 331
13 5 11 33 45 125 215 291
14 5 12 36 45 124 215 258
15 6 12 37 44 124 214 230
16 6 14 40 43 123 213 213
17 6 14 43 45 123 213 213
18 6 15 44 46 123 213 213
19 8 16 47 49 124 214 214
20 8 17 49 50 124 214 214
21 8 18 51 52 124 215 215
22 8 19 54 54 124 215 215
23 9 19 56 55 124 215 215
24 9 21 59 57 125 214 214
25 9 21 61 59 125 214 214
26 10 23 62 60 127 214 214
27 10 23 65 62 128 214 214
28 11 25 67 64 129 214 214
29 11 25 70 66 130 214 214
30 11 26 72 68 131 214 214

3.12.   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 37 49 56 75 185 306 3 222
2 37 49 56 75 185 348 2 420
3 37 50 58 80 181 364 1 836
4 37 51 60 84 178 365 1 424
5 38 52 63 85 178 357 1 130
6 39 54 65 88 177 344 917
7 40 56 66 89 176 328 758
8 39 56 67 91 176 311 637
9 39 57 68 92 175 293 542
10 39 57 69 94 175 276 467
11 39 57 69 94 174 264 405
12 38 57 69 94 173 264 354
13 38 56 68 93 173 263 312
14 38 56 68 93 172 263 276
15 37 55 67 92 172 262 262
16 37 55 67 92 171 262 262
17 36 54 66 91 171 261 261
18 36 54 66 91 171 261 261
19 35 54 65 90 170 261 261
20 35 54 65 90 170 260 260
21 35 53 65 90 170 260 260
22 35 53 65 90 169 260 260
23 34 52 64 89 169 259 259
24 33 52 63 88 168 258 258
25 33 51 64 88 167 258 258
26 32 50 66 87 167 257 257
27 31 49 69 86 166 256 256
28 30 49 71 85 165 255 255
29 30 48 74 85 164 255 255
30 29 47 77 84 164 254 254

3.13.   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 52 161 296 3 110
2 14 27 33 52 162 338 2 342
3 15 28 36 58 159 354 1 781
4 16 29 39 62 157 355 1 382
5 16 31 42 64 157 348 1 098
6 18 33 44 67 156 335 891
7 19 36 46 69 156 320 737
8 20 37 47 71 156 303 620
9 20 38 49 74 156 286 528
10 21 39 51 76 156 269 454
11 21 39 51 76 157 253 394
12 22 40 52 77 157 247 345
13 22 40 52 77 157 247 304
14 22 40 52 77 157 247 269
15 22 40 52 77 157 247 247
16 21 40 51 76 156 247 247
17 22 40 52 77 156 247 247
18 22 40 52 77 156 247 247
19 22 40 52 77 156 247 247
20 22 40 52 77 157 247 247
21 22 40 54 77 156 247 247
22 21 39 56 76 156 246 246
23 21 39 58 76 156 246 246
24 20 39 60 75 155 245 245
25 20 38 63 75 155 245 245
26 19 38 65 74 154 245 245
27 19 37 68 74 154 244 244
28 19 37 70 74 153 244 244
29 18 36 72 73 153 243 243
30 18 36 75 73 153 243 243

3.14.   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 82 94 101 120 230 340 3 621
2 88 100 107 126 236 387 2 721
3 91 103 112 134 234 404 2 064
4 92 106 115 139 233 405 1 598
5 95 110 121 143 236 395 1 266
6 98 114 124 147 237 381 1 026
7 101 117 127 150 238 363 847
8 102 119 130 154 239 344 710
9 104 121 132 157 240 330 604
10 105 123 134 160 240 330 519
11 105 123 135 160 240 330 450
12 104 123 134 159 239 330 393
13 103 122 133 158 238 328 345
14 102 120 132 157 237 327 327
15 100 119 130 155 235 326 326
16 99 117 129 154 234 324 324
17 98 116 128 153 232 323 323
18 96 114 126 151 231 321 321
19 95 113 125 150 230 320 320
20 93 111 123 148 228 318 318
21 91 110 121 146 226 317 317
22 90 108 120 145 225 315 315
23 88 106 118 143 223 313 313
24 86 104 116 141 221 311 311
25 84 102 114 139 219 309 309
26 82 101 112 137 217 307 307
27 81 99 111 136 215 306 306
28 79 97 109 134 214 304 304
29 77 95 107 132 212 302 302
30 75 94 105 130 210 300 300

3.15.   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 27 46 156 299 3 140
2 11 23 29 49 158 341 2 361
3 12 25 33 55 156 356 1 792
4 14 27 37 60 155 357 1 389
5 16 30 41 64 156 349 1 103
6 18 33 44 67 156 336 895
7 19 36 46 69 156 320 740
8 20 37 47 71 156 304 621
9 20 38 49 74 156 286 529
10 21 39 50 75 156 270 455
11 21 39 51 76 156 253 395
12 21 39 51 76 156 246 346
13 20 39 50 75 155 245 304
14 20 38 50 75 155 245 269
15 19 38 49 74 154 244 244
16 19 37 49 74 154 244 244
17 19 37 49 74 154 244 244
18 19 37 49 74 153 244 244
19 19 37 49 74 153 244 244
20 19 37 51 74 154 244 244
21 19 37 54 74 154 244 244
22 19 37 56 74 154 244 244
23 19 37 58 74 154 244 244
24 19 37 60 74 154 244 244
25 18 37 63 73 153 244 244
26 18 37 65 73 153 243 243
27 18 36 68 73 153 243 243
28 18 36 70 73 153 243 243
29 18 36 72 73 152 243 243
30 17 36 75 72 152 242 242

3.16.   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 3 10 29 139 290 3 039
2 0 4 10 30 139 331 2 284
3 1 4 13 35 135 346 1 735
4 1 5 15 38 133 347 1 346
5 1 6 17 40 132 339 1 069
6 2 8 19 42 131 326 868
7 2 10 20 43 131 311 718
8 2 11 21 45 130 295 603
9 3 11 24 47 129 278 513
10 4 11 26 48 129 262 442
11 4 12 29 49 129 246 383
12 4 12 30 49 129 231 335
13 5 12 33 49 129 219 295
14 5 13 36 49 129 219 261
15 6 13 38 50 130 220 233
16 6 14 40 50 130 220 220
17 6 14 43 51 131 221 221
18 7 16 45 51 131 221 221
19 8 16 47 52 132 222 222
20 8 17 50 53 133 223 223
21 8 18 52 54 134 224 224
22 8 19 55 54 134 225 225
23 9 20 56 56 135 225 225
24 9 21 59 58 135 226 226
25 10 21 61 60 136 226 226
26 10 23 64 62 136 226 226
27 10 23 66 64 136 227 227
28 11 25 69 65 137 227 227
29 11 25 71 67 137 227 227
30 11 27 73 69 137 227 227

3.17.   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 22 34 40 60 169 290 3 040
2 23 35 41 61 170 331 2 284
3 23 36 44 66 167 346 1 734
4 24 37 47 70 165 347 1 345
5 25 39 50 72 165 339 1 069
6 26 41 52 75 164 326 867
7 27 43 53 76 164 311 717
8 26 43 54 78 163 295 603
9 26 44 55 79 162 278 513
10 26 44 56 81 162 262 442
11 26 44 56 81 161 251 384
12 26 44 56 81 161 251 336
13 25 44 55 80 160 251 296
14 25 44 55 80 160 250 262
15 25 43 55 80 160 250 250
16 25 44 55 80 160 250 250
17 25 44 55 80 160 251 251
18 26 44 56 81 161 251 251
19 26 44 56 81 161 251 251
20 26 44 56 81 161 251 251
21 26 45 56 81 161 251 251
22 26 45 56 81 161 251 251
23 26 45 57 81 161 251 251
24 26 44 59 81 161 251 251
25 26 44 61 81 161 251 251
26 26 44 64 81 161 251 251
27 26 44 66 80 160 251 251
28 25 43 69 80 160 250 250
29 25 43 71 80 160 250 250
30 25 43 73 80 160 250 250

3.18.   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 24 48 161 303 3 187
2 0 14 24 48 161 345 2 396
3 1 17 28 53 158 361 1 819
4 2 20 31 59 157 362 1 410
5 4 24 36 64 158 353 1 119
6 6 27 39 66 158 340 908
7 9 31 42 70 158 325 751
8 11 35 46 73 158 308 631
9 14 38 50 76 158 290 537
10 15 40 52 77 158 273 462
11 16 42 53 78 158 257 401
12 17 43 54 79 158 248 350
13 17 44 55 80 158 248 309
14 18 45 56 80 158 248 273
15 18 45 56 80 158 248 248
16 18 45 56 80 158 248 248
17 18 45 56 80 158 248 248
18 18 45 56 80 158 248 248
19 18 45 56 80 158 248 248
20 18 45 56 80 158 249 249
21 18 45 56 80 158 249 249
22 18 45 56 80 158 249 249
23 18 45 59 80 158 248 248
24 18 45 61 80 158 248 248
25 18 45 64 80 158 248 248
26 18 45 66 80 157 248 248
27 18 45 69 80 157 247 247
28 18 45 71 80 157 247 247
29 18 45 74 80 156 246 246
30 18 45 76 80 156 246 246

3.19.   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 11 120 290 3 044
2 0 1 6 12 120 332 2 293
3 1 1 8 14 115 348 1 746
4 1 3 12 18 112 350 1 356
5 2 4 14 20 112 342 1 079
6 2 5 17 22 111 330 877
7 2 5 19 25 111 315 726
8 2 7 21 26 111 299 611
9 4 7 24 29 111 283 520
10 4 9 26 31 111 266 448
11 4 9 29 34 111 250 389
12 5 10 32 36 112 235 341
13 5 11 34 38 112 221 300
14 5 12 36 40 112 207 266
15 6 13 39 42 113 203 237
16 6 14 41 44 113 203 212
17 6 15 43 46 115 204 204
18 7 16 46 48 118 204 204
19 8 17 48 50 119 205 205
20 8 18 51 51 122 205 205
21 8 19 54 54 123 206 206
22 9 19 55 56 126 206 206
23 9 21 58 57 127 206 206
24 9 21 60 59 128 206 206
25 10 23 63 62 130 206 206
26 10 23 65 63 131 206 206
27 10 24 68 65 133 206 206
28 11 25 70 67 134 206 206
29 11 25 72 68 135 206 206
30 11 27 75 70 135 206 206

ANNEX III

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

Currency National insurance market Volatility adjustment (in bps)
Euro Austria 14
Euro Belgium 14
Euro Bulgaria 14
Euro Cyprus 14
Euro Croatia 14
Euro Estonia 14
Euro Finland 14
Euro France 14
Euro Germany 14
Euro Greece 14
Euro Ireland 14
Euro Italy 14
Euro Lithuania 14
Euro Latvia 14
Euro Luxembourg 14
Euro Malta 14
Euro Netherlands 14
Euro Portugal 14
Euro Slovakia 14
Euro Slovenia 14
Euro Spain 14
Czech koruna Czechia 6
Danish krone Denmark 14
Forint Hungary 4
Krona Sweden –3
Pound sterling United Kingdom 22
Romanian leu Romania 6
Zloty Poland 7
Króna Iceland 36
Norwegian krone Norway 33
Swiss franc Liechtenstein –3
Swiss franc Switzerland –3
Australian dollar Australia 24
Canadian dollar Canada 9
Renminbi-yuan China –5
Hong Kong dollar Hong Kong 4
US dollar United States 33
Yen Japan 11

ELI: http://data.europa.eu/eli/reg_impl/2026/2041/oj

ISSN 1977-0677 (electronic edition)

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