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

Implementing Regulation (EU) 2026/2041 · Regulation · 5 articles

Data as of 2026-09-17 · Compiled from an official source version. Later amendments or repeals may not be reflected; the official text prevails. · Read the official text ↗

Article 1

1. Insurance and reinsurance undertakings shall use the technical information referred to in paragraph 2 when calculating technical provisions and basic own funds for reporting with reference dates from 30 June 2026 until 29 September 2026. 2. For each relevant currency, the technical information used to calculate the best estimate in accordance with Article 77 of Directive 2009/138/EC, the matching adjustment in accordance with Article 77c of that Directive and the volatility adjustment in accordance with Article 77d of that Directive, shall be the following: (a) the relevant risk-free interest rate term structures set out in Annex I to this Regulation; (b) the fundamental spreads for the calculation of the matching adjustment set out in Annex II to this Regulation; (c) for each relevant national insurance market, the volatility adjustments set out in Annex III to this Regulation.

Article 2

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union . It shall apply from 30 June 2026.

Supplementary provisions

Relevant risk-free interest rate term structures to calculate the best estimate, without any matching adjustment or volatility adjustment

ANNEX ISupplementary provisions

ANNEX I Relevant risk-free interest rate term structures to calculate the best estimate, without any matching adjustment or volatility adjustment Term to maturity (in years) Euro Czech koruna Danish krone Forint Krona Pound sterling 1 2,592  % 3,935  % 2,582  % 5,074  % 2,033  % 3,986  % 2 2,607  % 3,990  % 2,597  % 4,973  % 2,165  % 4,020  % 3 2,612  % 4,004  % 2,602  % 4,916  % 2,242  % 4,020  % 4 2,610  % 4,011  % 2,600  % 4,889  % 2,312  % 4,038  % 5 2,628  % 4,019  % 2,618  % 4,879  % 2,381  % 4,074  % 6 2,659  % 4,033  % 2,649  % 4,879  % 2,448  % 4,121  % 7 2,701  % 4,052  % 2,691  % 4,893  % 2,510  % 4,179  % 8 2,745  % 4,075  % 2,735  % 4,906  % 2,567  % 4,243  % 9 2,784  % 4,104  % 2,774  % 4,924  % 2,619  % 4,310  % 10 2,850  % 4,137  % 2,840  % 4,945  % 2,666  % 4,378  % 11 2,870  % 4,176  % 2,860  % 4,967  % 2,710  % 4,446  % 12 2,911  % 4,214  % 2,901  % 4,988  % 2,749  % 4,508  % 13 2,952  % 4,249  % 2,942  % 5,009  % 2,784  % 4,568  % 14 2,985  % 4,277  % 2,975  % 5,024  % 2,816  % 4,626  % 15 3,033  % 4,297  % 3,023  % 5,040  % 2,845  % 4,678  % 16 3,068  % 4,308  % 3,058  % 5,049  % 2,871  % 4,724  % 17 3,087  % 4,311  % 3,077  % 5,052  % 2,895  % 4,765  % 18 3,095  % 4,308  % 3,085  % 5,050  % 2,916  % 4,801  % 19 3,098  % 4,300  % 3,087  % 5,045  % 2,935  % 4,832  % 20 3,098  % 4,289  % 3,088  % 5,036  % 2,953  % 4,859  % 21 3,098  % 4,276  % 3,088  % 5,025  % 2,969  % 4,880  % 22 3,100  % 4,261  % 3,090  % 5,013  % 2,984  % 4,898  % 23 3,101  % 4,244  % 3,091  % 4,999  % 2,997  % 4,911  % 24 3,103  % 4,226  % 3,094  % 4,985  % 3,010  % 4,920  % 25 3,105  % 4,208  % 3,096  % 4,970  % 3,021  % 4,925  % 26 3,108  % 4,189  % 3,099  % 4,954  % 3,032  % 4,925  % 27 3,111  % 4,170  % 3,101  % 4,939  % 3,042  % 4,923  % 28 3,113  % 4,151  % 3,104  % 4,923  % 3,051  % 4,918  % 29 3,116  % 4,133  % 3,107  % 4,908  % 3,059  % 4,910  % 30 3,119  % 4,114  % 3,110  % 4,892  % 3,067  % 4,900  % 31 3,122  % 4,096  % 3,114  % 4,877  % 3,075  % 4,889  % 32 3,125  % 4,078  % 3,117  % 4,862  % 3,082  % 4,875  % 33 3,128  % 4,060  % 3,120  % 4,848  % 3,089  % 4,861  % 34 3,131  % 4,043  % 3,123  % 4,833  % 3,095  % 4,844  % 35 3,134  % 4,027  % 3,126  % 4,819  % 3,101  % 4,826  % 36 3,137  % 4,010  % 3,129  % 4,806  % 3,106  % 4,806  % 37 3,139  % 3,995  % 3,132  % 4,793  % 3,111  % 4,785  % 38 3,142  % 3,979  % 3,135  % 4,780  % 3,116  % 4,762  % 39 3,145  % 3,965  % 3,138  % 4,767  % 3,121  % 4,738  % 40 3,148  % 3,950  % 3,141  % 4,755  % 3,125  % 4,712  % 41 3,150  % 3,937  % 3,144  % 4,744  % 3,130  % 4,685  % 42 3,153  % 3,923  % 3,146  % 4,733  % 3,134  % 4,657  % 43 3,156  % 3,910  % 3,149  % 4,722  % 3,138  % 4,628  % 44 3,158  % 3,898  % 3,152  % 4,711  % 3,141  % 4,599  % 45 3,160  % 3,886  % 3,154  % 4,701  % 3,145  % 4,570  % 46 3,163  % 3,874  % 3,157  % 4,691  % 3,148  % 4,541  % 47 3,165  % 3,863  % 3,159  % 4,681  % 3,151  % 4,512  % 48 3,167  % 3,852  % 3,162  % 4,672  % 3,155  % 4,485  % 49 3,170  % 3,841  % 3,164  % 4,663  % 3,157  % 4,458  % 50 3,172  % 3,831  % 3,166  % 4,655  % 3,160  % 4,432  % 51 3,174  % 3,821  % 3,168  % 4,646  % 3,163  % 4,408  % 52 3,176  % 3,812  % 3,171  % 4,638  % 3,166  % 4,384  % 53 3,178  % 3,802  % 3,173  % 4,630  % 3,168  % 4,362  % 54 3,180  % 3,793  % 3,175  % 4,623  % 3,171  % 4,340  % 55 3,182  % 3,785  % 3,177  % 4,615  % 3,173  % 4,319  % 56 3,184  % 3,776  % 3,179  % 4,608  % 3,175  % 4,300  % 57 3,185  % 3,768  % 3,181  % 4,601  % 3,177  % 4,281  % 58 3,187  % 3,760  % 3,182  % 4,595  % 3,180  % 4,262  % 59 3,189  % 3,753  % 3,184  % 4,588  % 3,182  % 4,245  % 60 3,191  % 3,745  % 3,186  % 4,582  % 3,184  % 4,228  % 61 3,192  % 3,738  % 3,188  % 4,576  % 3,186  % 4,211  % 62 3,194  % 3,731  % 3,189  % 4,570  % 3,187  % 4,196  % 63 3,195  % 3,725  % 3,191  % 4,564  % 3,189  % 4,181  % 64 3,197  % 3,718  % 3,192  % 4,558  % 3,191  % 4,166  % 65 3,198  % 3,712  % 3,194  % 4,553  % 3,193  % 4,152  % 66 3,200  % 3,706  % 3,196  % 4,548  % 3,194  % 4,138  % 67 3,201  % 3,700  % 3,197  % 4,543  % 3,196  % 4,125  % 68 3,203  % 3,694  % 3,198  % 4,538  % 3,197  % 4,112  % 69 3,204  % 3,688  % 3,200  % 4,533  % 3,199  % 4,100  % 70 3,205  % 3,683  % 3,201  % 4,528  % 3,200  % 4,088  % 71 3,206  % 3,677  % 3,202  % 4,523  % 3,202  % 4,076  % 72 3,208  % 3,672  % 3,204  % 4,519  % 3,203  % 4,065  % 73 3,209  % 3,667  % 3,205  % 4,515  % 3,204  % 4,054  % 74 3,210  % 3,662  % 3,206  % 4,510  % 3,206  % 4,043  % 75 3,211  % 3,657  % 3,207  % 4,506  % 3,207  % 4,033  % 76 3,212  % 3,653  % 3,209  % 4,502  % 3,208  % 4,023  % 77 3,213  % 3,648  % 3,210  % 4,498  % 3,209  % 4,013  % 78 3,215  % 3,644  % 3,211  % 4,495  % 3,210  % 4,004  % 79 3,216  % 3,639  % 3,212  % 4,491  % 3,212  % 3,995  % 80 3,217  % 3,635  % 3,213  % 4,487  % 3,213  % 3,986  % 81 3,218  % 3,631  % 3,214  % 4,484  % 3,214  % 3,977  % 82 3,219  % 3,627  % 3,215  % 4,480  % 3,215  % 3,969  % 83 3,220  % 3,623  % 3,216  % 4,477  % 3,216  % 3,960  % 84 3,220  % 3,619  % 3,217  % 4,474  % 3,217  % 3,952  % 85 3,221  % 3,615  % 3,218  % 4,470  % 3,218  % 3,944  % 86 3,222  % 3,612  % 3,219  % 4,467  % 3,219  % 3,937  % 87 3,223  % 3,608  % 3,220  % 4,464  % 3,220  % 3,929  % 88 3,224  % 3,605  % 3,221  % 4,461  % 3,221  % 3,922  % 89 3,225  % 3,601  % 3,222  % 4,458  % 3,222  % 3,915  % 90 3,226  % 3,598  % 3,223  % 4,455  % 3,222  % 3,908  % 91 3,226  % 3,595  % 3,223  % 4,453  % 3,223  % 3,901  % 92 3,227  % 3,591  % 3,224  % 4,450  % 3,224  % 3,894  % 93 3,228  % 3,588  % 3,225  % 4,447  % 3,225  % 3,888  % 94 3,229  % 3,585  % 3,226  % 4,445  % 3,226  % 3,881  % 95 3,230  % 3,582  % 3,227  % 4,442  % 3,226  % 3,875  % 96 3,230  % 3,579  % 3,227  % 4,439  % 3,227  % 3,869  % 97 3,231  % 3,576  % 3,228  % 4,437  % 3,228  % 3,863  % 98 3,232  % 3,573  % 3,229  % 4,435  % 3,229  % 3,857  % 99 3,232  % 3,571  % 3,230  % 4,432  % 3,229  % 3,852  % 100 3,233  % 3,568  % 3,230  % 4,430  % 3,230  % 3,846  % 101 3,234  % 3,565  % 3,231  % 4,428  % 3,231  % 3,841  % 102 3,234  % 3,563  % 3,232  % 4,425  % 3,232  % 3,835  % 103 3,235  % 3,560  % 3,232  % 4,423  % 3,232  % 3,830  % 104 3,236  % 3,558  % 3,233  % 4,421  % 3,233  % 3,825  % 105 3,236  % 3,555  % 3,234  % 4,419  % 3,233  % 3,820  % 106 3,237  % 3,553  % 3,234  % 4,417  % 3,234  % 3,815  % 107 3,237  % 3,550  % 3,235  % 4,415  % 3,235  % 3,810  % 108 3,238  % 3,548  % 3,235  % 4,413  % 3,235  % 3,805  % 109 3,239  % 3,546  % 3,236  % 4,411  % 3,236  % 3,800  % 110 3,239  % 3,544  % 3,237  % 4,409  % 3,236  % 3,796  % 111 3,240  % 3,541  % 3,237  % 4,407  % 3,237  % 3,791  % 112 3,240  % 3,539  % 3,238  % 4,405  % 3,238  % 3,787  % 113 3,241  % 3,537  % 3,238  % 4,403  % 3,238  % 3,783  % 114 3,241  % 3,535  % 3,239  % 4,402  % 3,239  % 3,778  % 115 3,242  % 3,533  % 3,239  % 4,400  % 3,239  % 3,774  % 116 3,242  % 3,531  % 3,240  % 4,398  % 3,240  % 3,770  % 117 3,243  % 3,529  % 3,240  % 4,396  % 3,240  % 3,766  % 118 3,243  % 3,527  % 3,241  % 4,395  % 3,241  % 3,762  % 119 3,244  % 3,525  % 3,241  % 4,393  % 3,241  % 3,758  % 120 3,244  % 3,523  % 3,242  % 4,392  % 3,242  % 3,754  % 121 3,245  % 3,521  % 3,242  % 4,390  % 3,242  % 3,751  % 122 3,245  % 3,520  % 3,243  % 4,388  % 3,243  % 3,747  % 123 3,245  % 3,518  % 3,243  % 4,387  % 3,243  % 3,743  % 124 3,246  % 3,516  % 3,244  % 4,385  % 3,244  % 3,740  % 125 3,246  % 3,514  % 3,244  % 4,384  % 3,244  % 3,736  % 126 3,247  % 3,513  % 3,245  % 4,382  % 3,245  % 3,733  % 127 3,247  % 3,511  % 3,245  % 4,381  % 3,245  % 3,729  % 128 3,248  % 3,509  % 3,245  % 4,380  % 3,245  % 3,726  % 129 3,248  % 3,508  % 3,246  % 4,378  % 3,246  % 3,722  % 130 3,248  % 3,506  % 3,246  % 4,377  % 3,246  % 3,719  % 131 3,249  % 3,505  % 3,247  % 4,375  % 3,247  % 3,716  % 132 3,249  % 3,503  % 3,247  % 4,374  % 3,247  % 3,713  % 133 3,250  % 3,501  % 3,247  % 4,373  % 3,247  % 3,710  % 134 3,250  % 3,500  % 3,248  % 4,372  % 3,248  % 3,707  % 135 3,250  % 3,498  % 3,248  % 4,370  % 3,248  % 3,704  % 136 3,251  % 3,497  % 3,249  % 4,369  % 3,249  % 3,701  % 137 3,251  % 3,496  % 3,249  % 4,368  % 3,249  % 3,698  % 138 3,251  % 3,494  % 3,249  % 4,367  % 3,249  % 3,695  % 139 3,252  % 3,493  % 3,250  % 4,365  % 3,250  % 3,692  % 140 3,252  % 3,491  % 3,250  % 4,364  % 3,250  % 3,689  % 141 3,252  % 3,490  % 3,250  % 4,363  % 3,250  % 3,686  % 142 3,253  % 3,489  % 3,251  % 4,362  % 3,251  % 3,684  % 143 3,253  % 3,487  % 3,251  % 4,361  % 3,251  % 3,681  % 144 3,253  % 3,486  % 3,251  % 4,360  % 3,251  % 3,678  % 145 3,254  % 3,485  % 3,252  % 4,358  % 3,252  % 3,676  % 146 3,254  % 3,483  % 3,252  % 4,357  % 3,252  % 3,673  % 147 3,254  % 3,482  % 3,252  % 4,356  % 3,252  % 3,671  % 148 3,255  % 3,481  % 3,253  % 4,355  % 3,253  % 3,668  % 149 3,255  % 3,480  % 3,253  % 4,354  % 3,253  % 3,666  % 150 3,255  % 3,479  % 3,253  % 4,353  % 3,253  % 3,663  % Term to maturity (in years) Romanian leu Zloty Króna Norwegian krone Swiss franc Australian dollar 1 6,092  % 3,688  % 8,058  % 4,863  % 0,012  % 4,713  % 2 6,214  % 3,929  % 7,811  % 4,765  % 0,087  % 4,593  % 3 6,282  % 4,151  % 7,568  % 4,614  % 0,147  % 4,518  % 4 6,341  % 4,371  % 7,373  % 4,471  % 0,202  % 4,520  % 5 6,391  % 4,574  % 7,203  % 4,360  % 0,258  % 4,521  % 6 6,438  % 4,756  % 7,044  % 4,286  % 0,317  % 4,560  % 7 6,490  % 4,921  % 6,893  % 4,235  % 0,375  % 4,608  % 8 6,532  % 5,057  % 6,751  % 4,196  % 0,430  % 4,662  % 9 6,581  % 5,171  % 6,616  % 4,163  % 0,484  % 4,734  % 10 6,619  % 5,265  % 6,488  % 4,134  % 0,538  % 4,760  % 11 6,626  % 5,325  % 6,368  % 4,107  % 0,594  % 4,815  % 12 6,607  % 5,356  % 6,254  % 4,081  % 0,650  % 4,878  % 13 6,568  % 5,365  % 6,146  % 4,057  % 0,705  % 4,914  % 14 6,517  % 5,359  % 6,043  % 4,033  % 0,758  % 4,930  % 15 6,455  % 5,340  % 5,945  % 4,010  % 0,810  % 4,941  % 16 6,388  % 5,314  % 5,852  % 3,989  % 0,860  % 4,953  % 17 6,316  % 5,281  % 5,763  % 3,968  % 0,907  % 4,966  % 18 6,241  % 5,244  % 5,679  % 3,948  % 0,953  % 4,978  % 19 6,165  % 5,204  % 5,599  % 3,929  % 0,997  % 4,987  % 20 6,089  % 5,161  % 5,523  % 3,911  % 1,039  % 4,992  % 21 6,013  % 5,118  % 5,450  % 3,894  % 1,078  % 4,992  % 22 5,938  % 5,074  % 5,381  % 3,877  % 1,116  % 4,987  % 23 5,865  % 5,030  % 5,315  % 3,861  % 1,152  % 4,978  % 24 5,793  % 4,987  % 5,252  % 3,846  % 1,187  % 4,964  % 25 5,724  % 4,944  % 5,192  % 3,831  % 1,220  % 4,948  % 26 5,656  % 4,901  % 5,135  % 3,817  % 1,251  % 4,929  % 27 5,591  % 4,860  % 5,081  % 3,804  % 1,281  % 4,907  % 28 5,528  % 4,820  % 5,029  % 3,791  % 1,310  % 4,883  % 29 5,467  % 4,781  % 4,980  % 3,778  % 1,337  % 4,858  % 30 5,408  % 4,743  % 4,933  % 3,766  % 1,363  % 4,832  % 31 5,352  % 4,706  % 4,888  % 3,755  % 1,388  % 4,805  % 32 5,298  % 4,671  % 4,845  % 3,744  % 1,412  % 4,777  % 33 5,246  % 4,637  % 4,804  % 3,733  % 1,435  % 4,750  % 34 5,196  % 4,604  % 4,765  % 3,723  % 1,456  % 4,722  % 35 5,148  % 4,572  % 4,727  % 3,713  % 1,477  % 4,695  % 36 5,102  % 4,542  % 4,692  % 3,704  % 1,497  % 4,668  % 37 5,058  % 4,512  % 4,657  % 3,695  % 1,516  % 4,641  % 38 5,016  % 4,484  % 4,624  % 3,686  % 1,535  % 4,614  % 39 4,975  % 4,457  % 4,593  % 3,678  % 1,552  % 4,588  % 40 4,936  % 4,430  % 4,563  % 3,670  % 1,569  % 4,563  % 41 4,899  % 4,405  % 4,534  % 3,662  % 1,585  % 4,538  % 42 4,863  % 4,381  % 4,506  % 3,654  % 1,601  % 4,514  % 43 4,828  % 4,357  % 4,480  % 3,647  % 1,616  % 4,490  % 44 4,795  % 4,335  % 4,454  % 3,640  % 1,630  % 4,467  % 45 4,763  % 4,313  % 4,430  % 3,633  % 1,644  % 4,444  % 46 4,733  % 4,292  % 4,406  % 3,627  % 1,658  % 4,423  % 47 4,703  % 4,272  % 4,383  % 3,620  % 1,670  % 4,401  % 48 4,675  % 4,253  % 4,361  % 3,614  % 1,683  % 4,381  % 49 4,647  % 4,234  % 4,340  % 3,608  % 1,695  % 4,361  % 50 4,621  % 4,216  % 4,320  % 3,603  % 1,706  % 4,341  % 51 4,596  % 4,199  % 4,301  % 3,597  % 1,717  % 4,322  % 52 4,571  % 4,182  % 4,282  % 3,592  % 1,728  % 4,304  % 53 4,547  % 4,165  % 4,264  % 3,587  % 1,739  % 4,286  % 54 4,525  % 4,150  % 4,246  % 3,582  % 1,749  % 4,269  % 55 4,503  % 4,135  % 4,229  % 3,577  % 1,758  % 4,253  % 56 4,481  % 4,120  % 4,213  % 3,572  % 1,768  % 4,236  % 57 4,461  % 4,106  % 4,197  % 3,568  % 1,777  % 4,221  % 58 4,441  % 4,092  % 4,182  % 3,563  % 1,786  % 4,205  % 59 4,422  % 4,079  % 4,167  % 3,559  % 1,794  % 4,191  % 60 4,403  % 4,066  % 4,153  % 3,555  % 1,802  % 4,176  % 61 4,385  % 4,054  % 4,139  % 3,551  % 1,810  % 4,162  % 62 4,368  % 4,042  % 4,125  % 3,547  % 1,818  % 4,149  % 63 4,351  % 4,030  % 4,112  % 3,543  % 1,825  % 4,136  % 64 4,334  % 4,018  % 4,100  % 3,539  % 1,833  % 4,123  % 65 4,318  % 4,007  % 4,087  % 3,536  % 1,840  % 4,110  % 66 4,303  % 3,997  % 4,075  % 3,532  % 1,847  % 4,098  % 67 4,288  % 3,986  % 4,064  % 3,529  % 1,853  % 4,087  % 68 4,273  % 3,976  % 4,053  % 3,526  % 1,860  % 4,075  % 69 4,259  % 3,967  % 4,042  % 3,522  % 1,866  % 4,064  % 70 4,246  % 3,957  % 4,031  % 3,519  % 1,872  % 4,053  % 71 4,232  % 3,948  % 4,021  % 3,516  % 1,878  % 4,043  % 72 4,219  % 3,939  % 4,011  % 3,513  % 1,884  % 4,033  % 73 4,207  % 3,930  % 4,001  % 3,511  % 1,890  % 4,023  % 74 4,194  % 3,922  % 3,992  % 3,508  % 1,895  % 4,013  % 75 4,182  % 3,913  % 3,983  % 3,505  % 1,901  % 4,003  % 76 4,171  % 3,905  % 3,974  % 3,502  % 1,906  % 3,994  % 77 4,160  % 3,897  % 3,965  % 3,500  % 1,911  % 3,985  % 78 4,148  % 3,890  % 3,956  % 3,497  % 1,916  % 3,976  % 79 4,138  % 3,882  % 3,948  % 3,495  % 1,921  % 3,968  % 80 4,127  % 3,875  % 3,940  % 3,492  % 1,925  % 3,960  % 81 4,117  % 3,868  % 3,932  % 3,490  % 1,930  % 3,951  % 82 4,107  % 3,861  % 3,924  % 3,488  % 1,934  % 3,944  % 83 4,097  % 3,854  % 3,917  % 3,485  % 1,939  % 3,936  % 84 4,088  % 3,848  % 3,909  % 3,483  % 1,943  % 3,928  % 85 4,078  % 3,841  % 3,902  % 3,481  % 1,947  % 3,921  % 86 4,069  % 3,835  % 3,895  % 3,479  % 1,951  % 3,914  % 87 4,060  % 3,829  % 3,888  % 3,477  % 1,955  % 3,907  % 88 4,052  % 3,823  % 3,882  % 3,475  % 1,959  % 3,900  % 89 4,043  % 3,817  % 3,875  % 3,473  % 1,963  % 3,893  % 90 4,035  % 3,811  % 3,869  % 3,471  % 1,967  % 3,886  % 91 4,027  % 3,805  % 3,862  % 3,469  % 1,970  % 3,880  % 92 4,019  % 3,800  % 3,856  % 3,467  % 1,974  % 3,874  % 93 4,011  % 3,794  % 3,850  % 3,466  % 1,977  % 3,867  % 94 4,004  % 3,789  % 3,844  % 3,464  % 1,981  % 3,861  % 95 3,996  % 3,784  % 3,839  % 3,462  % 1,984  % 3,855  % 96 3,989  % 3,779  % 3,833  % 3,460  % 1,988  % 3,850  % 97 3,982  % 3,774  % 3,828  % 3,459  % 1,991  % 3,844  % 98 3,975  % 3,769  % 3,822  % 3,457  % 1,994  % 3,838  % 99 3,968  % 3,764  % 3,817  % 3,456  % 1,997  % 3,833  % 100 3,961  % 3,760  % 3,812  % 3,454  % 2,000  % 3,828  % 101 3,955  % 3,755  % 3,807  % 3,453  % 2,003  % 3,822  % 102 3,948  % 3,751  % 3,802  % 3,451  % 2,006  % 3,817  % 103 3,942  % 3,746  % 3,797  % 3,450  % 2,009  % 3,812  % 104 3,936  % 3,742  % 3,792  % 3,448  % 2,012  % 3,807  % 105 3,930  % 3,738  % 3,787  % 3,447  % 2,014  % 3,802  % 106 3,924  % 3,734  % 3,783  % 3,445  % 2,017  % 3,798  % 107 3,918  % 3,730  % 3,778  % 3,444  % 2,020  % 3,793  % 108 3,912  % 3,726  % 3,774  % 3,443  % 2,022  % 3,788  % 109 3,907  % 3,722  % 3,769  % 3,441  % 2,025  % 3,784  % 110 3,901  % 3,718  % 3,765  % 3,440  % 2,027  % 3,780  % 111 3,896  % 3,714  % 3,761  % 3,439  % 2,030  % 3,775  % 112 3,890  % 3,710  % 3,757  % 3,438  % 2,032  % 3,771  % 113 3,885  % 3,707  % 3,753  % 3,436  % 2,034  % 3,767  % 114 3,880  % 3,703  % 3,749  % 3,435  % 2,037  % 3,763  % 115 3,875  % 3,700  % 3,745  % 3,434  % 2,039  % 3,759  % 116 3,870  % 3,696  % 3,741  % 3,433  % 2,041  % 3,755  % 117 3,865  % 3,693  % 3,737  % 3,432  % 2,044  % 3,751  % 118 3,860  % 3,690  % 3,733  % 3,431  % 2,046  % 3,747  % 119 3,855  % 3,686  % 3,730  % 3,429  % 2,048  % 3,743  % 120 3,851  % 3,683  % 3,726  % 3,428  % 2,050  % 3,740  % 121 3,846  % 3,680  % 3,723  % 3,427  % 2,052  % 3,736  % 122 3,842  % 3,677  % 3,719  % 3,426  % 2,054  % 3,732  % 123 3,837  % 3,674  % 3,716  % 3,425  % 2,056  % 3,729  % 124 3,833  % 3,671  % 3,712  % 3,424  % 2,058  % 3,725  % 125 3,829  % 3,668  % 3,709  % 3,423  % 2,060  % 3,722  % 126 3,824  % 3,665  % 3,706  % 3,422  % 2,062  % 3,719  % 127 3,820  % 3,662  % 3,703  % 3,421  % 2,064  % 3,715  % 128 3,816  % 3,659  % 3,700  % 3,420  % 2,066  % 3,712  % 129 3,812  % 3,656  % 3,696  % 3,419  % 2,067  % 3,709  % 130 3,808  % 3,654  % 3,693  % 3,419  % 2,069  % 3,706  % 131 3,804  % 3,651  % 3,690  % 3,418  % 2,071  % 3,703  % 132 3,801  % 3,648  % 3,687  % 3,417  % 2,073  % 3,700  % 133 3,797  % 3,646  % 3,684  % 3,416  % 2,074  % 3,696  % 134 3,793  % 3,643  % 3,682  % 3,415  % 2,076  % 3,694  % 135 3,789  % 3,640  % 3,679  % 3,414  % 2,078  % 3,691  % 136 3,786  % 3,638  % 3,676  % 3,413  % 2,079  % 3,688  % 137 3,782  % 3,635  % 3,673  % 3,412  % 2,081  % 3,685  % 138 3,779  % 3,633  % 3,671  % 3,412  % 2,082  % 3,682  % 139 3,775  % 3,631  % 3,668  % 3,411  % 2,084  % 3,679  % 140 3,772  % 3,628  % 3,665  % 3,410  % 2,086  % 3,677  % 141 3,769  % 3,626  % 3,663  % 3,409  % 2,087  % 3,674  % 142 3,765  % 3,624  % 3,660  % 3,408  % 2,089  % 3,671  % 143 3,762  % 3,621  % 3,658  % 3,408  % 2,090  % 3,669  % 144 3,759  % 3,619  % 3,655  % 3,407  % 2,092  % 3,666  % 145 3,756  % 3,617  % 3,653  % 3,406  % 2,093  % 3,664  % 146 3,752  % 3,615  % 3,650  % 3,406  % 2,094  % 3,661  % 147 3,749  % 3,613  % 3,648  % 3,405  % 2,096  % 3,659  % 148 3,746  % 3,610  % 3,645  % 3,404  % 2,097  % 3,656  % 149 3,743  % 3,608  % 3,643  % 3,403  % 2,099  % 3,654  % 150 3,740  % 3,606  % 3,641  % 3,403  % 2,100  % 3,651  % Term to maturity (in years) Canadian dollar Colombian peso Hong Kong dollar New Taiwan dollar Renminbi-yuan US dollar 1 2,487  % 12,355  % 3,085  % 1,072  % 1,084  % 4,020  % 2 2,667  % 12,067  % 3,121  % 1,116  % 1,095  % 4,010  % 3 2,771  % 11,859  % 3,063  % 1,150  % 1,105  % 3,953  % 4 2,831  % 11,722  % 3,028  % 1,181  % 1,135  % 3,922  % 5 2,875  % 11,630  % 3,021  % 1,209  % 1,166  % 3,917  % 6 2,932  % 11,587  % 3,032  % 1,232  % 1,185  % 3,930  % 7 2,998  % 11,542  % 3,054  % 1,254  % 1,203  % 3,951  % 8 3,063  % 11,508  % 3,082  % 1,271  % 1,230  % 3,978  % 9 3,125  % 11,478  % 3,113  % 1,287  % 1,270  % 4,010  % 10 3,180  % 11,461  % 3,147  % 1,301  % 1,324  % 4,045  % 11 3,228  % 11,411  % 3,182  % 1,328  % 1,393  % 4,082  % 12 3,270  % 11,323  % 3,217  % 1,366  % 1,470  % 4,120  % 13 3,306  % 11,208  % 3,249  % 1,411  % 1,552  % 4,157  % 14 3,339  % 11,073  % 3,278  % 1,459  % 1,635  % 4,191  % 15 3,367  % 10,924  % 3,303  % 1,510  % 1,718  % 4,222  % 16 3,393  % 10,765  % 3,323  % 1,561  % 1,799  % 4,248  % 17 3,416  % 10,599  % 3,339  % 1,612  % 1,878  % 4,270  % 18 3,436  % 10,430  % 3,353  % 1,662  % 1,955  % 4,287  % 19 3,455  % 10,259  % 3,364  % 1,711  % 2,029  % 4,299  % 20 3,471  % 10,088  % 3,372  % 1,759  % 2,099  % 4,307  % 21 3,485  % 9,919  % 3,380  % 1,805  % 2,167  % 4,310  % 22 3,498  % 9,752  % 3,385  % 1,849  % 2,232  % 4,308  % 23 3,509  % 9,590  % 3,390  % 1,892  % 2,294  % 4,303  % 24 3,519  % 9,431  % 3,394  % 1,933  % 2,352  % 4,295  % 25 3,528  % 9,278  % 3,397  % 1,973  % 2,409  % 4,284  % 26 3,535  % 9,129  % 3,399  % 2,011  % 2,462  % 4,271  % 27 3,541  % 8,985  % 3,400  % 2,047  % 2,513  % 4,255  % 28 3,546  % 8,847  % 3,401  % 2,082  % 2,562  % 4,239  % 29 3,549  % 8,714  % 3,402  % 2,115  % 2,609  % 4,221  % 30 3,552  % 8,586  % 3,402  % 2,147  % 2,653  % 4,204  % 31 3,554  % 8,464  % 3,402  % 2,178  % 2,695  % 4,186  % 32 3,554  % 8,347  % 3,402  % 2,207  % 2,736  % 4,169  % 33 3,554  % 8,234  % 3,402  % 2,235  % 2,774  % 4,151  % 34 3,554  % 8,127  % 3,401  % 2,262  % 2,811  % 4,134  % 35 3,553  % 8,024  % 3,400  % 2,287  % 2,846  % 4,118  % 36 3,551  % 7,925  % 3,400  % 2,312  % 2,880  % 4,101  % 37 3,550  % 7,830  % 3,399  % 2,336  % 2,912  % 4,085  % 38 3,547  % 7,740  % 3,398  % 2,358  % 2,943  % 4,070  % 39 3,545  % 7,654  % 3,397  % 2,380  % 2,972  % 4,055  % 40 3,542  % 7,571  % 3,395  % 2,401  % 3,001  % 4,040  % 41 3,540  % 7,491  % 3,394  % 2,421  % 3,028  % 4,025  % 42 3,537  % 7,415  % 3,393  % 2,440  % 3,054  % 4,011  % 43 3,534  % 7,342  % 3,392  % 2,459  % 3,079  % 3,997  % 44 3,531  % 7,272  % 3,391  % 2,477  % 3,103  % 3,984  % 45 3,528  % 7,205  % 3,389  % 2,494  % 3,126  % 3,971  % 46 3,525  % 7,141  % 3,388  % 2,510  % 3,148  % 3,959  % 47 3,522  % 7,079  % 3,387  % 2,526  % 3,170  % 3,946  % 48 3,518  % 7,019  % 3,386  % 2,541  % 3,190  % 3,935  % 49 3,515  % 6,962  % 3,384  % 2,556  % 3,210  % 3,923  % 50 3,512  % 6,907  % 3,383  % 2,570  % 3,229  % 3,912  % 51 3,509  % 6,854  % 3,382  % 2,584  % 3,248  % 3,901  % 52 3,506  % 6,803  % 3,381  % 2,597  % 3,265  % 3,891  % 53 3,503  % 6,754  % 3,380  % 2,610  % 3,282  % 3,880  % 54 3,500  % 6,707  % 3,378  % 2,623  % 3,299  % 3,870  % 55 3,497  % 6,661  % 3,377  % 2,635  % 3,315  % 3,861  % 56 3,494  % 6,617  % 3,376  % 2,646  % 3,330  % 3,851  % 57 3,491  % 6,574  % 3,375  % 2,657  % 3,345  % 3,842  % 58 3,489  % 6,533  % 3,374  % 2,668  % 3,360  % 3,834  % 59 3,486  % 6,494  % 3,373  % 2,679  % 3,374  % 3,825  % 60 3,483  % 6,455  % 3,372  % 2,689  % 3,387  % 3,817  % 61 3,481  % 6,418  % 3,371  % 2,699  % 3,400  % 3,809  % 62 3,478  % 6,382  % 3,370  % 2,708  % 3,413  % 3,801  % 63 3,476  % 6,347  % 3,369  % 2,717  % 3,425  % 3,793  % 64 3,473  % 6,313  % 3,368  % 2,726  % 3,437  % 3,786  % 65 3,471  % 6,281  % 3,367  % 2,735  % 3,449  % 3,778  % 66 3,468  % 6,249  % 3,366  % 2,743  % 3,460  % 3,771  % 67 3,466  % 6,218  % 3,365  % 2,752  % 3,471  % 3,765  % 68 3,464  % 6,188  % 3,364  % 2,760  % 3,482  % 3,758  % 69 3,462  % 6,159  % 3,364  % 2,767  % 3,492  % 3,751  % 70 3,459  % 6,131  % 3,363  % 2,775  % 3,502  % 3,745  % 71 3,457  % 6,103  % 3,362  % 2,782  % 3,512  % 3,739  % 72 3,455  % 6,077  % 3,361  % 2,789  % 3,521  % 3,733  % 73 3,453  % 6,051  % 3,360  % 2,796  % 3,531  % 3,727  % 74 3,451  % 6,026  % 3,360  % 2,803  % 3,540  % 3,721  % 75 3,449  % 6,001  % 3,359  % 2,810  % 3,548  % 3,716  % 76 3,447  % 5,977  % 3,358  % 2,816  % 3,557  % 3,711  % 77 3,446  % 5,954  % 3,357  % 2,822  % 3,565  % 3,705  % 78 3,444  % 5,931  % 3,357  % 2,828  % 3,573  % 3,700  % 79 3,442  % 5,909  % 3,356  % 2,834  % 3,581  % 3,695  % 80 3,440  % 5,888  % 3,355  % 2,840  % 3,589  % 3,690  % 81 3,439  % 5,867  % 3,355  % 2,846  % 3,596  % 3,685  % 82 3,437  % 5,846  % 3,354  % 2,851  % 3,604  % 3,681  % 83 3,435  % 5,826  % 3,353  % 2,857  % 3,611  % 3,676  % 84 3,434  % 5,807  % 3,353  % 2,862  % 3,618  % 3,672  % 85 3,432  % 5,788  % 3,352  % 2,867  % 3,625  % 3,667  % 86 3,431  % 5,769  % 3,352  % 2,872  % 3,631  % 3,663  % 87 3,429  % 5,751  % 3,351  % 2,877  % 3,638  % 3,659  % 88 3,428  % 5,733  % 3,350  % 2,882  % 3,644  % 3,655  % 89 3,426  % 5,716  % 3,350  % 2,886  % 3,650  % 3,651  % 90 3,425  % 5,699  % 3,349  % 2,891  % 3,656  % 3,647  % 91 3,424  % 5,682  % 3,349  % 2,895  % 3,662  % 3,643  % 92 3,422  % 5,666  % 3,348  % 2,900  % 3,668  % 3,640  % 93 3,421  % 5,650  % 3,348  % 2,904  % 3,674  % 3,636  % 94 3,420  % 5,635  % 3,347  % 2,908  % 3,680  % 3,632  % 95 3,419  % 5,619  % 3,347  % 2,912  % 3,685  % 3,629  % 96 3,417  % 5,605  % 3,346  % 2,917  % 3,690  % 3,625  % 97 3,416  % 5,590  % 3,346  % 2,920  % 3,696  % 3,622  % 98 3,415  % 5,576  % 3,345  % 2,924  % 3,701  % 3,619  % 99 3,414  % 5,562  % 3,345  % 2,928  % 3,706  % 3,616  % 100 3,413  % 5,548  % 3,344  % 2,932  % 3,711  % 3,612  % 101 3,412  % 5,535  % 3,344  % 2,935  % 3,715  % 3,609  % 102 3,410  % 5,521  % 3,344  % 2,939  % 3,720  % 3,606  % 103 3,409  % 5,509  % 3,343  % 2,943  % 3,725  % 3,603  % 104 3,408  % 5,496  % 3,343  % 2,946  % 3,729  % 3,600  % 105 3,407  % 5,483  % 3,342  % 2,949  % 3,734  % 3,598  % 106 3,406  % 5,471  % 3,342  % 2,953  % 3,738  % 3,595  % 107 3,405  % 5,459  % 3,342  % 2,956  % 3,743  % 3,592  % 108 3,404  % 5,448  % 3,341  % 2,959  % 3,747  % 3,589  % 109 3,403  % 5,436  % 3,341  % 2,962  % 3,751  % 3,587  % 110 3,402  % 5,425  % 3,340  % 2,965  % 3,755  % 3,584  % 111 3,402  % 5,414  % 3,340  % 2,968  % 3,759  % 3,581  % 112 3,401  % 5,403  % 3,340  % 2,971  % 3,763  % 3,579  % 113 3,400  % 5,392  % 3,339  % 2,974  % 3,767  % 3,576  % 114 3,399  % 5,382  % 3,339  % 2,977  % 3,771  % 3,574  % 115 3,398  % 5,371  % 3,339  % 2,980  % 3,774  % 3,572  % 116 3,397  % 5,361  % 3,338  % 2,983  % 3,778  % 3,569  % 117 3,396  % 5,351  % 3,338  % 2,985  % 3,782  % 3,567  % 118 3,396  % 5,341  % 3,338  % 2,988  % 3,785  % 3,565  % 119 3,395  % 5,332  % 3,337  % 2,990  % 3,789  % 3,563  % 120 3,394  % 5,322  % 3,337  % 2,993  % 3,792  % 3,560  % 121 3,393  % 5,313  % 3,337  % 2,996  % 3,795  % 3,558  % 122 3,392  % 5,304  % 3,336  % 2,998  % 3,799  % 3,556  % 123 3,392  % 5,295  % 3,336  % 3,001  % 3,802  % 3,554  % 124 3,391  % 5,286  % 3,336  % 3,003  % 3,805  % 3,552  % 125 3,390  % 5,277  % 3,336  % 3,005  % 3,808  % 3,550  % 126 3,389  % 5,268  % 3,335  % 3,008  % 3,811  % 3,548  % 127 3,389  % 5,260  % 3,335  % 3,010  % 3,814  % 3,546  % 128 3,388  % 5,252  % 3,335  % 3,012  % 3,817  % 3,544  % 129 3,387  % 5,243  % 3,334  % 3,014  % 3,820  % 3,542  % 130 3,387  % 5,235  % 3,334  % 3,017  % 3,823  % 3,540  % 131 3,386  % 5,227  % 3,334  % 3,019  % 3,826  % 3,538  % 132 3,385  % 5,220  % 3,334  % 3,021  % 3,829  % 3,537  % 133 3,385  % 5,212  % 3,333  % 3,023  % 3,832  % 3,535  % 134 3,384  % 5,204  % 3,333  % 3,025  % 3,835  % 3,533  % 135 3,384  % 5,197  % 3,333  % 3,027  % 3,837  % 3,531  % 136 3,383  % 5,190  % 3,333  % 3,029  % 3,840  % 3,530  % 137 3,382  % 5,182  % 3,332  % 3,031  % 3,843  % 3,528  % 138 3,382  % 5,175  % 3,332  % 3,033  % 3,845  % 3,526  % 139 3,381  % 5,168  % 3,332  % 3,035  % 3,848  % 3,525  % 140 3,381  % 5,161  % 3,332  % 3,037  % 3,850  % 3,523  % 141 3,380  % 5,154  % 3,332  % 3,039  % 3,853  % 3,522  % 142 3,379  % 5,148  % 3,331  % 3,041  % 3,855  % 3,520  % 143 3,379  % 5,141  % 3,331  % 3,042  % 3,858  % 3,518  % 144 3,378  % 5,134  % 3,331  % 3,044  % 3,860  % 3,517  % 145 3,378  % 5,128  % 3,331  % 3,046  % 3,862  % 3,515  % 146 3,377  % 5,121  % 3,330  % 3,048  % 3,865  % 3,514  % 147 3,377  % 5,115  % 3,330  % 3,049  % 3,867  % 3,512  % 148 3,376  % 5,109  % 3,330  % 3,051  % 3,869  % 3,511  % 149 3,376  % 5,103  % 3,330  % 3,053  % 3,871  % 3,510  % 150 3,375  % 5,097  % 3,330  % 3,054  % 3,874  % 3,508  % Term to maturity (in years) Yen 1 1,178  % 2 1,412  % 3 1,604  % 4 1,772  % 5 1,925  % 6 2,067  % 7 2,201  % 8 2,328  % 9 2,449  % 10 2,564  % 11 2,674  % 12 2,777  % 13 2,874  % 14 2,964  % 15 3,048  % 16 3,124  % 17 3,194  % 18 3,257  % 19 3,314  % 20 3,364  % 21 3,408  % 22 3,446  % 23 3,479  % 24 3,508  % 25 3,533  % 26 3,554  % 27 3,572  % 28 3,587  % 29 3,598  % 30 3,608  % 31 3,614  % 32 3,618  % 33 3,621  % 34 3,622  % 35 3,621  % 36 3,620  % 37 3,617  % 38 3,614  % 39 3,611  % 40 3,607  % 41 3,602  % 42 3,597  % 43 3,592  % 44 3,587  % 45 3,582  % 46 3,576  % 47 3,571  % 48 3,565  % 49 3,560  % 50 3,554  % 51 3,549  % 52 3,544  % 53 3,538  % 54 3,533  % 55 3,528  % 56 3,523  % 57 3,518  % 58 3,513  % 59 3,508  % 60 3,504  % 61 3,499  % 62 3,495  % 63 3,491  % 64 3,486  % 65 3,482  % 66 3,478  % 67 3,474  % 68 3,470  % 69 3,467  % 70 3,463  % 71 3,459  % 72 3,456  % 73 3,453  % 74 3,449  % 75 3,446  % 76 3,443  % 77 3,440  % 78 3,437  % 79 3,434  % 80 3,431  % 81 3,428  % 82 3,425  % 83 3,423  % 84 3,420  % 85 3,417  % 86 3,415  % 87 3,412  % 88 3,410  % 89 3,408  % 90 3,405  % 91 3,403  % 92 3,401  % 93 3,399  % 94 3,397  % 95 3,395  % 96 3,393  % 97 3,391  % 98 3,389  % 99 3,387  % 100 3,385  % 101 3,383  % 102 3,381  % 103 3,380  % 104 3,378  % 105 3,376  % 106 3,374  % 107 3,373  % 108 3,371  % 109 3,370  % 110 3,368  % 111 3,367  % 112 3,365  % 113 3,364  % 114 3,362  % 115 3,361  % 116 3,359  % 117 3,358  % 118 3,357  % 119 3,355  % 120 3,354  % 121 3,353  % 122 3,352  % 123 3,350  % 124 3,349  % 125 3,348  % 126 3,347  % 127 3,346  % 128 3,344  % 129 3,343  % 130 3,342  % 131 3,341  % 132 3,340  % 133 3,339  % 134 3,338  % 135 3,337  % 136 3,336  % 137 3,335  % 138 3,334  % 139 3,333  % 140 3,332  % 141 3,331  % 142 3,330  % 143 3,329  % 144 3,328  % 145 3,328  % 146 3,327  % 147 3,326  % 148 3,325  % 149 3,324  % 150 3,323  %

Fundamental spreads for the calculation of the matching adjustment

ANNEX IISupplementary provisions

ANNEX II Fundamental spreads for the calculation of the matching adjustment The fundamental spreads set out in this Annex are expressed in basis points and do not include any increase in accordance with Article 77c(1)(c) of Directive 2009/138/EC. 1. Exposures to central governments and central banks The fundamental spreads apply to exposures denominated in all currencies. The fundamental spreads for durations from 11 to 30 years are equal to the fundamental spreads for duration 10 years. Duration (in years) Austria Belgium Bulgaria Croatia Czechia Cyprus Denmark 1 0 0 25 4 0 18 0 2 0 0 32 5 0 31 0 3 0 0 37 5 0 36 0 4 0 1 40 6 1 38 0 5 0 2 44 6 3 41 0 6 0 3 47 6 5 44 0 7 2 5 50 6 8 45 0 8 2 6 52 6 10 46 0 9 3 7 54 7 11 44 0 10 4 8 56 7 12 44 0 Duration (in years) Estonia Finland France Germany Greece Hungary Ireland 1 0 0 0 0 304 4 11 2 0 0 0 0 192 4 15 3 0 0 0 0 172 4 18 4 1 0 0 0 152 4 19 5 2 0 0 0 141 4 20 6 3 0 0 0 139 4 21 7 5 0 1 0 138 4 22 8 6 1 2 0 141 3 23 9 7 1 3 0 143 1 24 10 8 1 4 0 145 4 25 Duration (in years) Italy Latvia Lithuania Luxembourg Malta Netherlands Poland 1 5 2 3 0 11 0 4 2 13 7 8 0 16 0 4 3 17 10 12 0 18 0 4 4 20 11 14 0 20 0 4 5 23 13 16 0 21 0 4 6 25 15 18 0 22 0 4 7 27 16 19 0 24 0 4 8 29 18 21 0 25 0 4 9 31 18 22 1 26 0 4 10 32 19 23 2 26 0 4 Duration (in years) Portugal Romania Slovakia Slovenia Spain Sweden United Kingdom 1 18 8 9 12 3 0 0 2 30 14 12 15 8 0 0 3 35 15 14 19 12 0 0 4 36 16 15 23 14 0 0 5 40 17 17 26 16 0 0 6 42 18 18 29 18 0 0 7 44 19 20 31 19 0 0 8 44 21 22 33 21 0 0 9 43 22 22 34 22 0 0 10 43 20 23 34 23 0 0 Duration (in years) Iceland Liechtenstein Norway Switzerland Australia Canada China 1 5 0 0 0 0 0 0 2 5 0 0 0 0 0 1 3 5 0 0 0 0 0 2 4 5 0 0 0 0 0 3 5 5 0 0 0 0 0 3 6 5 0 0 0 0 0 4 7 5 0 0 0 0 0 4 8 5 0 0 0 0 0 7 9 5 0 0 0 0 0 5 10 5 0 0 0 0 0 5 Duration (in years) Colombia Hong Kong Japan Taiwan United States 1 12 0 0 4 0 2 17 0 0 4 0 3 25 0 0 4 0 4 31 0 0 4 0 5 32 0 0 4 0 6 35 0 0 4 0 7 36 0 0 4 0 8 35 0 0 4 0 9 33 0 0 4 0 10 34 0 1 4 0 2. Exposures to financial institutions 2.1. 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 6 19 39 100 212 471 1 216 2 6 19 39 100 212 471 985 3 7 21 41 97 209 468 807 4 9 23 44 99 208 468 669 5 10 26 49 103 208 468 563 6 11 28 52 107 208 468 480 7 12 30 54 110 208 468 468 8 13 31 55 109 208 468 468 9 13 32 55 109 208 468 468 10 13 33 55 109 208 468 468 11 14 34 55 109 208 468 468 12 14 34 55 109 208 468 468 13 15 35 55 109 208 468 468 14 15 35 55 109 208 468 468 15 16 35 55 109 208 468 468 16 17 35 55 109 208 468 468 17 19 35 55 109 208 468 468 18 20 35 55 109 208 468 468 19 20 35 55 109 208 468 468 20 21 35 55 109 208 468 468 21 22 35 55 109 208 468 468 22 23 35 55 109 208 468 468 23 24 35 55 109 208 468 468 24 25 35 55 109 208 468 468 25 26 35 55 109 208 468 468 26 26 35 55 109 208 468 468 27 27 35 55 109 208 468 468 28 28 35 55 109 208 468 468 29 29 35 55 109 208 468 468 30 30 35 55 109 208 468 468 2.2. 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 20 33 54 115 226 486 1 241 2 21 34 54 115 227 487 1 006 3 22 36 56 111 224 483 824 4 23 38 59 114 222 482 684 5 24 39 63 116 221 481 575 6 24 41 65 120 221 480 490 7 24 42 66 122 220 480 480 8 24 42 66 120 219 479 479 9 24 42 66 119 219 478 478 10 24 43 65 119 218 478 478 11 24 43 65 118 218 477 477 12 23 44 65 118 217 477 477 13 23 44 64 117 217 476 476 14 23 43 64 117 216 476 476 15 23 43 63 116 216 475 475 16 22 43 63 116 215 475 475 17 22 43 63 116 215 475 475 18 22 43 63 116 215 475 475 19 22 43 63 116 215 475 475 20 23 43 63 116 216 475 475 21 23 43 63 117 216 476 476 22 23 43 64 117 216 476 476 23 24 43 64 117 216 476 476 24 25 43 64 117 216 476 476 25 26 43 64 117 216 476 476 26 27 43 63 117 216 476 476 27 28 43 63 117 216 475 475 28 28 43 63 116 216 475 475 29 29 43 63 116 216 475 475 30 30 43 63 116 215 475 475 2.3. 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 6 18 39 100 212 471 1 216 2 6 18 39 100 212 471 985 3 7 21 41 96 209 468 807 4 9 23 44 99 208 467 669 5 10 26 49 103 208 467 563 6 11 28 52 107 208 467 480 7 12 30 54 110 208 467 467 8 12 31 55 109 208 467 467 9 13 31 55 108 208 467 467 10 13 33 55 108 208 467 467 11 14 34 55 108 208 467 467 12 14 34 55 108 208 467 467 13 14 35 55 108 208 467 467 14 15 35 55 108 208 467 467 15 16 35 55 108 208 467 467 16 17 35 55 108 208 467 467 17 19 35 55 108 208 467 467 18 20 35 55 108 208 467 467 19 20 35 55 108 208 467 467 20 21 35 55 108 208 467 467 21 22 35 55 108 208 467 467 22 23 35 55 108 208 467 467 23 24 35 55 108 208 467 467 24 25 35 55 108 208 467 467 25 26 35 55 108 208 467 467 26 26 35 55 108 208 467 467 27 27 35 55 108 208 467 467 28 28 35 55 108 208 467 467 29 29 35 55 108 208 467 467 30 30 35 55 108 208 467 467 2.4. 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 77 90 111 172 284 543 1 263 2 75 88 108 169 281 540 1 022 3 78 92 112 168 280 539 836 4 78 93 114 169 277 537 694 5 78 93 117 170 275 535 583 6 77 94 119 173 274 534 534 7 77 95 119 174 273 532 532 8 76 95 118 173 272 531 531 9 76 95 118 171 271 530 530 10 73 93 115 169 268 528 528 11 72 92 114 167 266 526 526 12 71 92 113 166 265 525 525 13 71 92 112 165 265 524 524 14 71 92 112 165 264 524 524 15 71 91 112 165 264 524 524 16 70 91 111 164 264 523 523 17 70 91 111 164 263 523 523 18 70 90 110 164 263 523 523 19 69 90 110 163 262 522 522 20 69 89 109 163 262 522 522 21 68 89 109 162 261 521 521 22 67 88 108 161 260 520 520 23 66 87 107 160 260 519 519 24 65 86 106 159 259 518 518 25 64 85 105 158 258 517 517 26 63 84 104 157 257 516 516 27 62 83 103 156 255 515 515 28 61 82 102 155 254 514 514 29 60 81 101 154 253 513 513 30 59 80 100 153 252 512 512 2.5. 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 9 22 43 104 215 475 1 206 2 11 24 44 105 217 476 978 3 13 27 47 102 215 474 802 4 15 30 51 106 214 474 666 5 17 32 56 109 214 474 560 6 18 34 59 114 214 474 478 7 19 36 61 116 214 474 474 8 18 37 61 115 214 473 473 9 18 37 60 114 214 473 473 10 19 38 60 114 213 473 473 11 19 39 61 114 213 473 473 12 20 40 61 114 213 473 473 13 20 40 61 114 213 473 473 14 20 41 61 114 213 473 473 15 21 41 61 114 214 473 473 16 21 41 61 114 214 473 473 17 21 41 62 115 214 474 474 18 21 42 62 115 214 474 474 19 21 42 62 115 215 474 474 20 22 43 63 116 215 475 475 21 22 43 63 116 216 475 475 22 23 43 63 117 216 475 475 23 24 43 63 117 216 476 476 24 25 43 64 117 216 476 476 25 26 43 64 117 216 476 476 26 26 43 64 117 216 476 476 27 27 43 63 117 216 476 476 28 28 43 63 117 216 475 475 29 29 43 63 116 216 475 475 30 30 43 63 116 216 475 475 2.6. 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 7 24 49 129 231 491 1 242 2 7 24 49 129 231 491 1 007 3 8 26 50 119 228 487 825 4 10 29 53 112 226 486 684 5 12 31 55 105 225 485 576 6 14 34 58 101 224 484 490 7 16 36 60 96 223 483 483 8 18 38 59 91 222 482 482 9 20 44 62 87 221 481 481 10 20 44 60 85 220 480 480 11 19 44 60 86 220 479 479 12 19 43 60 88 219 479 479 13 19 43 61 88 218 478 478 14 19 44 61 88 218 477 477 15 19 44 61 88 217 477 477 16 19 44 61 88 216 476 476 17 19 44 61 88 216 475 475 18 20 44 61 88 215 475 475 19 21 44 61 88 215 475 475 20 22 44 61 88 215 475 475 21 23 44 61 88 215 475 475 22 24 44 61 88 215 475 475 23 24 44 61 88 215 474 474 24 25 44 61 88 214 474 474 25 26 44 61 88 213 473 473 26 27 44 61 88 213 472 472 27 28 44 61 88 212 472 472 28 29 44 61 88 212 471 471 29 29 44 61 88 211 471 471 30 30 44 61 88 211 470 470 2.7. 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 81 94 114 176 287 547 1 282 2 80 93 114 175 287 546 1 040 3 81 95 116 171 283 543 853 4 82 97 118 173 281 541 708 5 82 97 121 174 279 539 596 6 82 98 123 177 278 538 538 7 81 99 123 178 276 536 536 8 79 98 122 176 275 534 534 9 78 97 120 174 273 533 533 10 77 97 119 173 272 532 532 11 77 96 118 171 271 530 530 12 76 96 117 170 269 529 529 13 75 95 115 169 268 528 528 14 73 94 114 167 267 526 526 15 72 93 113 166 265 525 525 16 71 92 112 165 264 524 524 17 70 91 111 164 263 523 523 18 69 90 110 163 262 522 522 19 68 89 109 162 261 521 521 20 67 88 108 161 261 520 520 21 66 87 107 160 260 519 519 22 65 86 106 159 259 518 518 23 64 85 105 158 257 517 517 24 63 84 104 157 256 516 516 25 62 82 103 156 255 515 515 26 61 81 101 155 254 514 514 27 60 80 100 154 253 512 512 28 59 79 99 152 252 511 511 29 57 78 98 151 251 510 510 30 56 77 97 150 249 509 509 2.8. 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 53 66 87 148 260 519 1 237 2 54 67 87 148 260 520 1 005 3 55 69 89 145 257 516 825 4 56 71 92 147 256 515 686 5 57 73 96 149 255 514 578 6 57 74 98 153 254 513 513 7 57 75 99 154 253 512 512 8 56 75 98 153 252 511 511 9 55 74 97 151 250 510 510 10 55 74 97 150 250 509 509 11 55 75 96 150 249 508 508 12 54 75 96 149 248 508 508 13 54 75 95 148 247 507 507 14 54 74 94 148 247 507 507 15 53 74 94 147 246 506 506 16 52 73 93 146 246 505 505 17 52 72 93 146 245 505 505 18 51 72 92 145 245 504 504 19 51 71 92 145 244 504 504 20 51 71 91 145 244 504 504 21 50 71 91 144 244 503 503 22 50 70 91 144 243 503 503 23 49 70 90 143 242 502 502 24 49 69 89 143 242 501 501 25 48 68 89 142 241 501 501 26 47 68 88 141 240 500 500 27 46 67 87 140 240 499 499 28 46 66 86 140 239 498 498 29 45 65 86 139 238 498 498 30 44 65 85 138 237 497 497 2.9. 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 91 104 125 186 297 557 1 319 2 90 103 124 185 297 556 1 066 3 90 104 124 180 292 551 871 4 90 105 126 181 289 549 721 5 90 106 129 183 288 548 605 6 90 107 132 186 287 547 547 7 91 109 133 188 286 546 546 8 91 109 133 187 286 546 546 9 91 110 133 186 286 545 545 10 91 110 133 186 286 545 545 11 91 111 132 186 285 545 545 12 90 111 131 185 284 544 544 13 89 110 130 184 283 542 542 14 89 109 129 182 282 541 541 15 87 108 128 181 281 540 540 16 86 107 127 180 279 539 539 17 85 106 126 179 278 538 538 18 84 105 125 178 277 537 537 19 83 104 124 177 276 536 536 20 82 103 123 176 275 535 535 21 81 101 122 175 274 534 534 22 79 100 120 173 273 532 532 23 78 99 119 172 271 531 531 24 77 97 117 171 270 529 529 25 75 96 116 169 268 528 528 26 74 94 114 168 267 527 527 27 72 93 113 166 265 525 525 28 71 91 111 165 264 524 524 29 69 90 110 163 263 522 522 30 68 89 109 162 261 521 521 2.10. 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 31 44 64 125 237 496 1 259 2 31 44 65 126 238 497 1 019 3 32 46 66 122 234 493 833 4 33 48 68 123 232 492 690 5 33 49 72 126 231 491 579 6 34 50 75 130 230 490 493 7 34 52 76 131 230 489 489 8 33 52 76 130 229 488 488 9 33 52 75 129 228 488 488 10 33 52 75 128 227 487 487 11 33 53 74 128 227 486 486 12 32 53 74 127 226 486 486 13 32 53 73 126 226 485 485 14 32 52 72 126 225 485 485 15 31 52 72 125 225 484 484 16 31 51 71 125 224 484 484 17 31 51 71 124 224 483 483 18 30 51 71 124 224 483 483 19 30 51 71 124 223 483 483 20 30 51 71 124 224 483 483 21 30 51 71 124 224 483 483 22 30 51 71 124 224 483 483 23 30 51 71 124 223 483 483 24 30 50 71 124 223 483 483 25 30 50 70 124 223 483 483 26 29 50 70 123 223 482 482 27 29 50 70 123 222 482 482 28 29 49 69 123 222 482 482 29 29 49 69 122 222 481 481 30 30 49 69 122 221 481 481 2.11. 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 4 19 80 192 451 1 169 2 1 5 20 81 193 452 947 3 2 5 22 78 190 449 776 4 4 6 26 81 189 449 644 5 5 7 30 84 189 449 542 6 6 9 34 89 189 449 462 7 7 12 36 91 189 449 449 8 9 12 36 91 189 449 449 9 10 13 36 90 189 449 449 10 11 14 37 90 189 449 449 11 12 16 38 91 190 450 450 12 13 16 37 90 189 449 449 13 13 17 37 91 190 450 450 14 14 17 37 90 190 449 449 15 15 16 36 90 189 448 448 16 16 16 36 89 188 448 448 17 17 16 36 89 188 448 448 18 18 16 36 89 189 448 448 19 19 17 36 90 189 449 449 20 20 18 37 90 189 449 449 21 22 18 37 90 190 449 449 22 23 19 37 91 190 449 449 23 23 19 37 90 190 449 449 24 24 20 37 90 190 449 449 25 25 21 37 90 189 449 449 26 26 22 37 90 189 449 449 27 27 23 37 90 189 449 449 28 27 23 37 90 189 449 449 29 28 24 37 90 189 449 449 30 29 25 37 90 189 449 449 2.12. 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 42 55 75 136 248 508 1 256 2 42 55 76 137 248 508 1 016 3 43 57 77 133 245 504 831 4 44 59 80 135 244 503 690 5 45 61 84 138 243 503 580 6 46 62 87 142 242 502 502 7 46 64 88 144 242 501 501 8 46 64 88 142 241 501 501 9 45 64 87 141 240 500 500 10 45 65 87 140 240 500 500 11 45 65 87 140 239 499 499 12 45 65 86 139 239 498 498 13 45 65 86 139 238 498 498 14 45 65 85 138 238 497 497 15 44 65 85 138 237 497 497 16 43 64 84 137 237 496 496 17 43 64 84 137 236 496 496 18 43 63 83 137 236 496 496 19 42 63 83 136 236 495 495 20 42 63 83 136 235 495 495 21 42 63 83 136 235 495 495 22 42 62 82 135 235 494 494 23 41 61 82 135 234 494 494 24 40 61 81 134 233 493 493 25 40 60 80 134 233 492 492 26 39 59 80 133 232 492 492 27 38 59 79 132 231 491 491 28 37 58 78 131 230 490 490 29 37 57 77 130 230 489 489 30 36 56 77 130 229 489 489 2.13. 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 18 31 52 113 225 484 1 214 2 19 32 53 114 225 485 986 3 21 35 55 111 223 482 808 4 23 38 58 113 222 482 671 5 24 40 63 117 222 481 565 6 25 42 66 121 222 481 481 7 26 44 68 124 222 481 481 8 26 45 68 123 222 481 481 9 27 45 69 122 222 481 481 10 27 47 69 122 222 481 481 11 28 48 69 123 222 481 481 12 28 48 69 123 222 481 481 13 28 49 69 123 222 481 481 14 29 49 69 123 222 481 481 15 29 49 69 123 222 481 481 16 28 49 69 122 222 481 481 17 29 49 69 122 222 481 481 18 29 49 69 122 222 481 481 19 28 49 69 122 222 481 481 20 29 49 69 123 222 481 481 21 28 49 69 122 222 481 481 22 28 49 69 122 221 481 481 23 28 48 69 122 221 481 481 24 27 48 68 121 221 480 480 25 27 47 68 121 220 480 480 26 27 47 67 120 220 479 479 27 27 47 67 120 219 479 479 28 28 46 66 120 219 478 478 29 29 46 66 119 218 478 478 30 30 45 66 119 218 478 478 2.14. 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 87 100 120 181 293 553 1 402 2 93 106 126 188 299 559 1 133 3 97 111 131 186 298 558 927 4 99 114 135 190 299 558 768 5 103 119 142 196 301 560 645 6 105 122 147 201 302 562 562 7 108 125 150 205 303 563 563 8 109 127 151 205 304 564 564 9 110 129 152 206 305 565 565 10 111 130 153 206 306 565 565 11 111 131 153 206 305 565 565 12 111 131 152 205 305 564 564 13 110 131 151 204 303 563 563 14 109 129 150 203 302 562 562 15 107 128 148 201 301 560 560 16 106 127 147 200 299 559 559 17 105 125 145 198 298 557 557 18 103 124 144 197 296 556 556 19 102 122 142 196 295 554 554 20 100 121 141 194 293 553 553 21 98 119 139 192 292 551 551 22 97 117 137 191 290 550 550 23 95 115 136 189 288 548 548 24 93 114 134 187 286 546 546 25 91 112 132 185 284 544 544 26 89 110 130 183 283 542 542 27 88 108 128 181 281 540 540 28 86 106 126 180 279 539 539 29 84 105 125 178 277 537 537 30 82 103 123 176 276 535 535 2.15. 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 13 26 47 108 219 479 1 226 2 15 28 49 110 222 481 993 3 19 32 53 108 220 480 813 4 21 36 57 112 220 480 674 5 23 39 62 116 221 481 567 6 25 42 66 121 222 481 483 7 26 44 68 123 222 481 481 8 26 45 68 123 222 481 481 9 26 45 68 122 222 481 481 10 27 46 69 122 221 481 481 11 27 47 69 122 221 481 481 12 27 48 69 122 221 481 481 13 27 48 68 121 221 480 480 14 27 47 68 121 220 480 480 15 26 47 67 120 220 479 479 16 26 46 66 120 219 479 479 17 26 46 66 120 219 478 478 18 26 46 66 119 219 478 478 19 25 46 66 119 219 478 478 20 26 46 66 120 219 479 479 21 26 46 67 120 219 479 479 22 26 46 67 120 219 479 479 23 26 46 66 120 219 479 479 24 26 46 66 120 219 478 478 25 26 46 66 119 219 478 478 26 27 46 66 119 218 478 478 27 27 46 66 119 218 478 478 28 28 45 65 119 218 478 478 29 29 45 65 119 218 477 477 30 30 45 65 118 218 477 477 2.16. 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 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

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

ANNEX IIISupplementary provisions

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

Source: EUR-Lex (Publications Office of the EU), © European Union, reuse permitted under Commission Decision 2011/833/EU.

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