Commission Implementing Regulation (EU) 2017/1421 of 2 August 2017 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 June until 29 September 2017 in accordance with Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and ReinsuranceText with EEA relevance.

Commission Implementing Regulation (EU) 2017/1421 of 2 August 2017 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 June until 29 September 2017 in accordance with Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Text with EEA relevance) THE EUROPEAN COMMISSION, Having regard to the Treaty on the Functioning of the European Union, Having regard to Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) OJ L 335, 17.12.2009, p. 1. , and in particular the third subparagraph of Article 77e(2) thereof, Whereas: (1) In order to ensure uniform conditions for the calculation of technical provisions and basic own funds by insurance and reinsurance undertakings for the purposes of Directive 2009/138/EC, technical information on relevant risk-free interest rate term structures, fundamental spreads for the calculation of the matching adjustment and volatility adjustments should be laid down for every reference date. (2) Insurance and re-insurance undertakings should use the technical information, which is based on market data related to the end of the last month preceding the first reporting reference date to which this Regulation applies. On 6 July 2017, the European Insurance and Occupational Pensions Authority provided the Commission with the technical information related to end of June 2017 market data. That information was published on 6 July 2017 in accordance with Article 77e(1) of Directive 2009/138/EC. (3) Given the need for the immediate availability of the technical information, it is important that this Regulation enters into force as a matter of urgency. (4) For prudential reasons it is necessary that insurance and reinsurance undertakings use the same technical information for calculating technical provisions and basic own funds irrespective of the date on which they report to their competent authorities. This Regulation should therefore apply from the first reporting reference date to which this Regulation applies. (5) To provide legal certainty as soon as possible, it is duly justified on imperative grounds of urgency related to the availability of the relevant risk-free interest rate term structure that measures provided for in this Regulation be adopted in accordance with Article 8, in conjunction with Article 4, of Regulation (EU) No 182/2011 of the European Parliament and of the Council Regulation (EU) No 182/2011 of the European Parliament and of the Council of 16 February 2011 laying down the rules and general principles concerning mechanisms for control by Member States of the Commission's exercise of implementing powers (OJ L 55, 28.2.2011, p. 13). , HAS ADOPTED THIS REGULATION:

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 until 29 September 2017.

1. 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 rate term structures set out in Annex I; (b) the fundamental spreads for the calculation of the matching adjustment set out in Annex II; (c) for each relevant national insurance market, the volatility adjustments set out in Annex III.

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 2017. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 2 August 2017. For the Commission The President Jean-Claude Juncker

Annex

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 (%)Kuna (%)1– 0,3350,337– 0,3440,093– 0,5490,2872– 0,2250,581– 0,2350,489– 0,3350,8553– 0,0980,696– 0,1080,623– 0,1051,41940,0370,7920,0271,1350,1221,88950,1720,8790,1621,5510,3362,16460,3120,9580,3021,9840,5362,33370,4461,0140,4362,3590,7192,46580,5771,0740,5672,6380,8872,59690,7021,1330,6922,8561,0352,733100,8171,1880,8073,0301,1652,852110,9191,2270,9093,1961,3262,950121,0111,2621,0013,3551,5013,034131,0951,3031,0843,5031,6723,106141,1671,3511,1563,6351,8323,169151,2241,4071,2133,7501,9773,224161,2651,4701,2553,8442,1083,274171,2991,5381,2883,9222,2273,318181,3311,6091,3203,9862,3333,358191,3651,6811,3554,0392,4303,394201,4071,7531,3964,0832,5173,427211,4561,8241,4454,1202,5963,457221,5111,8931,5014,1502,6683,485231,5701,9601,5604,1752,7343,511241,6312,0251,6214,1962,7953,535251,6932,0881,6834,2142,8513,558261,7552,1491,7464,2292,9023,579271,8162,2071,8074,2412,9503,598281,8772,2631,8684,2512,9943,617291,9362,3171,9284,2593,0363,634301,9942,3681,9864,2663,0743,651312,0502,4172,0424,2713,1103,666322,1042,4642,0974,2753,1443,681332,1572,5102,1494,2793,1763,694342,2082,5532,2004,2823,2063,708352,2562,5942,2494,2843,2343,720362,3032,6342,2964,2853,2613,732372,3492,6722,3424,2863,2863,743382,3922,7092,3854,2873,3103,754392,4342,7442,4284,2873,3333,765402,4742,7772,4684,2883,3543,774412,5132,8092,5074,2873,3753,784422,5502,8402,5444,2873,3953,793432,5862,8702,5804,2873,4133,802442,6212,8992,6154,2863,4313,810452,6542,9262,6484,2853,4483,818462,6862,9522,6804,2853,4643,826 472,7172,9782,7114,2843,4803,833482,7463,0022,7414,2833,4953,840492,7753,0262,7704,2823,5093,847502,8023,0482,7974,2813,5233,854512,8293,0702,8244,2803,5363,860522,8553,0912,8504,2793,5493,866532,8793,1122,8744,2783,5613,872542,9033,1312,8984,2773,5733,878552,9263,1502,9224,2763,5843,884562,9493,1692,9444,2743,5953,889572,9703,1862,9664,2733,6063,894582,9913,2042,9864,2723,6163,899593,0113,2203,0074,2713,6263,904603,0313,2363,0264,2703,6363,909613,0493,2523,0454,2693,6453,914623,0683,2673,0644,2683,6543,918633,0863,2823,0814,2673,6623,922643,1033,2963,0994,2673,6713,927653,1193,3093,1154,2663,6793,931663,1363,3233,1324,2653,6873,935673,1513,3363,1484,2643,6943,939683,1673,3483,1634,2633,7023,942693,1823,3613,1784,2623,7093,946703,1963,3733,1924,2613,7163,949713,2103,3843,2064,2603,7233,953723,2243,3953,2204,2603,7293,956733,2373,4063,2334,2593,7363,960743,2503,4173,2464,2583,7423,963753,2623,4273,2594,2573,7483,966763,2753,4373,2714,2573,7543,969773,2873,4473,2834,2563,7603,972783,2983,4573,2954,2553,7663,975793,3103,4663,3064,2553,7713,978803,3213,4753,3184,2543,7763,980813,3323,4843,3284,2533,7823,983823,3423,4933,3394,2533,7873,986833,3523,5013,3494,2523,7923,988843,3623,5103,3594,2513,7973,991853,3723,5183,3694,2513,8013,993863,3823,5263,3794,2503,8063,995873,3913,5333,3884,2503,8103,998883,4003,5413,3974,2493,8154,000893,4093,5483,4064,2483,8194,002903,4183,5563,4154,2483,8234,004913,4273,5633,4244,2473,8274,007923,4353,5693,4324,2473,8324,009933,4433,5763,4404,2463,8354,011943,4513,5833,4484,2463,8394,013953,4593,5893,4564,2453,8434,015963,4673,5963,4644,2453,8474,017

973,4743,6023,4724,2453,8504,018983,4823,6083,4794,2443,8544,020993,4893,6143,4864,2443,8584,0221003,4963,6203,4934,2433,8614,0241013,5033,6263,5004,2433,8644,0261023,5103,6313,5074,2423,8684,0271033,5163,6373,5144,2423,8714,0291043,5233,6423,5204,2423,8744,0311053,5293,6473,5274,2413,8774,0321063,5363,6533,5334,2413,8804,0341073,5423,6583,5394,2403,8834,0351083,5483,6633,5464,2403,8864,0371093,5543,6683,5524,2403,8894,0381103,5603,6723,5574,2393,8924,0401113,5663,6773,5634,2393,8954,0411123,5713,6823,5694,2393,8974,0431133,5773,6863,5744,2383,9004,0441143,5823,6913,5804,2383,9034,0451153,5883,6953,5854,2383,9054,0471163,5933,7003,5914,2373,9084,0481173,5983,7043,5964,2373,9104,0491183,6033,7083,6014,2373,9134,0511193,6083,7123,6064,2363,9154,0521203,6133,7163,6114,2363,9174,0531213,6183,7203,6164,2363,9204,0541223,6233,7243,6204,2353,9224,0561233,6273,7283,6254,2353,9244,0571243,6323,7323,6304,2353,9264,0581253,6363,7363,6344,2353,9294,0591263,6413,7393,6394,2343,9314,0601273,6453,7433,6434,2343,9334,0611283,6503,7463,6484,2343,9354,0621293,6543,7503,6524,2333,9374,0631303,6583,7533,6564,2333,9394,0641313,6623,7573,6604,2333,9414,0651323,6663,7603,6644,2333,9434,0661333,6703,7633,6684,2323,9454,0671343,6743,7673,6724,2323,9474,0681353,6783,7703,6764,2323,9494,0691363,6823,7733,6804,2323,9514,0701373,6863,7763,6844,2323,9524,0711383,6893,7793,6874,2313,9544,0721393,6933,7823,6914,2313,9564,0731403,6973,7853,6954,2313,9584,0741413,7003,7883,6984,2313,9594,0751423,7043,7913,7024,2303,9614,0761433,7073,7943,7054,2303,9634,0771443,7113,7973,7094,2303,9644,0781453,7143,7993,7124,2303,9664,0781463,7173,8023,7154,2303,9684,079 1473,7213,8053,7194,2293,9694,0801483,7243,8083,7224,2293,9714,0811493,7273,8103,7254,2293,9724,0821503,7303,8133,7284,2293,9744,082Term to maturity (in years)Lev (%)Pound sterling (%)Romanian leu (%)Zloty (%)Króna (%)Norwegian krone (%)1– 0,3850,3940,8521,4604,4830,8202– 0,2750,5341,4061,7594,5301,0263– 0,1480,6431,8852,0474,5801,1524– 0,0130,7452,3082,3394,5681,27950,1220,8392,6892,5804,5381,40860,2620,9273,0272,7384,5201,52670,3951,0063,3142,8914,5221,63680,5261,0783,5533,0214,5301,73590,6511,1453,7693,0954,5351,820100,7661,2103,9653,2094,5371,889110,8681,2674,1213,3174,5361,959120,9601,3184,2413,4064,5342,030131,0431,3544,3333,4804,5302,102141,1151,3904,4043,5434,5262,172151,1721,4274,4593,5974,5212,241161,2131,4374,5023,6444,5152,307171,2461,4554,5343,6854,5102,371181,2781,4704,5593,7214,5042,432191,3131,4804,5773,7534,4982,490201,3541,5014,5903,7814,4922,546211,4041,5134,5993,8064,4862,600221,4601,5144,6053,8294,4802,650231,5201,5104,6083,8494,4742,699241,5821,5044,6093,8674,4682,745251,6451,4984,6093,8844,4622,789261,7091,4934,6073,8994,4572,830271,7721,4904,6033,9134,4512,870281,8331,4864,5993,9264,4462,908291,8941,4814,5953,9384,4412,945301,9531,4734,5893,9494,4362,979312,0101,4644,5843,9594,4313,012322,0651,4534,5783,9684,4263,044332,1191,4424,5723,9774,4213,074342,1701,4314,5653,9854,4173,103352,2201,4204,5593,9934,4123,130362,2681,4104,5534,0004,4083,157372,3141,4014,5464,0064,4043,182382,3591,3924,5404,0124,4003,206392,4011,3824,5344,0184,3963,229402,4421,3724,5274,0234,3923,251412,4821,3614,5214,0294,3883,273422,5201,3494,5154,0334,3853,293

432,5561,3374,5094,0384,3813,313442,5911,3254,5044,0424,3783,332452,6251,3134,4984,0464,3753,350462,6581,3024,4934,0504,3723,367472,6891,2934,4874,0544,3693,384482,7191,2884,4824,0574,3663,400492,7491,2884,4774,0614,3633,416502,7771,2954,4724,0644,3603,431512,8041,3074,4674,0674,3573,445522,8301,3264,4634,0704,3543,459532,8551,3484,4584,0734,3523,473542,8791,3744,4544,0754,3493,486552,9031,4034,4494,0784,3473,499562,9251,4334,4454,0804,3453,511572,9471,4654,4414,0834,3423,523582,9691,4984,4374,0854,3403,534592,9891,5314,4334,0874,3383,545603,0091,5654,4304,0894,3363,556613,0281,5994,4264,0914,3343,566623,0471,6334,4234,0934,3323,576633,0651,6674,4194,0954,3303,586643,0821,7014,4164,0974,3283,595653,1001,7344,4134,0984,3263,605663,1161,7674,4094,1004,3243,613673,1321,8004,4064,1014,3223,622683,1481,8314,4034,1034,3213,631693,1631,8634,4014,1054,3193,639703,1771,8944,3984,1064,3173,647713,1921,9244,3954,1074,3163,654723,2061,9534,3924,1094,3143,662733,2191,9824,3904,1104,3133,669743,2322,0114,3874,1114,3113,676753,2452,0394,3854,1134,3103,683763,2582,0664,3824,1144,3083,690773,2702,0934,3804,1154,3073,697783,2822,1194,3784,1164,3063,703793,2932,1444,3754,1174,3043,709803,3052,1694,3734,1184,3033,715813,3162,1934,3714,1194,3023,721823,3262,2174,3694,1204,3013,727833,3372,2414,3674,1214,3003,733843,3472,2634,3654,1224,2983,738853,3572,2864,3634,1234,2973,744863,3672,3084,3614,1244,2963,749873,3762,3294,3594,1254,2953,754883,3862,3504,3584,1264,2943,759893,3952,3704,3564,1274,2933,764903,4042,3904,3544,1284,2923,769913,4122,4104,3524,1284,2913,774923,4212,4294,3514,1294,2903,778 933,4292,4484,3494,1304,2893,783943,4372,4664,3484,1314,2883,787953,4452,4844,3464,1314,2873,792963,4532,5024,3454,1324,2863,796973,4612,5194,3434,1334,2853,800983,4682,5364,3424,1344,2843,804993,4762,5534,3404,1344,2843,8081003,4832,5694,3394,1354,2833,8121013,4902,5854,3374,1364,2823,8161023,4972,6014,3364,1364,2813,8201033,5042,6164,3354,1374,2803,8231043,5102,6314,3334,1374,2803,8271053,5172,6464,3324,1384,2793,8301063,5232,6614,3314,1394,2783,8341073,5302,6754,3304,1394,2773,8371083,5362,6894,3284,1404,2773,8411093,5422,7034,3274,1404,2763,8441103,5482,7164,3264,1414,2753,8471113,5542,7304,3254,1414,2753,8501123,5602,7434,3244,1424,2743,8531133,5652,7554,3234,1434,2733,8571143,5712,7684,3224,1434,2733,8601153,5762,7804,3214,1444,2723,8621163,5822,7934,3204,1444,2713,8651173,5872,8054,3194,1444,2713,8681183,5922,8164,3184,1454,2703,8711193,5972,8284,3174,1454,2703,8741203,6022,8394,3164,1464,2693,8771213,6072,8504,3154,1464,2683,8791223,6122,8614,3144,1474,2683,8821233,6172,8724,3134,1474,2673,8841243,6212,8834,3124,1484,2673,8871253,6262,8934,3114,1484,2663,8891263,6302,9044,3104,1484,2663,8921273,6352,9144,3094,1494,2653,8941283,6392,9244,3084,1494,2653,8971293,6442,9344,3084,1504,2643,8991303,6482,9434,3074,1504,2643,9011313,6522,9534,3064,1504,2633,9041323,6562,9624,3054,1514,2633,9061333,6602,9714,3044,1514,2623,9081343,6642,9804,3044,1524,2623,9101353,6682,9894,3034,1524,2613,9121363,6722,9984,3024,1524,2613,9151373,6763,0074,3014,1534,2603,9171383,6803,0164,3014,1534,2603,9191393,6843,0244,3004,1534,2603,9211403,6873,0324,2994,1544,2593,9231413,6913,0414,2984,1544,2593,9251423,6953,0494,2984,1544,2583,927

1433,6983,0574,2974,1554,2583,9281443,7023,0654,2964,1554,2583,9301453,7053,0734,2964,1554,2573,9321463,7083,0804,2954,1564,2573,9341473,7123,0884,2944,1564,2563,9361483,7153,0954,2944,1564,2563,9381493,7183,1034,2934,1564,2563,9391503,7213,1104,2924,1574,2553,941Term to maturity (in years)Swiss franc (%)Australian dollar (%)Baht (%)Canadian dollar (%)Chilean peso (%)Colombian peso (%)1– 0,7351,7241,3501,0672,2234,3032– 0,6431,8811,4611,2202,5104,7223– 0,5462,0411,5991,3492,7695,0554– 0,4392,1791,7591,4593,0335,2895– 0,3272,3031,9001,5543,2695,4426– 0,2212,4162,0141,6253,4975,5827– 0,1162,5112,1111,6953,6875,6838– 0,0182,5942,1971,7653,8235,85990,0722,6702,2721,8423,9186,002100,1522,7422,3371,9083,9896,130110,2032,8082,3931,9824,0436,221120,2702,8672,4422,0584,0876,274130,3112,9202,4852,1284,1226,301140,3702,9672,5252,1894,1506,308150,3943,0062,5662,2434,1736,300160,4203,0382,6082,2884,1926,281170,4533,0652,6512,3244,2076,254180,4873,0892,6932,3494,2206,220190,5163,1102,7362,3624,2316,183200,5373,1302,7782,3624,2396,142210,5503,1502,8182,3494,2476,100220,5583,1672,8582,3294,2536,056230,5663,1822,8962,3054,2576,012240,5793,1932,9332,2824,2615,968250,6003,2002,9692,2604,2655,924260,6293,2043,0032,2424,2675,881270,6653,2043,0362,2304,2695,838280,7063,2053,0682,2234,2715,797290,7503,2063,0982,2224,2725,756300,7973,2093,1272,2284,2735,717310,8443,2153,1552,2414,2745,679320,8933,2233,1822,2594,2745,642330,9413,2333,2082,2824,2745,606340,9893,2453,2332,3074,2745,571351,0373,2573,2562,3354,2745,538361,0833,2713,2792,3644,2745,506371,1293,2853,3012,3954,2735,475381,1743,2993,3222,4264,2735,445 391,2173,3143,3422,4574,2725,417401,2603,3293,3612,4894,2725,389411,3013,3443,3802,5204,2715,363421,3413,3593,3982,5514,2705,337431,3793,3733,4152,5824,2705,312441,4173,3883,4322,6124,2695,289451,4533,4023,4482,6414,2685,266461,4883,4163,4632,6704,2675,244471,5213,4303,4782,6984,2665,223481,5543,4433,4922,7264,2665,202491,5863,4563,5062,7534,2655,182501,6163,4693,5192,7794,2645,163511,6463,4823,5322,8044,2635,145521,6743,4943,5442,8294,2625,127531,7023,5063,5562,8534,2615,110541,7293,5183,5672,8764,2615,094551,7553,5293,5792,8994,2605,078561,7803,5403,5892,9214,2595,062571,8043,5513,6002,9424,2585,048581,8273,5613,6102,9634,2575,033591,8503,5723,6202,9834,2575,019601,8723,5823,6293,0024,2565,006611,8933,5913,6383,0214,2554,993621,9143,6013,6473,0404,2544,980631,9343,6103,6563,0584,2544,968641,9543,6193,6643,0754,2534,956651,9723,6273,6723,0924,2524,944661,9913,6363,6803,1084,2524,933672,0093,6443,6883,1244,2514,922682,0263,6523,6953,1404,2504,911692,0433,6593,7033,1554,2504,901702,0593,6673,7103,1704,2494,891712,0753,6743,7163,1844,2484,881722,0903,6813,7233,1984,2484,872732,1063,6883,7303,2114,2474,863742,1203,6953,7363,2254,2474,854752,1353,7023,7423,2384,2464,845762,1483,7083,7483,2504,2454,836772,1623,7153,7543,2624,2454,828782,1753,7213,7593,2744,2444,820792,1883,7273,7653,2864,2444,812802,2013,7333,7703,2974,2434,805812,2133,7383,7763,3084,2434,797822,2253,7443,7813,3194,2424,790832,2373,7493,7863,3304,2424,783842,2483,7553,7913,3404,2414,776852,2593,7603,7963,3504,2414,769862,2703,7653,8003,3604,2404,762872,2813,7703,8053,3694,2404,756882,2913,7753,8093,3794,2394,750

892,3013,7803,8143,3884,2394,743902,3113,7843,8183,3974,2394,737912,3213,7893,8223,4064,2384,731922,3303,7933,8263,4144,2384,726932,3403,7983,8303,4234,2374,720942,3493,8023,8343,4314,2374,714952,3583,8063,8383,4394,2374,709962,3663,8103,8423,4474,2364,704972,3753,8143,8453,4554,2364,698982,3833,8183,8493,4624,2364,693992,3923,8223,8533,4704,2354,6881002,4003,8263,8563,4774,2354,6841012,4083,8293,8593,4844,2354,6791022,4153,8333,8633,4914,2344,6741032,4233,8373,8663,4984,2344,6691042,4303,8403,8693,5054,2344,6651052,4383,8433,8723,5114,2334,6601062,4453,8473,8763,5184,2334,6561072,4523,8503,8793,5244,2334,6521082,4593,8533,8823,5304,2324,6481092,4653,8573,8843,5364,2324,6431102,4723,8603,8873,5424,2324,6391112,4793,8633,8903,5484,2314,6351122,4853,8663,8933,5544,2314,6321132,4913,8693,8963,5604,2314,6281142,4983,8723,8983,5654,2314,6241152,5043,8743,9013,5714,2304,6201162,5103,8773,9033,5764,2304,6171172,5163,8803,9063,5824,2304,6131182,5213,8833,9083,5874,2304,6101192,5273,8853,9113,5924,2294,6061202,5333,8883,9133,5974,2294,6031212,5383,8913,9163,6024,2294,5991222,5433,8933,9183,6074,2294,5961232,5493,8963,9203,6124,2284,5931242,5543,8983,9233,6164,2284,5901252,5593,9003,9253,6214,2284,5871262,5643,9033,9273,6264,2284,5841272,5693,9053,9293,6304,2274,5811282,5743,9073,9313,6354,2274,5781292,5793,9103,9333,6394,2274,5751302,5843,9123,9353,6434,2274,5721312,5883,9143,9373,6484,2274,5691322,5933,9163,9393,6524,2264,5661332,5983,9183,9413,6564,2264,5631342,6023,9203,9433,6604,2264,5611352,6073,9233,9453,6644,2264,5581362,6113,9253,9473,6684,2264,5551372,6153,9273,9493,6724,2254,5531382,6193,9293,9513,6754,2254,550 1392,6243,9313,9523,6794,2254,5481402,6283,9323,9543,6834,2254,5451412,6323,9343,9563,6874,2254,5431422,6363,9363,9583,6904,2254,5401432,6403,9383,9593,6944,2244,5381442,6443,9403,9613,6974,2244,5361452,6473,9423,9633,7014,2244,5331462,6513,9433,9643,7044,2244,5311472,6553,9453,9663,7084,2244,5291482,6593,9473,9673,7114,2244,5261492,6623,9493,9693,7144,2234,5241502,6663,9503,9713,7174,2234,522Term to maturity (in years)Hong Kong dollar (%)Indian rupee (%)Mexican peso (%)New Taiwan dollar (%)New Zealand dollar (%)Rand (%)10,9446,0027,0540,4021,8867,02221,1676,0586,6950,4972,1246,96431,3616,1306,5650,5802,3447,05141,4846,2146,5720,6562,5297,19951,5956,2956,6450,7312,6907,36261,6876,3766,7660,8162,8297,52971,7666,4346,8870,8772,9497,68881,8386,4926,9790,9473,0497,83991,9026,5387,0571,0143,1387,979101,9596,5697,1361,0783,2118,100112,0076,5837,2231,1543,2808,204122,0456,5847,3151,2393,3428,287132,0756,5757,4071,3293,3948,346142,1026,5607,4961,4213,4428,380152,1336,5407,5801,5123,4938,392162,1716,5167,6571,6013,5498,383172,2146,4907,7251,6883,6078,356182,2616,4627,7801,7723,6658,317192,3096,4347,8211,8533,7198,268202,3586,4057,8441,9303,7688,212212,4076,3757,8502,0043,8118,151222,4566,3467,8412,0743,8488,087232,5046,3187,8202,1423,8808,021242,5506,2897,7902,2063,9087,953252,5956,2627,7532,2673,9327,886262,6396,2357,7112,3253,9547,819272,6826,2087,6652,3813,9737,752282,7236,1837,6162,4343,9897,687292,7626,1587,5662,4844,0047,623302,8006,1347,5152,5324,0177,561312,8376,1117,4642,5784,0297,501322,8726,0897,4132,6224,0407,442332,9066,0677,3632,6644,0497,386342,9386,0467,3132,7034,0577,331

352,9696,0267,2642,7424,0657,278362,9996,0077,2172,7784,0727,228373,0285,9887,1702,8134,0787,179383,0555,9707,1252,8464,0847,132393,0825,9537,0822,8784,0897,086403,1075,9367,0402,9094,0947,043413,1325,9206,9992,9384,0987,001423,1555,9046,9592,9664,1026,961433,1785,8896,9212,9934,1056,922443,1995,8756,8843,0194,1096,885453,2205,8616,8493,0444,1126,849463,2405,8486,8153,0684,1156,814473,2605,8356,7823,0914,1176,781483,2785,8226,7503,1134,1206,749493,2965,8106,7193,1354,1226,718503,3145,7996,6903,1554,1246,688513,3305,7886,6613,1754,1266,660523,3475,7776,6333,1944,1286,632533,3625,7666,6073,2134,1306,605543,3775,7566,5813,2304,1316,580553,3925,7466,5563,2484,1336,555563,4065,7376,5323,2644,1346,531573,4195,7286,5093,2804,1366,508583,4335,7196,4873,2964,1376,485593,4455,7106,4653,3114,1386,463603,4585,7026,4443,3264,1406,443613,4705,6946,4243,3404,1416,422623,4815,6866,4043,3534,1426,402633,4935,6786,3853,3674,1436,383643,5035,6716,3663,3794,1446,365653,5145,6646,3483,3924,1456,347663,5245,6576,3313,4044,1466,330673,5345,6506,3143,4164,1476,313683,5445,6436,2983,4274,1486,296693,5535,6376,2823,4384,1486,280703,5635,6316,2663,4494,1496,265713,5715,6256,2513,4604,1506,250723,5805,6196,2363,4704,1516,235733,5895,6136,2223,4804,1516,221743,5975,6086,2083,4894,1526,207753,6055,6026,1953,4994,1536,194763,6135,5976,1823,5084,1546,181773,6205,5926,1693,5174,1546,168783,6285,5876,1563,5264,1556,155793,6355,5826,1443,5344,1556,143803,6425,5776,1323,5424,1566,131813,6495,5736,1213,5504,1566,120823,6555,5686,1103,5584,1576,109833,6625,5646,0993,5664,1586,098843,6685,5596,0883,5744,1586,087 853,6745,5556,0773,5814,1596,076863,6815,5516,0673,5884,1596,066873,6875,5476,0573,5954,1606,056883,6925,5436,0473,6024,1606,046893,6985,5396,0383,6094,1606,037903,7045,5356,0283,6154,1616,028913,7095,5326,0193,6224,1616,018923,7145,5286,0103,6284,1626,010933,7205,5256,0023,6344,1626,001943,7255,5215,9933,6404,1635,992953,7305,5185,9853,6464,1635,984963,7355,5145,9763,6524,1635,976973,7395,5115,9683,6574,1645,968983,7445,5085,9613,6634,1645,960993,7495,5055,9533,6684,1655,9521003,7535,5025,9453,6734,1655,9451013,7575,4995,9383,6794,1655,9371023,7625,4965,9313,6844,1665,9301033,7665,4935,9243,6894,1665,9231043,7705,4905,9173,6944,1665,9161053,7745,4875,9103,6984,1675,9091063,7785,4855,9033,7034,1675,9021073,7825,4825,8963,7084,1675,8961083,7865,4795,8903,7124,1675,8891093,7905,4775,8843,7174,1685,8831103,7945,4745,8773,7214,1685,8771113,7975,4725,8713,7264,1685,8711123,8015,4695,8653,7304,1695,8651133,8045,4675,8593,7344,1695,8591143,8085,4655,8533,7384,1695,8531153,8115,4625,8483,7424,1695,8471163,8155,4605,8423,7464,1705,8421173,8185,4585,8373,7504,1705,8361183,8215,4565,8313,7544,1705,8311193,8245,4545,8263,7574,1705,8251203,8275,4515,8213,7614,1715,8201213,8305,4495,8163,7654,1715,8151223,8345,4475,8113,7684,1715,8101233,8365,4455,8063,7724,1715,8051243,8395,4435,8013,7754,1725,8001253,8425,4415,7963,7794,1725,7951263,8455,4395,7913,7824,1725,7901273,8485,4385,7863,7854,1725,7861283,8515,4365,7823,7884,1735,7811293,8535,4345,7773,7924,1735,7771303,8565,4325,7733,7954,1735,7721313,8595,4305,7683,7984,1735,7681323,8615,4295,7643,8014,1735,7641333,8645,4275,7603,8044,1745,7591343,8665,4255,7563,8074,1745,755

1353,8695,4235,7523,8104,1745,7511363,8715,4225,7483,8134,1745,7471373,8745,4205,7433,8154,1745,7431383,8765,4195,7403,8184,1755,7391393,8785,4175,7363,8214,1755,7351403,8815,4155,7323,8244,1755,7311413,8835,4145,7283,8264,1755,7281423,8855,4125,7243,8294,1755,7241433,8875,4115,7213,8324,1755,7201443,8895,4105,7173,8344,1765,7161453,8925,4085,7133,8374,1765,7131463,8945,4075,7103,8394,1765,7091473,8965,4055,7063,8424,1765,7061483,8985,4045,7033,8444,1765,7021493,9005,4025,7003,8464,1765,6991503,9025,4015,6963,8494,1775,696Term to maturity (in years)Real (%)Renminbi-yuan (%)Ringgit (%)Russian rouble (%)Singapore dollar (%)South Korean won (%)17,9773,2233,3168,6150,9051,36228,4643,2833,3898,1621,1411,46439,0033,3813,4657,9411,3391,53349,2893,4753,5057,8031,5091,59459,4603,5453,5597,6941,6531,63969,5833,7023,6177,6301,7871,67079,6793,8523,6767,5871,9091,69989,7303,9263,7377,5412,0151,73199,7503,9513,7957,4872,1031,761109,7663,9583,8497,4242,1711,786119,7513,9623,8987,3522,2191,804129,7073,9673,9457,2742,2601,815139,6413,9713,9947,1922,2981,820149,5603,9764,0457,1092,3321,818159,4693,9814,0977,0252,3581,813169,3703,9854,1486,9422,3751,805179,2673,9904,1966,8592,3871,799189,1613,9954,2416,7792,3991,798199,0543,9994,2806,7012,4141,806208,9474,0034,3146,6252,4331,824218,8424,0084,3416,5512,4581,852228,7384,0124,3636,4802,4871,889238,6364,0164,3806,4122,5201,931248,5384,0204,3946,3462,5551,976258,4424,0244,4046,2832,5912,024268,3494,0274,4126,2232,6272,073278,2604,0314,4186,1652,6642,123288,1734,0354,4226,1092,7002,173298,0904,0384,4256,0562,7362,222308,0114,0414,4266,0042,7712,270 317,9344,0444,4275,9562,8062,317327,8614,0484,4275,9092,8392,363337,7904,0514,4265,8642,8722,408347,7224,0544,4245,8212,9042,451357,6584,0564,4235,7802,9342,493367,5964,0594,4205,7402,9642,533377,5364,0624,4185,7032,9922,573387,4794,0644,4155,6663,0202,610397,4244,0674,4125,6323,0472,647407,3724,0694,4095,5983,0722,682417,3224,0724,4065,5663,0972,715427,2744,0744,4035,5363,1212,748437,2274,0764,4005,5063,1442,779447,1834,0794,3975,4783,1662,809457,1404,0814,3945,4513,1882,838467,0994,0834,3915,4253,2082,866477,0604,0854,3885,4003,2282,893487,0224,0874,3855,3753,2472,919496,9854,0894,3815,3523,2662,944506,9504,0904,3785,3303,2842,969516,9164,0924,3765,3083,3012,992526,8834,0944,3735,2873,3183,015536,8524,0964,3705,2673,3343,036546,8224,0974,3675,2473,3493,057556,7924,0994,3645,2293,3653,078566,7644,1004,3625,2103,3793,097576,7374,1024,3595,1933,3933,116586,7104,1034,3575,1763,4073,134596,6854,1054,3545,1603,4203,152606,6604,1064,3525,1443,4333,169616,6364,1084,3505,1283,4453,186626,6134,1094,3475,1133,4573,202636,5904,1104,3455,0993,4693,218646,5694,1124,3435,0853,4803,233656,5474,1134,3415,0713,4913,248666,5274,1144,3395,0583,5023,262676,5074,1154,3375,0453,5123,276686,4884,1164,3355,0333,5223,289696,4694,1174,3335,0213,5323,302706,4514,1194,3315,0093,5413,315716,4334,1204,3294,9983,5503,328726,4164,1214,3274,9873,5593,340736,3994,1224,3264,9763,5683,351746,3834,1234,3244,9653,5763,363756,3674,1244,3224,9553,5853,374766,3524,1254,3214,9453,5933,385776,3374,1264,3194,9363,6013,395786,3224,1264,3184,9263,6083,405796,3084,1274,3164,9173,6163,415806,2944,1284,3154,9083,6233,425

816,2804,1294,3144,8993,6303,435826,2674,1304,3124,8913,6373,444836,2544,1314,3114,8823,6443,453846,2424,1314,3094,8743,6503,462856,2294,1324,3084,8663,6573,471866,2174,1334,3074,8593,6633,479876,2064,1344,3064,8513,6693,487886,1944,1344,3054,8443,6753,495896,1834,1354,3034,8363,6813,503906,1724,1364,3024,8293,6873,511916,1614,1374,3014,8223,6933,518926,1514,1374,3004,8153,6983,526936,1404,1384,2994,8093,7033,533946,1304,1394,2984,8023,7093,540956,1214,1394,2974,7963,7143,547966,1114,1404,2964,7903,7193,554976,1014,1404,2954,7843,7243,560986,0924,1414,2944,7783,7293,567996,0834,1424,2934,7723,7333,5731006,0744,1424,2924,7663,7383,5801016,0664,1434,2914,7603,7433,5861026,0574,1434,2904,7553,7473,5921036,0494,1444,2894,7503,7513,5981046,0414,1444,2884,7443,7563,6031056,0334,1454,2884,7393,7603,6091066,0254,1454,2874,7343,7643,6151076,0174,1464,2864,7293,7683,6201086,0094,1464,2854,7243,7723,6251096,0024,1474,2844,7193,7763,6311105,9954,1474,2844,7153,7803,6361115,9874,1484,2834,7103,7843,6411125,9804,1484,2824,7053,7873,6461135,9734,1494,2814,7013,7913,6511145,9674,1494,2814,6963,7953,6561155,9604,1504,2804,6923,7983,6601165,9534,1504,2794,6883,8023,6651175,9474,1504,2794,6843,8053,6701185,9404,1514,2784,6803,8083,6741195,9344,1514,2774,6763,8123,6781205,9284,1524,2774,6723,8153,6831215,9224,1524,2764,6683,8183,6871225,9164,1524,2754,6643,8213,6911235,9104,1534,2754,6603,8243,6951245,9054,1534,2744,6563,8273,6991255,8994,1544,2744,6533,8303,7031265,8934,1544,2734,6493,8333,7071275,8884,1544,2724,6453,8363,7111285,8824,1554,2724,6423,8393,7151295,8774,1554,2714,6393,8423,7191305,8724,1554,2714,6353,8443,722 1315,8674,1564,2704,6323,8473,7261325,8624,1564,2704,6293,8503,7301335,8574,1564,2694,6253,8523,7331345,8524,1574,2694,6223,8553,7371355,8474,1574,2684,6193,8583,7401365,8424,1574,2684,6163,8603,7431375,8374,1584,2674,6133,8633,7471385,8334,1584,2674,6103,8653,7501395,8284,1584,2664,6073,8673,7531405,8244,1594,2664,6043,8703,7561415,8194,1594,2654,6013,8723,7601425,8154,1594,2654,5983,8743,7631435,8114,1594,2644,5963,8773,7661445,8064,1604,2644,5933,8793,7691455,8024,1604,2634,5903,8813,7721465,7984,1604,2634,5873,8833,7751475,7944,1614,2634,5853,8863,7781485,7904,1614,2624,5823,8883,7801495,7864,1614,2624,5803,8903,7831505,7824,1614,2614,5773,8923,786Term to maturity (in years)Turkish lira (%)US dollar (%)Yen (%)112,0081,312– 0,069211,6081,475– 0,055311,5261,611– 0,038411,3841,725– 0,018511,3241,8250,006611,2061,9110,034711,0561,9870,064810,9182,0420,095910,7882,1150,1281010,6552,1680,1621110,5152,2110,2001210,3682,2510,2411310,2192,2840,2841410,0692,3120,329159,9202,3350,372169,7742,3560,414179,6302,3740,454189,4902,3900,491199,3542,4040,527209,2222,4150,560219,0952,4240,590228,9732,4310,617238,8552,4370,640248,7422,4410,660258,6342,4430,675 268,5312,4450,686278,4312,4450,696288,3372,4450,707298,2462,4440,722308,1592,4430,742318,0772,4410,769327,9972,4390,800337,9222,4370,835347,8502,4340,872357,7802,4300,911367,7142,4260,952377,6512,4210,993387,5912,4151,034397,5332,4081,074407,4782,4001,115417,4242,3911,155427,3742,3811,194437,3252,3721,233447,2782,3641,271457,2332,3571,308467,1902,3531,344477,1482,3511,379487,1082,3531,413497,0702,3571,446507,0332,3641,478516,9982,3741,509526,9632,3871,539536,9302,4021,569546,8982,4191,597556,8682,4371,625566,8382,4561,651576,8092,4761,677586,7822,4971,703596,7552,5171,727606,7292,5381,751616,7042,5601,774626,6802,5811,796636,6562,6021,818646,6332,6221,839656,6112,6431,860666,5902,6641,879676,5692,6841,899686,5492,7041,918696,5292,7231,936706,5102,7421,954716,4922,7611,971726,4742,7801,988736,4562,7982,004746,4392,8162,020756,4222,8332,036

766,4062,8502,051776,3902,8672,066786,3752,8832,080796,3602,8992,094806,3462,9152,108816,3312,9302,121826,3182,9462,134836,3042,9602,147846,2912,9752,160856,2782,9892,172866,2653,0032,184876,2533,0162,195886,2413,0292,207896,2293,0422,218906,2183,0552,228916,2073,0672,239926,1963,0792,250936,1853,0912,260946,1743,1032,270956,1643,1142,279966,1543,1262,289976,1443,1372,298986,1343,1472,307996,1253,1582,3161006,1163,1682,3251016,1063,1782,3341026,0983,1882,3421036,0893,1982,3511046,0803,2082,3591056,0723,2172,3671066,0643,2262,3741076,0553,2352,3821086,0473,2442,3901096,0403,2532,3971106,0323,2612,4041116,0253,2702,4121126,0173,2782,4191136,0103,2862,4251146,0033,2942,4321155,9963,3022,4391165,9893,3102,4451175,9823,3172,4521185,9753,3252,4581195,9693,3322,4641205,9623,3392,4701215,9563,3462,4761225,9503,3532,4821235,9443,3602,4881245,9383,3672,4941255,9323,3742,500 1265,9263,3802,5051275,9203,3872,5111285,9153,3932,5161295,9093,3992,5211305,9043,4052,5261315,8983,4112,5321325,8933,4172,5371335,8883,4232,5421345,8833,4292,5461355,8773,4352,5511365,8723,4402,5561375,8683,4462,5611385,8633,4512,5651395,8583,4572,5701405,8533,4622,5741415,8493,4672,5791425,8443,4722,5831435,8393,4772,5871445,8353,4822,5921455,8313,4872,5961465,8263,4922,6001475,8223,4972,6041485,8183,5022,6081495,8143,5062,6121505,8103,5112,616

Annex

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)AustriaBelgiumBulgariaCroatiaCzech RepublicCyprusDenmark100345127120042514513024853510403515551051555565406265858570726615105708376351356094865514530104967515520Duration (in years)EstoniaFinlandFranceGermanyGreeceHungaryIreland100004274182000026042532000229428430001984295500018043066000177431760001734328712017823398130180133109130182434Duration (in years)ItalyLatviaLithuaniaLuxembourgMaltaNetherlandsPortugal16660180272141212025045318161602805142018180290515222020030054623212103105672523230320578262424233056928252533305310292526334152 Duration (in years)RomaniaSlovakiaSloveniaSpainSwedenUnited KingdomLiechtenstein110132160002181824120003212029160004222233180005242337200006252440210007272642230008292743240009302744250001027274326000Duration (in years)NorwayAustraliaBrazilCanadaChileChinaColombia100120170112001201901930012018130400120172395001201624160012015344700120144468001201584490012016541100012013544Duration (in years)Hong KongIndiaJapanMalaysiaMexicoNew ZealandRussia1090010002090010003090010004090010005090010026090010067090010088090010013909101001910091010019Duration (in years)SingaporeSouth AfricaSouth KoreaThailandTaiwanUnited States103100402071204030712040406140405051504060516040707160408081604090816040100916040

1. Exposures to financial institutions 2.1. Euro Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6162148128242585121126214812824258599337234812023858182148265112123758068751029561242375805826113160129237580580712346213123758058081234611292375805809123561128237580580101336611282375805801113376112823758058012143861128237580580131439611282375805801414396112823758058015143961128237580580161439611282375805801714396112823758058018143961128237580580191439611282375805802014396112823758058021153961128237580580221539611282375805802316396112823758058024173961128237580580251739611282375805802618396112823758058027193961128237580580282039611282375805802920396112823758058030203961128237580580 2.2. Czech koruna Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6110255213224659012232122854134248592100531430551262455888314153358128244587695516356313124358758961737661352435865867183967136242586586817396613424258558591740661332415855851017406513224158458411174165131240584584 12174164131240583583131741641302395835831417416313023958258215164163129238582582161540621292385815811715406212823758158118154062128237581581191540621282375815812015406212923858158121164063129238582582221641631292385825822317416312923858258224174163130239582582251741631302395825822618416313023958258227194163130239582582282041631302395825822920416313023958258230214163130239582582 2.3. Danish krone Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 616214712724258512112621471272425859923723481192385818214826511212375806875102956124237580582611316012823758058071233621312375805808123461129237580580912356112823758058010133661128237580580111337611282375805801214386112823758058013143961128237580580141439611282375805801514396112823758058016143961128237580580171439611282375805801814396112823758058019143961128237580580201439611282375805802115396112823758058022153961128237580580231639611282375805802417396112823758058025173961128237580580 2618396112823758058027193961128237580580282039611282375805802920396112823758058030203961128237580580 2.4. Forint Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61861021282083226661219281971232033176611003385102127198316660830484101127197312656697582101129197309653653681101130199307651651780101130199304648648878101128195303647647977100126193302645645107497122189298641641117195119186295638638127095118184293637637137094117183292636636146994116183292635635156994116182291635635166893115181290634634176892115181290633633186791114180289633633196691113179288632632206590112179288631631216589112178287630630226488111177286629629236387110176285629629246286109175284627627256185108174283626626266084106173282625625275883105172281624624285782104171280623623295681103170279622622305580102169277621621

2.5. Krona Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 611025511312465891207212275313324759199031430551262455888214153358129244588687 51736641312445885886183867136244588588719416913824458758781941681362435875879184167134243586586101842671332425865861118426613324258558512184366132241585585131843661322415845841418436513224158458415184365131240584584161742641312405835831717426413123958358318174264130239583583191742641302395835832018426513124058358321184265131240584584221843651312405845842318436513224158458424184365132241584584251843651322415845842618436513224158458427194365132241584584282043651322415845842920436513224158458430214365131240584584 2.6. Kuna Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6153689417428863212232567298178292636100836278103174293636838465831081782946377055688711418229563863866989118186294638638769901191882946376378689011718529263663696689115182291634634106589114180289633633116488112179288631631126387111177286629629136286109175284628628146185108174283626626155984106173282625625165883105171280624624 17578210417128062362318568110317027962262219568010316927862162120558010216827762162121547910116827762062022537810016727661961923537710016627561861824527699165274618618255176981642736176172650759716327261661627497496162271615615284873951622716146142948729416127061361330477194160269612612 2.7. Lev Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61520471272415841210252047127241584992362348119237580821472550120236579687592856123236579581610305912823657957971133611302365795798113360128236579579911346012723657957910123560127236579579111336601272365795791213376012723657957913133860127236579579141438601272365795791514386012723657957916133860127236579579171338601272365795791813386012723657957919143860127236579579201438601272365795792115386012723657957922153860127236579579231638611272365795792417386112723657957925173861127236579579261838611272365795792719386112723657957928203861127236579579 2920386112723657957930203861127236579579 2.8. Pound sterling Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6172558159260603122527255815926060310043827571432565998314103059131254597695511315911825359659661335621102525955957153763102251594594816386194249593593919456588248592592101845628424859159111174460832475905901216436084246589589131644618424558958914174461842445885881517446184244587587161744618424258658617174461842415855851817446184241584584191744618424158458420174461842415855852117446184241585585221744618424158558523174461842415845842417446184240584584251744618424058358326184461842395835832719446184239582582282044618423958258229204461842385825823020446184238581581

2.9. Romanian leu Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 618810313021032466812332851011272073216651017384101126197315659845483101126196312655710581100128195308652652680100129198306649649778100128197303646646 8769812519330064464497396122189298641641107296120187296639639117195119185294638638127094117183292636636136893115182291634634146792114180289633633156690112179288631631166489111178287630630176388110176285629629186287109175284628628196186108174283627627206085107174283626626215984106173282625625225983105172281624624235882104171280623623245781103170279622622255580102169278621621265479101168277620620275378100167276619619285377991662756186182952769816527461761730517598164273616616 2.10. Zloty Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61617610318329764012452597510118129563910233597610117229063484845977102172288631711558771051732856296296577810617528362762775778106176281625625855771041722806236239547610216927862162110537610116827762062011527610016727661961912527699166275618618135276991652746186181451769816427361761715507597164273616616164974961632726156151749739616227161461418487295161270614614194772941612706136132047729416026961361321477194160269613613 224671931602696126122346719315926861261224457092159268611611254569921582676116112644699115726661061027436890157266609609284367901562656096092942678915526460860830416688155264607607 2.11. Norwegian krone Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 613146721522676101233231477315326761110123314873144262606837432497514526060470153251791472596036036335382150258602602733548315225860160183254811492576006009325480147256599599103155801462555995991131557914625559859812315578145254597597133055781442535965961430547714325259659615295476142251595595162853751412505945941728527514125059359318275274140249593593192751741402495935932027517414024959359321275274140249593593222751741402495935932327517414024959359324275173140249592592252651731402495925922626517313924859259227265073139248592592282650731392485915912925507213924859159130255072138247591591 2.12. Swiss franc Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 610327107221565120321528108222566986325291002195628164273210221756168253937105217561578641240109217561561751442111217561561851542110217561561971641108217561561107174210821756156111819431092185625621281842108217560560131020431092185625621410204310921856156115111941108217560560161118401062155595591712184010621555955918131840107216559559191419411072165595592014194110821756056021152042108217561561221521421082175615612316224210821756156124172242108217561561251723431082175615612618244510821756156127182546108217561561281925471082175615612920264810821756156130202849108217561561

2.13. Australian dollar Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 614763891692836271250247638916928362710263486489160279622849448669116127762071154968951632766196196496998166274618618749709816827361761784870971652726166169477096163271615615104770951612706146141146709416026961361312467093160269612612 134570931592686116111445709215826761161115446991158267610610164368901572666096091743679015626560960918426789155264608608194266891552646076072041668815526460760721416688155264607607224166881542636076072340658715426360660624406587153262606606253964861532626056052639638615226160560527386385151260604604283862851512606036032937628415025960360330366183150259602602 2.14. Baht Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6115305613625059412432193460140255598101932340651362545988434274570140256599706530497714425760060062949781472555985987345684153259602602833558215025760160193457831492586026021036598415126060360311386286152261604604123963861532626056051340648715326260660614406587154263606606154065871542636066061640648715326260660617406487153262606606183964861522616056051939638615226160460420396386152261604604213863851522616046042238638515226160460423386385151260604604243862841512606036032537628415025960360326376184150259602602 27366183149258602602283660831492586016012935608214825760160130355981148257600600 2.15. Canadian dollar Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 611328551352495931237214305613625059410153173358129248591840418366113124759170352039671342475915956214270139247591591723447214124759159182345721402475915919234672139247591591102447721392485915911125487313924859159112254973139248592592132650731392485925921426517313924859259215265173139248592592162650731392485925921726507313924859259218265073139248592592192650731392485925922026517313924859259221265173139248592592222651731392485925922326507313924859259224255072139248591591252550721382475915912625497213824759059027244971138247590590282449711372465905902924487113724659059030234870137246589589 2.16. Chilean peso Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 615065911712866291260253689417428863210353577398169288631858 4597710217228763171956180107175288631631662831111802886326327638511318228863163186385112180287631631963851111782876316311063861111782876306301163871111782876306301263871101772866296291363871101762856286281462861091752846286281561851081742836276271660851071732826266261759841061722816256251858831051722816246241958821051712806236232057821041702796236232156811031702796226222255801021692786216212355791021682776206202454781011672766196192553771001662756196192652769916527461861827517698164273617617285075971632726166162949749616227161561530487395162271614614

2.17. Colombian peso Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 618196122202317660130028510012720732166410703861031281993176618884871041302003156597445901091362043176606606911121412093176616617931141432123176616618941161432113186626629951171432103196636631095119144210319663663119511914320931866266212951191422093186616611394118141207316660660149311713920631565865815911161382043136576571690114137203312655655178811313520131065465418871111342003096536531985110132199308651651 2084109131197306650650218310713019630564964922811061281953046476472380104127193302645645247810312519130064464425771011231902996426422675100122188297641641277398120187296639639287297119185294638638297095117184293636636306994116182291635635 2.18. Hong Kong dollar Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61622481282425861235210255113124658910143133055126244588840416345913024558970351938661342465905956214170139247591591723447214224759159182345721402485915919234672139248591591102447721392485915911124487213924859159112254972138247591591132449721382475905901424487113724659059015234870136245589589162247691352445885881722466913524458858818214668135244587587192146681342435875872021466813524458758721214668135244587587222146681352445875872321466813524458758724214668135244587587252146681352445875872621466813424358758727214668134243587587282145681342435875872921456813424358658630214567134243586586 2.19. Indian rupee Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61921071342143286711333292108134214328672109339311013520632466890449411213720732366675759511414220932266666669611614521332166566579611814621532166466489611814521332166466499511814421132066366310941181422093186616611193117141207316660660129111613920531465865813901141372033126566561488113135201310654654158611113320030965265216841091311973066506501782107129196305648648188110512819430364764719791041261933026456452078103125192301644644217710212419130064364322761011231902996426422375100122189298641641247499121187296640640257398120186295639639267297119185294638638277195118184293637637287094117183292636636296993116182291635635306892115181290634634 2.20. Mexican peso Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61352367394474588932135427792118198312656110538197122193312655912485102128198313657762587107134202314658658689110138207315659659791112141210316659659892114141209316660660992115141208317660660109311614120731666066011931171412073166606601294118141207316660660 13941191412083176606601495120142208317661661159612014320931866266216971211442103196636631798122145211320664664189912414621232166566519100124147213322666666201011251482143236666662110112514821432366766722101125148214323666666231001251472133226666662499124146213322665665259812314521232166466426971221442113206636632796121143209318662662289512014220831766166129941181412073166596593092117139206315658658

2.21. New Taiwan dollar Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6101036116231574122521103611623057410043212371082275708304214391092255686945416431112245675886417461152235665667519471172225665668519461142215655659719451122205645641072045111220564564118214511122056356312821451112205635631310224511122056356314102245111220564564151123451112205645641611224511122056456417122345112221564564181323461122215655651914244611322256556520142547114223566566211526481142235675672216264911522456856823172749116225568568241728501162255695692517285011722656956926182851117226570570 27192951117226570570282029511182275705702920305211822757157130213052118227571571 2.22. New Zealand dollar Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61546995175289633125325470961762906341029355729716828763085345674991692856287145567510317128362762765777106175283626626757781061752816256258567810517328162462495678104171280623623105578103170279622622115478102168277620620125277100166275619619135176981652746176171450749716327261661615487395162271614614164671931602696126121745709215926861161118446991157266610610194368901562656096092043679015626560860821426789155264608608224166881552646076072341658815426360660624406587153262606606253964861522616056052639638515226160460427386285151260604604283762841502596036032937618315025960260230366183149258602602 2.23. Rand Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61114130156236350694135321151311572373516951108311813415923034969291741201381632333486927685121140168236348692692 612214217124034869269271231441722423476916918122144171239346690690912114417023734568968910120144169235344688688111191431672343436866861211814216523234168468413116141163230339682682141141391612273366806801511213615922533467867816109134156222331675675171071311542203296736731810412915121832767067019102127149216325668668201011251482143236666662199123146212321665665229712214421031966366323951201422093186616612493118140207316659659259211613920531465865826901151372033126566562788113135202311654654288711113420030965265229851101321983076516513084108131197306649649 2.24. Real Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 611741902162964107541372218319922530541976311313188205230301420763941419020823330341976278951912112383064187627626191211240309417760760719121224030941575975981892112383064147577579188210236303412756756101872102353024117547541118520923330040975275212183207231297406750750131812052282944037477471417820222529140074374315174199221288397740740161711962182843937377371716819221528139073473418165189212278387730730

191611862082753847277272015818320527238172472421155180202269378721721221521771992653747187182314917419626237171571524146170193259368712712251431671902563657097092614016418725336270570527137161184250359702702281341581812473567007002913115617824435369769730128153175242351694694 2.25. Renminbi-yuan Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 612742681482636061279228436914926360710483294570141260603867430487314325860272653150781452586016146315180149257601601732538115025660060083153801482555995999305379146254598598103053781442535975971130537714425359659612295477143252596596132954761432525955951429537614225159559515295375142251594594162853751422515945941728537514225159459418285375142251594594192853751422515945942029537614225159459421295376142251594594222953761422515945942328537514225159459424285375142251594594252853751412505945942628537514125059459427285275141250593593 282752741412505935932927527414024959359330275274140249593593 2.26. Ringgit Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 612338641442586021281224406614626060410503274469140258602869430487314325960272653251791472596036146345483152260603603736578515426060460483658851532606046049365985152260604604103760851522616046041138628615226160560512396386153262605605133963861522616056051439648615226160560515396386152261605605163863851522616046041738638515226160460418386385152261604604193863851522616046042039638615226160460421396386152261605605223963861522616056052339638615226160460424386385152261604604253863851512606046042638628515126060360327376284150259603603283761841502596036032936618315025960260230366083149258602602 2.27. Russian rouble Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6112413916524536070313852122138164244358702112931231391642353546979314123141166236352695777512414317023835169469461231441722413496936937124145173242348692692 812314517224034769169191221441702373466906901012214517023734668968911121145169236345688688121211451682353446876871312014416723334268668614119144166232341685685151171411642303396826821611513916122833768068017112136159225334678678181091341562233326756751910713215422133067367320105130152218327671671211031271502163256696692210112514821432366666623981231452123216646642496121143210319662662259411914120731666066026921171392053146586582790115137203312656656288811313520131065465429861111331993086526523084109131197306650650 2.28. Singapore dollar Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61093511522957312342111371172315751014321540111229573840421944114229573703542250117230574595652554123231574574772856125231575575872956124231575575972955122231575575107315612223157557511831551222315745741283255122231574574131032551212305745741410335512123057457415113255121230574574161132541212305735731713325412123057357318133254121230573573191432551212305735732014335512223157457421153356122231575575

221634561232325755752317345712323257557524173457123232576576251835571232325765762618355712423357657627193557124233576576282035581242335765762920355812423357757730213658124233577577 2.29. South Korean won Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 613550771562716141243235517715727161510193355277148267610843436537914926460870553655831502636076076395988156265608608736588615526160460484062891572656086089406288155264607607103457821492586016011130537714425359659612265174140249593593132449711382475905901422476913624558858815214568134243587587161944661332425855851718436513224158458418184265131240583583191742641312405835832017426413124058358321174264131240583583221742641312405835832317426413124058358324174264131240583583251742641312405835832618426413023958358327194264130239583583282042641302395835832920426413023958358330214164130239583583 2.30. Turkish lira Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 611862022283084227661453218419922630642076411873181198223294412756980417919722229240775181851761952222904037467466173193222290398742742717019121928839473873881661882152833907347349162185211277386730730101581822072733827267261115517920326937872272212152176199265374718718131481731952623717147141414516919225836771071015141166188254363707707161381621852513607047041713515918224835770170118132156179245354698698191291541762423516956952012715117424034969269221124149171237346690690221211461682353446876872311914416623234168568524116141163230339682682251141391612273366806802611213615922533467867827109134156223332675675281071321542213306736732910513015221832767167130103128150216325669669 2.31. US dollar Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6192652111246590124229265211124659010193102954105245588843412345710224558870651741621052465905976194467101247590590719466593247591591817446492248591591917456696248591591101948691002485925921121507110324859259212235372104248592592 132455721042485925921424557310424959259215245573104249592592162455731042485925921724557310424859259218245573104248592592192455731042485925922024557310424959359321245573104249593593222455731042505935932324557310425059359324245573104250593593252455731042505935932624557310425059459427245573104250594594282455731042505935932924557310425059359330245573104250593593 2.32. Yen Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61031393207551121621512922065509963251182201544823426138319954268753718851985425816482190198541541759229219754154185922901975415419711228919854154110711228919854154111812238919854254212813258919854254213101426901995425421410142990199542542151116309019954354316111631901995435431712173391200543543181318349120054454419141935922015445442014193793202545545211520389320254654622152139942035465462316224094203547547241722429520454754725172343952045475472618244595204548548

2718254695204548548281925479520454854829202648952045485483020284995204548548 3. Other exposures 3.1. Euro Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 611152245168306307721152245168343229431162450162356173241172754160354133852193156160345106063213359160332860742435611603167118425376416030059795263867160283508105274069160266438115274070160253380126274070160253333136274070160253293146274070160253259156274270160253253167274470160253253178274770160253253188274970160253253199275270160253253209275470160253253219275770160253253221027597016025325323102762701602532532411276470160253253251127677216025325326112770751602532532712277277160253253281227757816025325329132778811602532533013278083160253253 3.2. Czech koruna Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6151926501723093112272228521743472324372231571693601755 472334611673591355582537621663491073692739651663358697103041671653197188930416916530260399304372164285513109314473164268441119314474163257383129304373163256335138294373162256295147294272162255261157294272161255255167284471161254254178284771161254254188285071160254254199285271160254254209285571161254254219285872161254254221029597216125525523102962721622552552411296572162255255251129687316225525526112971751622552552712297377162255255281229768016225525529132978811622552553014298183162255255 3.3. Danish krone Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 611152245168306307721152245168343229431152450162356173241162754160354133852193156160345106063213359160332859742435611603167118425366416029959795263867160283508105264069160266438115274070160253380126274070160253333136274070160253293146274070160253259156274270160253253167274470160253253178274770160253253188274970160253253 199275270160253253209275470160253253219275770160253253221027597016025325323102762701602532532411276470160253253251127677216025325326112770751602532532712277277160253253281227757816025325329132778811602532533013278083160253253 3.4. Forint Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61819610212624834430992769197121243346231937894103129240359175147692103129235360135957491104129232352108067392104129230339878772921031292283247288719110313022631961297091103132225318522106688101130221314450116385981282183113911262839712721630934213618296126215309309146082951252153083081560819512521430830816598194124213307307175980931232133063061858799312321230530519577892122211305305205678911212113043042156779012021030330322557689119209302302235475881182083013012453748711720730030025527386116206299299265072851152052982982749718411420429729728487083113203296296

2947698211220229529530466883111201294294 3.5. Krona Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 614192649172305306626212851173342228937223157169355173048243561167355133859263863167346106161029416616733386171131426816731771281131437016630159991132447316628451010113245751652674391110324575165258381121031457516425833413103144741642572951493144741642572611593044741632572571683045731632562561783047731632562561883050731622562561993052731622562562093055731632562562110305874163256256221031617416325725723103163741642572572411316674164257257251131687416425725726123171751642572572712317377164257257281231768016425725729133179821642572573014318284164257257 3.6. Kuna Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61476269922143103109251667296218348233135570791052173631769457748511121736413725597789114218355108966079911172173428837618192118217326730 86080921192153096149598092121214307523105879921222123064501156789112121130439112557689119209302342135375881182073013011452738611620629929915507285115205298298164971841142042972971748708311320329629618476982112202295295194768811112012942942046678111120029429421456780110200293293224466791091992922922344657810819829129124436477108197290290254263771071962902902641637610619528928927406275105195288288283961771041942872872938607910319328628630385983102192285285 3.7. Lev Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 610142144167306307520142144167343229231152349161355173141162653159354133752183055159345105962213258159332859742334601593167108424366315929959794253766159282508104263968159266437114263969159252380126263969159252332136263969159252293146263969159252259156264269159252252167264469159252252177264769159252252188264969159252252199265269159252252209265469159252252219265769159252252 221026596915925225223102662691592522522411266470159252252251126677215925225226112670751592522522712267277159252252281226757815925225229132678811592522523013268083159252252 3.8. Pound sterling Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 610112346186309311520112346186347232331112451180360175441132757177358135552162960176349107362183361175335869732136601743197188423376017230260396314158172285513109344157171268441118334156170263383126324056169262335136304056168262295146304156168261261156304256167260260167304456165258258178304756164257257188305057164257257199305260164257257209305561164257257219305763164258258221030596616425725723103062681642572572411306470163257257251130677316325625626113069751622562562712307276162255255281230757816225525529133078811612542543013308083161254254 3.9.

Romanian leu Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61839710412725034631382809510112524735123533779310112723936617844759110212923436613835739010212723135810996729110212822934589377190101127226329739868881001272233176229668799128221314530106486991282193124561163849812721731139712618396126216309347135981941242143073071458799312321230630615567891121211304304165577901202103033031754768911920830230218537588118207301301195274871172073003002051738611620629929921507285115205298298225071841142042972972349708311320329629624476982112202295295254668811112012942942645678011020029329327446679109199292292284365781081982912912942648110719729029030426384106196289289 3.10. Zloty Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 615670771002233183170254697599221353237035268761022143671793451677810521136713885506779104208358110064968801062063448927496980106204328738847687910720331162094667791082012945271045678010920029345411446679109199292394 1243657810819829134513436477107197290304144263771071962902901541637610619628928916406275105195288288174061741041942872871839607410419328728719386073103193286286203860731031932862862138597310319228628622375972102192285285233758721021912852852436587110119128428425365770100190283283263557721001892832832734567599189282282283455779818828128129335481981872812813032548397187280280 3.11. Norwegian krone Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61264047701933113137226404771193349234232540497518736217684244051771833611366524415378182352108262443558118133887772545568218132272582445568418030560992445578617928851810244558881782724461123455888178271387122244578717727033813224356861762692981421425586175268268152042558517426826816194154841732672671719405383173266266181840538317226626619183953831722652652018395583172265265 2118395883172266266221839618317226526523183963821722652652417396682172265265251739688217226526526173971821712652652717387382171264264281738778117126426429163879821712642643016388284170264264 3.12. Swiss franc Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6100325147304305720162614834122783119311433531719413123514035213285241536140343105262418401403298537362042140314705846234414029759294826471402805041048285014026343311493152141247376126103350140233329136113652141234290146123951141234257156134150140233233167134451139232232177144654138232232188164857139232232199165158139232232209175460140233233219185663140233233221019596514023423423101962671402342342411206469140234234251122677114023323326112269731402332332712237275141233233281224747814123323329122576791422332333013257981144233233

3.13. Australian dollar Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6142576387209315318324257638720935423763415665912033671795440576794200366138754058709519935710986405971971983438907416172981963277358406072991953096179396073102194292525103960731031932874521138607310319328639212375972102192285343133758711011912843021436577110119028328315355770100190283283163456699918928228217345568981882812811833556898187281281193354679718728028020325467971872802802132546797187280280223253679718628028023315366961862792792431526696185279279253052699518527827826305172951842772772729517494184277277282950779318327627629284979931822762763027498392182275275 3.14. Baht Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61924315417731431642142835581813522360316324066178365178241935467317936413775213951761803551091621395177178341884726465783182325731825455784180307613926476088181290522102850639218327644911305164941842773901230526595185278341 133152669618527830014315366961862792791531536696186279279163152659618527827817315265961852782781830516595184278278193051649418427727720305164941842772772129516494184277277222951649418427727723295064941832772772428506693183276276252850689318227627626284971921822752752727497392181275275282748779118127427429264879911802742743025478290180273273 3.15. Canadian dollar Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 618222953175312314929243054176350235031025346017236417754102738641703621371511294166170353108561332447017033987971535467217032372681535477417030561091537497817028851910163851801712714461117385181171264387121738518217126433913173852821712652981417395282171265265151739528217226526516173852821712642641717385282171265265181738528217126426419173852821712642642017395582171265265211739588217126526522173861821712652652317386381171264264241638668117126426425163768811702642642616377180170263263 2715377380170263263281537768016926326329153678811692622623014368184169262262 3.16. Chilean peso Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6145596689212318320924762699221535723993506574100212371181545167781052103711404552708210721136211136547385111211348903756758611221133274785575871142103146289557688117210303534105577901192103034591155779012021030339912547689119209302349135475881182083013071453748711820730030015527387117206299299165172861162052992991750728511520429829818497184114204297297194970831132032962962048698311320229629621476982112202295295224668811112012942942346678011020029329324456679109199292292254465781081982912912643647710819729029027426377107196289289284162781061952892892940628110519428828830396183104194287287

3.17. Colombian peso Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 617690971202433383318280941011242473692486379951031292413841882479951061322383831456581991111362403741153 6831021141402403599357851051161422413427728861071181462413356499871081201492423355521087109122151242335475118710912215224233541212861081211512413343611385106120150239333333148310511814823833133115821031171472363303301681102115145235328328177910111414423332732718789911214323232532519769811114123132432420759711014022932332321749510813822832132122729410713722732032023719210513522531831824699110413422331731725688910213222231531526668710113122031431427648699129219312312286384981282173103102961839612621630930930608195125214308308 3.18. Hong Kong dollar Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61115224616831231432419264917235023473722315716936317744825366216836213705112840651693531085613324469170339879715354672170323726815364775171306610916374978171288519101638518017127144611163851811712643871216385181170264339131637508017026329814153650801692622641514364979168262262161335487816826126117133448781672602601812345077167260260 191234527716626026020123455771672602602112345877167260260221234617716726026023123463771672602602412346677167260260251234687716726026026123471771662602602712337378166260260281233768016625925929143379821662592593014338184166259259 3.19. Indian rupee Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61871011081312543493408287102108132254376254438610211013624839019214861031131402463891483587104116141245379117368710611814424436495078810811914524434778488810912014824433765898810912115024333655910861081211502413344811185106120149239332417128310411814823733136413811031161462353293291479101114144233327327157799112142232325325167597110140229323323177395108138228321321187293107137226319319197092105135225318318206991104134224317317216890103133223316316226789102132222315315236688101131221314314246587100130220313313256486991292183123122663849812821731131127628397127216309309 286182951262153083082960819412521430730730598093124213306306 3.20. Mexican peso Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6134736136839151461034652718693116239380257537489981242363931939477931041302363921496579961091342373811183681100112138238366958783103114140239349791884105116144239333664985106118147240333565108510611914923933348511851061201502393334211285107120150239333368138510712015024033333314861081211512403343341587108121152241334334168810912215324233533517891101241542433363361890111125155244338338199111212615624533833820921131261562463393392192113126157246339339229211312615624633933923911131261562453393392490112125155245338338258911112415424433733726881101231532433363362787109122152242335335288610712115124033333329851061191492393323323083105118148238331331

3.21. New Taiwan dollar Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 610411341573093115204113415734723223141339151359175341415421483581353526184314734910716281945146335868 731021471453197178410234914530260294102651143284512104102952143267441114103153143251382126103453143236335136113653143236295146123954143236261156134254143237237167134454143236236178154755144237237188165057144237237199165260145238238209175561146239239219195864146240240221019606614724024023102062681482412412411216571148242242251122687314924224226112271751492422422712247377150243243281225768015024324329132578811502432433014278183150244244 3.22. New Zealand dollar Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61486370932163163192249647094216355238534964739921136918034486475102207368139454865781032063591104649687910520634589574969801062043297408486981108204311621948698111020329652910476882111202295455114667801102002933951244657910919829234513426477107197290304144162751061952882881539617410419428728716375972102192285285173658711011912842841835577010018928328319345669991882822822034556898188281281 2133546898187281281223254679718728028023325366961862792792431526796185279279253052709518527827826295172941842772772729507594183276276282850779318227627629274981921822752753027488392181274274 3.23. Rand Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6110912413015427637234632110125131155277381258231111261351612733961950411212813916627139515065113130143168271385119361141331451702713709667115135146172270364798811413514617427036367091141351471762693625701011313414717726736149111111133146176266359426121091311441742643573721310712914217226235535514105127140170259353353151031241371672573503501610012113516525434834817981191321622523453451895117130160250343343199311512815824834134120921131261562463393392190111125155244337337228811012315324233633623861081211512413343342484106119149239332332258310411714723733033026811021161462353293292779101114144234327327287899112142232325325297698111141230324324307596109139229322322 3.24. Real Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 611691841902143364323515217819319922334544126383182197206232344439200241821992102363424361549518320021323834143512276183202213239340433994718320321424033843282181812022132413374306889180201213242335428585101792002142433344275031117719921224233242543612175196209239329422422131721932062363264194191416919020323332341641615165187200230320413413161621841972273164104101715918019422431340640618156177190220310403403191521741872173074004002014917118421430439739721146168181211301394394221431651782082983913912314016117520529438838824137158172202291384384251341551681982883813812613115216519528537837827128149162192282375375281251461591902793723722912214315718727637037030119141154184274367367

3.25. Renminbi-yuan Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 61223643661893233261222374467190362243232237467218437518364223849761813741418522405277181364112262342547918035091072444558117933375282343558217831663192243568517729753710224357861772804611121435686176269400 1221425686175268350132042558517526830814204154851742672721519415484174267267161941548417426726717194154841742672671819415484174267267191941548417426726720204157841742672672120415984174267267222041628417426726723194165841742672672419416784174267267251941708417326726726194072841732662662719407583173266266281840788317326626629184081831722662663018398386172265265 3.26. Ringgit Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 611732396218532332662193440641863622436321364571183375183942238497618137414195244154791823641123626445682183350909728485985183333751828486087183315630929506291184297536102951649318427946111305265951842784001230526595185278350133052659518527830814305165951842782781530516495184277277162951649418427727717295164941842772771829516494184277277192951649418427727720305164941842772772130516595184277277223051659518427727723305165941842772772429516794184277277 252951709418327727726295072931832762762728507693183276276282849789218227527529274981921822752753027488492181274274 3.27. Russian rouble Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6111913314016328638135492117132138162284388263631161311401662784011984411513114216927539915285115133145170274388120661151341461722723729757116136147173271364803811513514717427036467391141351471762693625721011413514917826936249111113135148178268361425121121341471772673603711311113314617626535935914110131145175264357357151081291421722623553551610512714017026035335317103124137167257350350181001221351652553483481998120133163253346346209611813116125034434421941151291592483413412292113126156246339339238911112415424433733724871091221522423353352585107120150239333333268310411814823733133127811021161462353283282879100114144233326326297798112142231324324307596110140229323323 3.28. Singapore dollar Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 610393315531231412051235158350234631716421533631773 41920471523621371521224491533531086621527531543398807319305615432372784193158154306611942033611542895201042134631542724471142134641542553881262135641542473401362137641532472991462039641532462651562042641532462461672045631532462461782048631532462461882050631532462461992053631532462462092155641542472472110215865154247247221022616715524824823102263691552482482411226671155248248251123687315524924926112371751562492492712247378156249249281225768015624924929142579821562492493014278184156250250

3.29. South Korean won Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6130445174197314316523045517519735223603294453791913651781428445581187363137552845578218635410886314961871883398817284859851843237278335365921883066109325365941872885191026486190181274446112243568617626938712183953831722663381315375080170263298141335487816826126415123346771662592591610324575165258258 179314774164257257189305073163256256199305273163256256209305573163256256219305873163256256221030607316325625623103063731632562562411306673163256256251130687316325625626113071751622562562712307377162256256281229768016225625629132978811622552553014298184162255255 3.30. Turkish lira Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6118119620222634844437362179193200224346442278031751901992253374322096417118719822533042416145167185197222326419127461641831952213214151029716218219321931741184781581781902173134067099154175188216309402601101511721852153053995161114716818221230139544612143165178208297391391131391611742042943873871413615717020029038338315132154167197286380380161291501641942833763761712614716019128037337318123144158188277370370191201421551852743683682011813915218227236536521115136150180269363363221121341471772673603602311013114517526435835824107129142172262355355251051271401702593533532610312413716725735035027100122135165255348348 289812013316325334634629961181311612513443443094116129159248342342 3.31. US dollar Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 6101526541723133162201526541723522360311729581693651782412032631683641377522337691693541090642640701703408837631427217032473088344674171307612910374976171289521101138517617127244811124052781712653891212415479171265340131342548017226529914134355801722652651514435580172265265161443558017126526517144355801712652651814435580171265265191443558017226526520144355801722652652114435880172266266221443618017326626623144363801732662662414436680173266266251443688017326626626144371801732662662714437380173266266281443768017326626629144379821732662663014438184173266266 3.32. Yen Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 610031213430730912016151323442302311918125356173641312211223541339524152412134510606241827121331858 7362030120315709846233212029859594826351212815061048283712126443511493140121248377126103342121232330136113644122218291146123947122215257156134149122216229167134451122216216177144654123216216188164957125217217199165158128217217209175461130218218219185663132219219221019596513321921923102062671352202202411206469136220220251122677113822022026112269731392202202712237276141220220281224747814222122129122576791422212213013257981144221221

Annex

ANNEX III Volatility adjustment to the relevant risk-free interest rate term structure CurrencyNational insurance market Volatility adjustment (in bps) EuroAustria9EuroBelgium9EuroCyprus9EuroEstonia9EuroFinland9EuroFrance9EuroGermany9EuroGreece9EuroIreland9EuroItaly9EuroLatvia9EuroLithuania9EuroLuxembourg9EuroMalta9EuroNetherlands9EuroPortugal9EuroSlovakia9EuroSlovenia9EuroSpain9Czech korunaCzech Republic2Danish kroneDenmark40ForintHungary5KronaSweden4KunaCroatia7LevBulgaria– 1Pound sterlingUnited Kingdom21Romanian leuRomania– 3ZlotyPoland13KrónaIceland11Norwegian kroneNorway21Swiss francLiechtenstein1Swiss francSwitzerland1Australian dollarAustralia10Canadian dollarCanada7US dollarUnited States40YenJapan2