Commission Implementing Regulation (EU) 2020/1145 of 31 July 2020 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 June 2020 until 29 September 2020 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) 2020/1145 of 31 July 2020 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 June 2020 until 29 September 2020 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 3 July 2020, the European Insurance and Occupational Pensions Authority provided the Commission with the technical information related to end of June 2020 market data. That information was published on 3 July 2020 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 2020 until 29 September 2020.

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 2020. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 31 July 2020. For the Commission The President Ursula von der Leyen

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)EuroCzech korunaDanish kroneForintKronaKuna1-0,445 %0,205 %-0,455 %0,245 %-0,108 %-0,190 %2-0,475 %0,245 %-0,485 %0,515 %-0,117 %0,193 %3-0,485 %0,289 %-0,495 %0,766 %-0,108 %0,524 %4-0,465 %0,336 %-0,475 %0,999 %-0,077 %0,773 %5-0,445 %0,386 %-0,455 %1,217 %-0,042 %0,962 %6-0,415 %0,435 %-0,426 %1,418 %-0,000 %1,107 %7-0,386 %0,481 %-0,396 %1,602 %0,045 %1,213 %8-0,346 %0,521 %-0,356 %1,773 %0,060 %1,285 %9-0,306 %0,554 %-0,316 %1,927 %0,091 %1,334 %10-0,267 %0,578 %-0,277 %2,069 %0,181 %1,390 %11-0,234 %0,597 %-0,244 %2,199 %0,348 %1,454 %12-0,187 %0,617 %-0,197 %2,317 %0,545 %1,522 %13-0,158 %0,642 %-0,168 %2,426 %0,745 %1,592 %14-0,125 %0,677 %-0,135 %2,525 %0,933 %1,661 %15-0,094 %0,724 %-0,104 %2,615 %1,105 %1,730 %16-0,082 %0,782 %-0,092 %2,698 %1,261 %1,796 %17-0,080 %0,849 %-0,090 %2,774 %1,402 %1,861 %18-0,075 %0,921 %-0,085 %2,843 %1,529 %1,923 %19-0,059 %0,996 %-0,069 %2,908 %1,643 %1,983 %20-0,027 %1,071 %0,038 %2,968 %1,747 %2,040 %210,022 %1,146 %0,012 %3,024 %1,841 %2,094 %220,086 %1,220 %0,076 %3,076 %1,927 %2,146 %230,158 %1,293 %0,148 %3,125 %2,006 %2,196 %240,236 %1,363 %0,226 %3,171 %2,078 %2,244 % 250,317 %1,431 %0,308 %3,214 %2,144 %2,289 %260,399 %1,497 %0,390 %3,255 %2,205 %2,332 %270,482 %1,561 %0,474 %3,294 %2,262 %2,373 %280,564 %1,622 %0,556 %3,330 %2,315 %2,413 %290,645 %1,681 %0,637 %3,364 %2,364 %2,450 %300,724 %1,737 %0,716 %3,397 %2,410 %2,486 %310,801 %1,791 %0,793 %3,428 %2,453 %2,520 %320,876 %1,843 %0,868 %3,457 %2,493 %2,553 %330,948 %1,893 %0,941 %3,485 %2,531 %2,584 %341,018 %1,940 %1,011 %3,511 %2,567 %2,614 %351,085 %1,986 %1,078 %3,537 %2,600 %2,642 %361,150 %2,030 %1,143 %3,561 %2,632 %2,670 %371,213 %2,072 %1,206 %3,584 %2,662 %2,696 %381,273 %2,112 %1,266 %3,606 %2,690 %2,721 %391,330 %2,150 %1,324 %3,627 %2,718 %2,745 %401,386 %2,187 %1,380 %3,647 %2,743 %2,768 %411,439 %2,223 %1,433 %3,666 %2,768 %2,790 %421,491 %2,257 %1,485 %3,685 %2,791 %2,811 %431,540 %2,289 %1,534 %3,703 %2,813 %2,832 %441,588 %2,321 %1,582 %3,720 %2,834 %2,851 %451,633 %2,351 %1,628 %3,736 %2,855 %2,870 %461,677 %2,380 %1,672 %3,752 %2,874 %2,888 %471,719 %2,408 %1,714 %3,767 %2,893 %2,905 %481,760 %2,435 %1,755 %3,781 %2,910 %2,922 %491,799 %2,460 %1,794 %3,795 %2,927 %2,938 %501,837 %2,485 %1,832 %3,809 %2,944 %2,954 %511,874 %2,509 %1,869 %3,822 %2,960 %2,969 %

521,909 %2,533 %1,904 %3,835 %2,975 %2,983 %531,943 %2,555 %1,938 %3,847 %2,989 %2,997 %541,975 %2,577 %1,971 %3,858 %3,003 %3,011 %552,007 %2,597 %2,002 %3,870 %3,017 %3,024 %562,038 %2,618 %2,033 %3,881 %3,030 %3,037 %572,067 %2,637 %2,063 %3,891 %3,042 %3,049 %582,096 %2,656 %2,091 %3,902 %3,055 %3,061 %592,123 %2,674 %2,119 %3,911 %3,066 %3,072 %602,150 %2,692 %2,146 %3,921 %3,078 %3,083 %612,176 %2,709 %2,172 %3,930 %3,089 %3,094 %622,201 %2,726 %2,197 %3,939 %3,099 %3,104 %632,225 %2,742 %2,221 %3,948 %3,110 %3,114 %642,249 %2,757 %2,245 %3,957 %3,120 %3,124 %652,272 %2,772 %2,268 %3,965 %3,129 %3,134 %662,294 %2,787 %2,290 %3,973 %3,139 %3,143 %672,315 %2,801 %2,312 %3,981 %3,148 %3,152 %682,336 %2,815 %2,332 %3,988 %3,157 %3,161 %692,356 %2,828 %2,353 %3,995 %3,165 %3,169 %702,376 %2,841 %2,373 %4,003 %3,173 %3,177 %712,395 %2,854 %2,392 %4,010 %3,182 %3,185 %722,414 %2,867 %2,411 %4,016 %3,189 %3,193 %732,432 %2,879 %2,429 %4,023 %3,197 %3,201 %742,450 %2,890 %2,446 %4,029 %3,205 %3,208 %752,467 %2,902 %2,464 %4,035 %3,212 %3,215 %762,484 %2,913 %2,481 %4,042 %3,219 %3,222 %772,500 %2,924 %2,497 %4,047 %3,226 %3,229 %782,516 %2,934 %2,513 %4,053 %3,232 %3,236 % 792,532 %2,944 %2,528 %4,059 %3,239 %3,242 %802,547 %2,954 %2,544 %4,064 %3,245 %3,248 %812,561 %2,964 %2,558 %4,070 %3,252 %3,255 %822,576 %2,974 %2,573 %4,075 %3,258 %3,261 %832,590 %2,983 %2,587 %4,080 %3,264 %3,266 %842,604 %2,992 %2,601 %4,085 %3,269 %3,272 %852,617 %3,001 %2,614 %4,090 %3,275 %3,278 %862,630 %3,010 %2,627 %4,095 %3,281 %3,283 %872,643 %3,018 %2,640 %4,099 %3,286 %3,289 %882,655 %3,026 %2,653 %4,104 %3,291 %3,294 %892,668 %3,034 %2,665 %4,108 %3,296 %3,299 %902,680 %3,042 %2,677 %4,112 %3,301 %3,304 %912,691 %3,050 %2,689 %4,117 %3,306 %3,309 %922,703 %3,058 %2,700 %4,121 %3,311 %3,314 %932,714 %3,065 %2,711 %4,125 %3,316 %3,318 %942,725 %3,072 %2,722 %4,129 %3,320 %3,323 %952,736 %3,080 %2,733 %4,133 %3,325 %3,327 %962,746 %3,086 %2,744 %4,137 %3,329 %3,332 %972,757 %3,093 %2,754 %4,140 %3,334 %3,336 %982,767 %3,100 %2,764 %4,144 %3,338 %3,340 %992,777 %3,107 %2,774 %4,148 %3,342 %3,344 %1002,786 %3,113 %2,784 %4,151 %3,346 %3,348 %1012,796 %3,119 %2,793 %4,155 %3,350 %3,352 %1022,805 %3,125 %2,803 %4,158 %3,354 %3,356 %1032,814 %3,131 %2,812 %4,161 %3,358 %3,360 %1042,823 %3,137 %2,821 %4,164 %3,362 %3,364 %1052,832 %3,143 %2,830 %4,168 %3,365 %3,367 % 1062,841 %3,149 %2,838 %4,171 %3,369 %3,371 %1072,849 %3,154 %2,847 %4,174 %3,372 %3,375 %1082,857 %3,160 %2,855 %4,177 %3,376 %3,378 %1092,865 %3,165 %2,863 %4,180 %3,379 %3,382 %1102,873 %3,171 %2,871 %4,183 %3,383 %3,385 %1112,881 %3,176 %2,879 %4,186 %3,386 %3,388 %1122,889 %3,181 %2,887 %4,188 %3,389 %3,391 %1132,897 %3,186 %2,894 %4,191 %3,392 %3,395 %1142,904 %3,191 %2,902 %4,194 %3,396 %3,398 %1152,911 %3,196 %2,909 %4,197 %3,399 %3,401 %1162,919 %3,201 %2,916 %4,199 %3,402 %3,404 %1172,926 %3,205 %2,924 %4,202 %3,405 %3,407 %1182,933 %3,210 %2,931 %4,204 %3,408 %3,410 %1192,939 %3,214 %2,937 %4,207 %3,410 %3,412 %1202,946 %3,219 %2,944 %4,209 %3,413 %3,415 %1212,953 %3,223 %2,951 %4,212 %3,416 %3,418 %1222,959 %3,228 %2,957 %4,214 %3,419 %3,421 %1232,966 %3,232 %2,964 %4,216 %3,422 %3,423 %1242,972 %3,236 %2,970 %4,219 %3,424 %3,426 %1252,978 %3,240 %2,976 %4,221 %3,427 %3,429 %1262,984 %3,244 %2,982 %4,223 %3,429 %3,431 %1272,990 %3,248 %2,988 %4,225 %3,432 %3,434 %1282,996 %3,252 %2,994 %4,227 %3,434 %3,436 %1293,002 %3,256 %3,000 %4,229 %3,437 %3,439 %1303,008 %3,260 %3,006 %4,231 %3,439 %3,441 %1313,013 %3,263 %3,012 %4,234 %3,442 %3,443 %1323,019 %3,267 %3,017 %4,236 %3,444 %3,446 %

1333,024 %3,271 %3,023 %4,238 %3,446 %3,448 %1343,030 %3,274 %3,028 %4,239 %3,448 %3,450 %1353,035 %3,278 %3,033 %4,241 %3,451 %3,452 %1363,040 %3,281 %3,039 %4,243 %3,453 %3,455 %1373,046 %3,285 %3,044 %4,245 %3,455 %3,457 %1383,051 %3,288 %3,049 %4,247 %3,457 %3,459 %1393,056 %3,291 %3,054 %4,249 %3,459 %3,461 %1403,061 %3,295 %3,059 %4,251 %3,461 %3,463 %1413,066 %3,298 %3,064 %4,252 %3,463 %3,465 %1423,070 %3,301 %3,069 %4,254 %3,465 %3,467 %1433,075 %3,304 %3,073 %4,256 %3,467 %3,469 %1443,080 %3,307 %3,078 %4,258 %3,469 %3,471 %1453,084 %3,310 %3,083 %4,259 %3,471 %3,473 %1463,089 %3,313 %3,087 %4,261 %3,473 %3,475 %1473,093 %3,316 %3,092 %4,263 %3,475 %3,477 %1483,098 %3,319 %3,096 %4,264 %3,477 %3,478 %1493,102 %3,322 %3,100 %4,266 %3,479 %3,480 %1503,106 %3,325 %3,105 %4,267 %3,481 %3,482 %Term to maturity (in years)LevPound sterlingRomanian leuZlotyKrónaNorwegian krone1-0,495 %0,097 %2,908 %-0,155 %1,083 %0,252 %2-0,525 %0,047 %3,186 %-0,021 %1,258 %0,365 %3-0,535 %0,048 %3,352 %0,171 %1,490 %0,415 %4-0,515 %0,070 %3,477 %0,397 %1,700 %0,486 %5-0,495 %0,100 %3,580 %0,626 %1,895 %0,549 %6-0,466 %0,126 %3,664 %0,836 %2,086 %0,594 %7-0,436 %0,153 %3,736 %1,012 %2,273 %0,633 % 8-0,396 %0,180 %3,800 %1,150 %2,438 %0,678 %9-0,357 %0,206 %3,856 %1,252 %2,570 %0,731 %10-0,317 %0,230 %3,911 %1,327 %2,677 %0,797 %11-0,285 %0,250 %3,955 %1,400 %2,765 %0,875 %12-0,237 %0,266 %3,987 %1,476 %2,839 %0,959 %13-0,208 %0,279 %4,011 %1,552 %2,902 %1,046 %14-0,176 %0,290 %4,029 %1,626 %2,956 %1,135 %15-0,145 %0,298 %4,041 %1,699 %3,003 %1,221 %16-0,133 %0,304 %4,050 %1,769 %3,045 %1,306 %17-0,131 %0,308 %4,056 %1,836 %3,082 %1,389 %18-0,126 %0,311 %4,059 %1,900 %3,115 %1,468 %19-0,110 %0,313 %4,061 %1,962 %3,144 %1,544 %20-0,078 %0,314 %4,061 %2,021 %3,171 %1,617 %21-0,028 %0,314 %4,060 %2,077 %3,196 %1,686 %220,037 %0,314 %4,058 %2,130 %3,218 %1,753 %230,110 %0,313 %4,055 %2,181 %3,239 %1,816 %240,189 %0,311 %4,052 %2,229 %3,258 %1,876 %250,271 %0,308 %4,048 %2,276 %3,276 %1,933 %260,355 %0,305 %4,044 %2,320 %3,292 %1,988 %270,439 %0,301 %4,039 %2,361 %3,307 %2,040 %280,522 %0,298 %4,035 %2,401 %3,322 %2,090 %290,604 %0,296 %4,030 %2,439 %3,335 %2,137 %300,685 %0,295 %4,025 %2,476 %3,348 %2,182 %310,763 %0,294 %4,020 %2,510 %3,359 %2,225 %320,838 %0,294 %4,015 %2,543 %3,370 %2,266 %330,912 %0,294 %4,011 %2,575 %3,381 %2,305 %340,982 %0,293 %4,006 %2,605 %3,391 %2,343 % 351,051 %0,290 %4,001 %2,634 %3,400 %2,379 %361,116 %0,287 %3,996 %2,661 %3,409 %2,413 %371,180 %0,281 %3,992 %2,688 %3,418 %2,445 %381,241 %0,273 %3,987 %2,713 %3,426 %2,477 %391,299 %0,263 %3,983 %2,737 %3,433 %2,507 %401,355 %0,250 %3,978 %2,760 %3,441 %2,535 %411,410 %0,234 %3,974 %2,783 %3,448 %2,563 %421,462 %0,218 %3,970 %2,804 %3,454 %2,589 %431,512 %0,203 %3,966 %2,825 %3,461 %2,615 %441,560 %0,190 %3,962 %2,844 %3,467 %2,639 %451,606 %0,182 %3,958 %2,863 %3,473 %2,663 %461,650 %0,178 %3,954 %2,882 %3,478 %2,685 %471,693 %0,179 %3,951 %2,899 %3,484 %2,707 %481,735 %0,186 %3,947 %2,916 %3,489 %2,728 %491,774 %0,198 %3,944 %2,932 %3,494 %2,748 %501,813 %0,217 %3,940 %2,948 %3,499 %2,767 %511,849 %0,242 %3,937 %2,963 %3,503 %2,786 %521,885 %0,272 %3,934 %2,978 %3,508 %2,804 %531,919 %0,306 %3,931 %2,992 %3,512 %2,821 %541,953 %0,342 %3,928 %3,006 %3,516 %2,838 %551,985 %0,381 %3,925 %3,019 %3,520 %2,854 %562,015 %0,422 %3,922 %3,031 %3,524 %2,869 %572,045 %0,463 %3,919 %3,044 %3,528 %2,885 %582,074 %0,505 %3,916 %3,056 %3,532 %2,899 %592,102 %0,548 %3,914 %3,067 %3,535 %2,913 %602,129 %0,590 %3,911 %3,078 %3,539 %2,927 %612,155 %0,633 %3,909 %3,089 %3,542 %2,940 %

622,181 %0,675 %3,906 %3,100 %3,545 %2,953 %632,205 %0,717 %3,904 %3,110 %3,548 %2,966 %642,229 %0,758 %3,902 %3,120 %3,551 %2,978 %652,252 %0,799 %3,900 %3,129 %3,554 %2,990 %662,275 %0,839 %3,897 %3,138 %3,557 %3,001 %672,297 %0,878 %3,895 %3,148 %3,560 %3,012 %682,318 %0,917 %3,893 %3,156 %3,563 %3,023 %692,338 %0,955 %3,891 %3,165 %3,565 %3,033 %702,358 %0,992 %3,889 %3,173 %3,568 %3,043 %712,378 %1,028 %3,887 %3,181 %3,570 %3,053 %722,397 %1,064 %3,885 %3,189 %3,573 %3,063 %732,415 %1,099 %3,884 %3,197 %3,575 %3,072 %742,433 %1,133 %3,882 %3,204 %3,578 %3,081 %752,451 %1,166 %3,880 %3,211 %3,580 %3,090 %762,467 %1,199 %3,879 %3,218 %3,582 %3,099 %772,484 %1,231 %3,877 %3,225 %3,584 %3,107 %782,500 %1,262 %3,875 %3,232 %3,586 %3,115 %792,516 %1,293 %3,874 %3,238 %3,588 %3,123 %802,531 %1,323 %3,872 %3,245 %3,590 %3,131 %812,546 %1,352 %3,871 %3,251 %3,592 %3,139 %822,561 %1,380 %3,869 %3,257 %3,594 %3,146 %832,575 %1,408 %3,868 %3,263 %3,596 %3,153 %842,589 %1,436 %3,866 %3,269 %3,598 %3,160 %852,602 %1,462 %3,865 %3,274 %3,599 %3,167 %862,616 %1,488 %3,864 %3,280 %3,601 %3,174 %872,629 %1,514 %3,862 %3,285 %3,603 %3,181 %882,641 %1,539 %3,861 %3,290 %3,604 %3,187 % 892,654 %1,563 %3,860 %3,296 %3,606 %3,193 %902,666 %1,587 %3,859 %3,301 %3,608 %3,200 %912,678 %1,611 %3,858 %3,306 %3,609 %3,206 %922,689 %1,634 %3,856 %3,310 %3,611 %3,212 %932,701 %1,656 %3,855 %3,315 %3,612 %3,217 %942,712 %1,678 %3,854 %3,320 %3,614 %3,223 %952,723 %1,699 %3,853 %3,324 %3,615 %3,229 %962,733 %1,721 %3,852 %3,329 %3,616 %3,234 %972,744 %1,741 %3,851 %3,333 %3,618 %3,239 %982,754 %1,762 %3,850 %3,337 %3,619 %3,244 %992,764 %1,781 %3,849 %3,341 %3,620 %3,250 %1002,774 %1,801 %3,848 %3,345 %3,622 %3,255 %1012,783 %1,820 %3,847 %3,349 %3,623 %3,259 %1022,793 %1,839 %3,846 %3,353 %3,624 %3,264 %1032,802 %1,857 %3,845 %3,357 %3,625 %3,269 %1042,811 %1,875 %3,844 %3,361 %3,627 %3,274 %1052,820 %1,893 %3,843 %3,365 %3,628 %3,278 %1062,829 %1,910 %3,842 %3,368 %3,629 %3,282 %1072,837 %1,927 %3,842 %3,372 %3,630 %3,287 %1082,846 %1,944 %3,841 %3,375 %3,631 %3,291 %1092,854 %1,960 %3,840 %3,379 %3,632 %3,295 %1102,862 %1,976 %3,839 %3,382 %3,633 %3,299 %1112,870 %1,992 %3,838 %3,385 %3,634 %3,303 %1122,878 %2,008 %3,837 %3,389 %3,635 %3,307 %1132,886 %2,023 %3,837 %3,392 %3,636 %3,311 %1142,893 %2,038 %3,836 %3,395 %3,637 %3,315 %1152,901 %2,053 %3,835 %3,398 %3,638 %3,319 % 1162,908 %2,067 %3,834 %3,401 %3,639 %3,323 %1172,915 %2,082 %3,834 %3,404 %3,640 %3,326 %1182,922 %2,096 %3,833 %3,407 %3,641 %3,330 %1192,929 %2,109 %3,832 %3,410 %3,642 %3,333 %1202,936 %2,123 %3,832 %3,413 %3,643 %3,337 %1212,943 %2,136 %3,831 %3,416 %3,644 %3,340 %1222,949 %2,149 %3,830 %3,418 %3,645 %3,344 %1232,956 %2,162 %3,830 %3,421 %3,646 %3,347 %1242,962 %2,175 %3,829 %3,424 %3,646 %3,350 %1252,968 %2,188 %3,828 %3,426 %3,647 %3,353 %1262,974 %2,200 %3,828 %3,429 %3,648 %3,357 %1272,981 %2,212 %3,827 %3,431 %3,649 %3,360 %1282,987 %2,224 %3,827 %3,434 %3,650 %3,363 %1292,992 %2,236 %3,826 %3,436 %3,650 %3,366 %1302,998 %2,247 %3,825 %3,439 %3,651 %3,369 %1313,004 %2,259 %3,825 %3,441 %3,652 %3,372 %1323,010 %2,270 %3,824 %3,443 %3,653 %3,374 %1333,015 %2,281 %3,824 %3,446 %3,653 %3,377 %1343,021 %2,292 %3,823 %3,448 %3,654 %3,380 %1353,026 %2,302 %3,823 %3,450 %3,655 %3,383 %1363,031 %2,313 %3,822 %3,452 %3,656 %3,385 %1373,036 %2,323 %3,821 %3,455 %3,656 %3,388 %1383,042 %2,334 %3,821 %3,457 %3,657 %3,391 %1393,047 %2,344 %3,820 %3,459 %3,658 %3,393 %1403,052 %2,354 %3,820 %3,461 %3,658 %3,396 %1413,057 %2,364 %3,819 %3,463 %3,659 %3,398 %1423,062 %2,373 %3,819 %3,465 %3,660 %3,401 %

1433,066 %2,383 %3,818 %3,467 %3,660 %3,403 %1443,071 %2,392 %3,818 %3,469 %3,661 %3,406 %1453,076 %2,402 %3,818 %3,471 %3,661 %3,408 %1463,080 %2,411 %3,817 %3,473 %3,662 %3,410 %1473,085 %2,420 %3,817 %3,475 %3,663 %3,413 %1483,089 %2,429 %3,816 %3,476 %3,663 %3,415 %1493,094 %2,438 %3,816 %3,478 %3,664 %3,417 %1503,098 %2,446 %3,815 %3,480 %3,664 %3,419 %Term to maturity (in years)Swiss francAustralian dollarBahtCanadian dollarChilean pesoColombian peso1-0,737 %0,052 %0,101 %0,334 %0,011 %1,787 %2-0,736 %0,096 %0,112 %0,392 %-0,050 %2,643 %3-0,724 %0,138 %0,211 %0,454 %0,007 %3,237 %4-0,693 %0,202 %0,345 %0,525 %0,250 %3,683 %5-0,642 %0,280 %0,482 %0,586 %0,576 %4,124 %6-0,577 %0,368 %0,610 %0,640 %0,923 %4,612 %7-0,513 %0,466 %0,727 %0,695 %1,277 %5,164 %8-0,461 %0,571 %0,834 %0,756 %1,634 %5,766 %9-0,425 %0,671 %0,930 %0,809 %1,969 %6,385 %10-0,408 %0,758 %1,017 %0,849 %2,261 %6,990 %11-0,407 %0,828 %1,096 %0,872 %2,501 %7,466 %12-0,417 %0,884 %1,166 %0,884 %2,700 %7,817 %13-0,430 %0,927 %1,226 %0,891 %2,866 %8,070 %14-0,443 %0,960 %1,282 %0,895 %3,006 %8,248 %15-0,452 %0,986 %1,339 %0,899 %3,127 %8,366 %16-0,458 %1,006 %1,400 %0,905 %3,231 %8,437 %17-0,459 %1,022 %1,463 %0,912 %3,321 %8,471 % 18-0,454 %1,037 %1,526 %0,922 %3,401 %8,475 %19-0,443 %1,050 %1,590 %0,934 %3,471 %8,456 %20-0,427 %1,062 %1,653 %0,949 %3,534 %8,418 %21-0,405 %1,074 %1,715 %0,967 %3,589 %8,367 %22-0,377 %1,084 %1,775 %0,988 %3,639 %8,306 %23-0,343 %1,091 %1,833 %1,011 %3,684 %8,237 %24-0,303 %1,092 %1,889 %1,037 %3,725 %8,162 %25-0,258 %1,087 %1,942 %1,065 %3,762 %8,084 %26-0,207 %1,077 %1,994 %1,096 %3,796 %8,003 %27-0,151 %1,065 %2,044 %1,129 %3,827 %7,921 %28-0,093 %1,057 %2,092 %1,165 %3,855 %7,839 %29-0,033 %1,055 %2,138 %1,203 %3,881 %7,758 %300,027 %1,062 %2,181 %1,243 %3,906 %7,677 %310,087 %1,079 %2,223 %1,286 %3,928 %7,598 %320,147 %1,105 %2,264 %1,330 %3,948 %7,521 %330,206 %1,136 %2,302 %1,375 %3,968 %7,446 %340,263 %1,172 %2,339 %1,421 %3,986 %7,373 %350,320 %1,211 %2,374 %1,467 %4,002 %7,303 %360,375 %1,253 %2,408 %1,513 %4,018 %7,234 %370,428 %1,295 %2,441 %1,558 %4,033 %7,168 %380,480 %1,339 %2,472 %1,602 %4,047 %7,105 %390,530 %1,383 %2,502 %1,646 %4,060 %7,044 %400,579 %1,427 %2,530 %1,689 %4,072 %6,985 %410,625 %1,470 %2,558 %1,730 %4,083 %6,928 %420,671 %1,513 %2,584 %1,771 %4,094 %6,873 %430,715 %1,556 %2,610 %1,810 %4,105 %6,821 %440,757 %1,597 %2,634 %1,849 %4,114 %6,770 % 450,798 %1,638 %2,658 %1,886 %4,124 %6,721 %460,837 %1,678 %2,680 %1,922 %4,133 %6,675 %470,875 %1,717 %2,702 %1,957 %4,141 %6,629 %480,912 %1,754 %2,723 %1,991 %4,149 %6,586 %490,948 %1,791 %2,743 %2,024 %4,157 %6,544 %500,982 %1,827 %2,762 %2,056 %4,164 %6,504 %511,015 %1,862 %2,781 %2,087 %4,171 %6,465 %521,047 %1,895 %2,799 %2,117 %4,178 %6,428 %531,078 %1,928 %2,816 %2,146 %4,184 %6,392 %541,108 %1,960 %2,833 %2,174 %4,190 %6,357 %551,137 %1,991 %2,849 %2,201 %4,196 %6,323 %561,165 %2,021 %2,865 %2,228 %4,202 %6,291 %571,192 %2,050 %2,880 %2,253 %4,207 %6,259 %581,218 %2,078 %2,895 %2,278 %4,213 %6,229 %591,244 %2,105 %2,909 %2,302 %4,218 %6,200 %601,268 %2,132 %2,923 %2,326 %4,222 %6,171 %611,292 %2,157 %2,936 %2,348 %4,227 %6,144 %621,315 %2,182 %2,949 %2,370 %4,232 %6,117 %631,338 %2,207 %2,962 %2,392 %4,236 %6,092 %641,359 %2,230 %2,974 %2,413 %4,240 %6,067 %651,380 %2,253 %2,986 %2,433 %4,244 %6,042 %661,401 %2,275 %2,997 %2,452 %4,248 %6,019 %671,421 %2,297 %3,008 %2,471 %4,252 %5,996 %681,440 %2,318 %3,019 %2,490 %4,256 %5,974 %691,459 %2,338 %3,030 %2,508 %4,260 %5,953 %701,477 %2,358 %3,040 %2,525 %4,263 %5,932 %711,495 %2,378 %3,050 %2,542 %4,267 %5,911 %

721,512 %2,396 %3,059 %2,559 %4,270 %5,892 %731,529 %2,415 %3,069 %2,575 %4,273 %5,873 %741,545 %2,433 %3,078 %2,591 %4,276 %5,854 %751,561 %2,450 %3,087 %2,606 %4,279 %5,836 %761,577 %2,467 %3,096 %2,621 %4,282 %5,818 %771,592 %2,483 %3,104 %2,635 %4,285 %5,801 %781,607 %2,500 %3,112 %2,650 %4,288 %5,784 %791,621 %2,515 %3,120 %2,663 %4,290 %5,768 %801,635 %2,531 %3,128 %2,677 %4,293 %5,752 %811,649 %2,545 %3,136 %2,690 %4,296 %5,736 %821,662 %2,560 %3,143 %2,703 %4,298 %5,721 %831,675 %2,574 %3,151 %2,715 %4,301 %5,706 %841,688 %2,588 %3,158 %2,728 %4,303 %5,692 %851,700 %2,602 %3,165 %2,739 %4,305 %5,678 %861,712 %2,615 %3,171 %2,751 %4,308 %5,664 %871,724 %2,628 %3,178 %2,763 %4,310 %5,651 %881,736 %2,641 %3,184 %2,774 %4,312 %5,637 %891,747 %2,653 %3,191 %2,785 %4,314 %5,625 %901,758 %2,665 %3,197 %2,795 %4,316 %5,612 %911,769 %2,677 %3,203 %2,806 %4,318 %5,600 %921,780 %2,689 %3,209 %2,816 %4,320 %5,588 %931,790 %2,700 %3,215 %2,826 %4,322 %5,576 %941,800 %2,711 %3,220 %2,836 %4,324 %5,565 %951,810 %2,722 %3,226 %2,845 %4,326 %5,553 %961,820 %2,733 %3,231 %2,855 %4,328 %5,542 %971,829 %2,743 %3,237 %2,864 %4,330 %5,531 %981,839 %2,753 %3,242 %2,873 %4,331 %5,521 % 991,848 %2,763 %3,247 %2,882 %4,333 %5,510 %1001,857 %2,773 %3,252 %2,890 %4,335 %5,500 %1011,866 %2,783 %3,257 %2,899 %4,336 %5,490 %1021,874 %2,792 %3,262 %2,907 %4,338 %5,481 %1031,883 %2,801 %3,267 %2,915 %4,340 %5,471 %1041,891 %2,810 %3,271 %2,923 %4,341 %5,462 %1051,899 %2,819 %3,276 %2,931 %4,343 %5,452 %1061,907 %2,828 %3,280 %2,939 %4,344 %5,443 %1071,915 %2,837 %3,285 %2,946 %4,346 %5,435 %1081,923 %2,845 %3,289 %2,954 %4,347 %5,426 %1091,930 %2,853 %3,293 %2,961 %4,348 %5,417 %1101,938 %2,861 %3,297 %2,968 %4,350 %5,409 %1111,945 %2,869 %3,301 %2,975 %4,351 %5,401 %1121,952 %2,877 %3,305 %2,982 %4,352 %5,393 %1131,959 %2,885 %3,309 %2,989 %4,354 %5,385 %1141,966 %2,893 %3,313 %2,995 %4,355 %5,377 %1151,973 %2,900 %3,317 %3,002 %4,356 %5,369 %1161,980 %2,907 %3,321 %3,008 %4,358 %5,362 %1171,986 %2,914 %3,324 %3,015 %4,359 %5,354 %1181,993 %2,921 %3,328 %3,021 %4,360 %5,347 %1191,999 %2,928 %3,331 %3,027 %4,361 %5,340 %1202,005 %2,935 %3,335 %3,033 %4,362 %5,333 %1212,011 %2,942 %3,338 %3,039 %4,363 %5,326 %1222,017 %2,949 %3,342 %3,045 %4,365 %5,319 %1232,023 %2,955 %3,345 %3,051 %4,366 %5,313 %1242,029 %2,961 %3,348 %3,056 %4,367 %5,306 %1252,035 %2,968 %3,351 %3,062 %4,368 %5,300 % 1262,041 %2,974 %3,355 %3,067 %4,369 %5,293 %1272,046 %2,980 %3,358 %3,072 %4,370 %5,287 %1282,052 %2,986 %3,361 %3,078 %4,371 %5,281 %1292,057 %2,992 %3,364 %3,083 %4,372 %5,275 %1302,062 %2,998 %3,367 %3,088 %4,373 %5,269 %1312,067 %3,003 %3,370 %3,093 %4,374 %5,263 %1322,073 %3,009 %3,373 %3,098 %4,375 %5,257 %1332,078 %3,015 %3,375 %3,103 %4,376 %5,251 %1342,083 %3,020 %3,378 %3,108 %4,377 %5,246 %1352,088 %3,025 %3,381 %3,112 %4,378 %5,240 %1362,093 %3,031 %3,384 %3,117 %4,378 %5,235 %1372,097 %3,036 %3,386 %3,122 %4,379 %5,229 %1382,102 %3,041 %3,389 %3,126 %4,380 %5,224 %1392,107 %3,046 %3,392 %3,131 %4,381 %5,219 %1402,111 %3,051 %3,394 %3,135 %4,382 %5,214 %1412,116 %3,056 %3,397 %3,140 %4,383 %5,208 %1422,120 %3,061 %3,399 %3,144 %4,384 %5,203 %1432,125 %3,066 %3,402 %3,148 %4,384 %5,199 %1442,129 %3,071 %3,404 %3,152 %4,385 %5,194 %1452,133 %3,075 %3,406 %3,156 %4,386 %5,189 %1462,137 %3,080 %3,409 %3,160 %4,387 %5,184 %1472,142 %3,084 %3,411 %3,164 %4,388 %5,179 %1482,146 %3,089 %3,413 %3,168 %4,388 %5,175 %1492,150 %3,093 %3,416 %3,172 %4,389 %5,170 %1502,154 %3,098 %3,418 %3,176 %4,390 %5,166 %

Term to maturity (in years)Hong Kong dollarIndian rupeeMexican pesoNew Taiwan dollarNew Zealand dollarRand10,411 %3,377 %4,173 %0,040 %0,035 %3,280 %20,370 %3,878 %4,126 %0,067 %-0,002 %3,447 %30,370 %4,354 %4,235 %0,093 %0,018 %3,821 %40,396 %4,769 %4,423 %0,118 %0,068 %4,383 %50,441 %5,132 %4,598 %0,142 %0,135 %4,983 %60,501 %5,425 %4,833 %0,166 %0,213 %5,553 %70,561 %5,656 %5,075 %0,190 %0,297 %6,078 %80,614 %5,841 %5,279 %0,213 %0,378 %6,552 %90,657 %5,979 %5,455 %0,236 %0,455 %6,977 %100,687 %6,090 %5,617 %0,258 %0,527 %7,349 %110,705 %6,170 %5,771 %0,307 %0,583 %7,670 %120,721 %6,227 %5,917 %0,379 %0,626 %7,943 %130,741 %6,267 %6,052 %0,465 %0,664 %8,171 %140,771 %6,292 %6,175 %0,557 %0,699 %8,354 %150,812 %6,308 %6,285 %0,653 %0,735 %8,491 %160,866 %6,316 %6,381 %0,749 %0,773 %8,584 %170,928 %6,318 %6,464 %0,845 %0,814 %8,640 %180,996 %6,316 %6,531 %0,938 %0,859 %8,667 %191,067 %6,310 %6,583 %1,029 %0,908 %8,670 %201,139 %6,301 %6,619 %1,117 %0,963 %8,655 %211,211 %6,291 %6,638 %1,201 %1,022 %8,627 %221,282 %6,279 %6,644 %1,282 %1,085 %8,587 %231,352 %6,265 %6,639 %1,360 %1,150 %8,539 %241,420 %6,251 %6,626 %1,434 %1,215 %8,486 %251,486 %6,237 %6,606 %1,504 %1,280 %8,428 %261,550 %6,222 %6,582 %1,572 %1,345 %8,367 % 271,612 %6,207 %6,553 %1,636 %1,408 %8,304 %281,671 %6,192 %6,522 %1,698 %1,469 %8,241 %291,729 %6,178 %6,490 %1,757 %1,529 %8,177 %301,783 %6,163 %6,455 %1,813 %1,587 %8,114 %311,836 %6,148 %6,420 %1,866 %1,643 %8,051 %321,886 %6,134 %6,385 %1,917 %1,697 %7,990 %331,935 %6,120 %6,350 %1,965 %1,749 %7,930 %341,981 %6,107 %6,315 %2,012 %1,800 %7,871 %352,026 %6,093 %6,281 %2,056 %1,848 %7,814 %362,068 %6,080 %6,247 %2,099 %1,894 %7,759 %372,109 %6,068 %6,214 %2,139 %1,939 %7,706 %382,148 %6,056 %6,181 %2,178 %1,982 %7,654 %392,186 %6,044 %6,150 %2,215 %2,023 %7,604 %402,222 %6,032 %6,119 %2,251 %2,062 %7,556 %412,257 %6,021 %6,090 %2,285 %2,101 %7,510 %422,290 %6,010 %6,061 %2,318 %2,137 %7,465 %432,322 %6,000 %6,033 %2,349 %2,172 %7,422 %442,352 %5,990 %6,006 %2,380 %2,206 %7,380 %452,382 %5,980 %5,980 %2,409 %2,238 %7,340 %462,410 %5,971 %5,955 %2,437 %2,270 %7,302 %472,437 %5,962 %5,931 %2,463 %2,300 %7,265 %482,464 %5,953 %5,907 %2,489 %2,329 %7,229 %492,489 %5,944 %5,885 %2,514 %2,357 %7,195 %502,513 %5,936 %5,863 %2,538 %2,384 %7,162 %512,537 %5,928 %5,842 %2,561 %2,410 %7,130 %522,560 %5,920 %5,821 %2,583 %2,435 %7,099 %532,581 %5,913 %5,801 %2,605 %2,459 %7,069 % 542,603 %5,905 %5,782 %2,625 %2,482 %7,040 %552,623 %5,898 %5,764 %2,645 %2,505 %7,012 %562,643 %5,891 %5,746 %2,665 %2,527 %6,985 %572,662 %5,885 %5,729 %2,683 %2,548 %6,960 %582,680 %5,878 %5,712 %2,701 %2,568 %6,934 %592,698 %5,872 %5,696 %2,719 %2,588 %6,910 %602,715 %5,866 %5,680 %2,736 %2,607 %6,887 %612,732 %5,860 %5,665 %2,752 %2,625 %6,864 %622,748 %5,855 %5,650 %2,768 %2,643 %6,842 %632,764 %5,849 %5,636 %2,783 %2,661 %6,821 %642,779 %5,844 %5,622 %2,798 %2,677 %6,800 %652,794 %5,839 %5,609 %2,813 %2,694 %6,780 %662,808 %5,834 %5,596 %2,827 %2,710 %6,761 %672,822 %5,829 %5,583 %2,841 %2,725 %6,742 %682,836 %5,824 %5,571 %2,854 %2,740 %6,723 %692,849 %5,819 %5,559 %2,867 %2,754 %6,706 %702,862 %5,815 %5,548 %2,879 %2,769 %6,688 %712,874 %5,810 %5,536 %2,891 %2,782 %6,672 %722,886 %5,806 %5,525 %2,903 %2,796 %6,655 %732,898 %5,802 %5,515 %2,915 %2,809 %6,639 %742,909 %5,798 %5,505 %2,926 %2,821 %6,624 %752,920 %5,794 %5,494 %2,937 %2,834 %6,609 %762,931 %5,790 %5,485 %2,947 %2,845 %6,594 %772,942 %5,786 %5,475 %2,958 %2,857 %6,580 %782,952 %5,783 %5,466 %2,968 %2,869 %6,566 %792,962 %5,779 %5,457 %2,978 %2,880 %6,552 %802,972 %5,776 %5,448 %2,987 %2,890 %6,539 %

812,982 %5,772 %5,439 %2,997 %2,901 %6,526 %822,991 %5,769 %5,431 %3,006 %2,911 %6,514 %833,000 %5,766 %5,423 %3,015 %2,921 %6,502 %843,009 %5,763 %5,414 %3,024 %2,931 %6,490 %853,018 %5,759 %5,407 %3,032 %2,941 %6,478 %863,026 %5,756 %5,399 %3,040 %2,950 %6,466 %873,034 %5,754 %5,392 %3,048 %2,959 %6,455 %883,042 %5,751 %5,384 %3,056 %2,968 %6,444 %893,050 %5,748 %5,377 %3,064 %2,977 %6,434 %903,058 %5,745 %5,370 %3,072 %2,986 %6,423 %913,066 %5,742 %5,363 %3,079 %2,994 %6,413 %923,073 %5,740 %5,357 %3,086 %3,002 %6,403 %933,080 %5,737 %5,350 %3,094 %3,010 %6,393 %943,087 %5,735 %5,344 %3,101 %3,018 %6,384 %953,094 %5,732 %5,337 %3,107 %3,026 %6,375 %963,101 %5,730 %5,331 %3,114 %3,033 %6,365 %973,108 %5,727 %5,325 %3,121 %3,041 %6,356 %983,114 %5,725 %5,319 %3,127 %3,048 %6,348 %993,121 %5,723 %5,314 %3,133 %3,055 %6,339 %1003,127 %5,721 %5,308 %3,139 %3,062 %6,331 %1013,133 %5,718 %5,302 %3,145 %3,069 %6,322 %1023,139 %5,716 %5,297 %3,151 %3,075 %6,314 %1033,145 %5,714 %5,292 %3,157 %3,082 %6,306 %1043,151 %5,712 %5,286 %3,163 %3,088 %6,299 %1053,157 %5,710 %5,281 %3,168 %3,094 %6,291 %1063,162 %5,708 %5,276 %3,174 %3,101 %6,283 %1073,168 %5,706 %5,271 %3,179 %3,107 %6,276 % 1083,173 %5,704 %5,266 %3,184 %3,113 %6,269 %1093,178 %5,702 %5,262 %3,190 %3,118 %6,262 %1103,183 %5,701 %5,257 %3,195 %3,124 %6,255 %1113,189 %5,699 %5,252 %3,200 %3,130 %6,248 %1123,194 %5,697 %5,248 %3,205 %3,135 %6,241 %1133,198 %5,695 %5,244 %3,209 %3,141 %6,235 %1143,203 %5,693 %5,239 %3,214 %3,146 %6,228 %1153,208 %5,692 %5,235 %3,219 %3,151 %6,222 %1163,213 %5,690 %5,231 %3,223 %3,156 %6,216 %1173,217 %5,689 %5,227 %3,228 %3,161 %6,210 %1183,222 %5,687 %5,223 %3,232 %3,166 %6,203 %1193,226 %5,685 %5,219 %3,237 %3,171 %6,198 %1203,231 %5,684 %5,215 %3,241 %3,176 %6,192 %1213,235 %5,682 %5,211 %3,245 %3,181 %6,186 %1223,239 %5,681 %5,207 %3,249 %3,186 %6,180 %1233,243 %5,679 %5,203 %3,253 %3,190 %6,175 %1243,247 %5,678 %5,200 %3,257 %3,195 %6,169 %1253,251 %5,676 %5,196 %3,261 %3,199 %6,164 %1263,255 %5,675 %5,193 %3,265 %3,203 %6,159 %1273,259 %5,674 %5,189 %3,269 %3,208 %6,153 %1283,263 %5,672 %5,186 %3,273 %3,212 %6,148 %1293,267 %5,671 %5,182 %3,276 %3,216 %6,143 %1303,270 %5,670 %5,179 %3,280 %3,220 %6,138 %1313,274 %5,668 %5,176 %3,284 %3,224 %6,133 %1323,278 %5,667 %5,172 %3,287 %3,228 %6,129 %1333,281 %5,666 %5,169 %3,291 %3,232 %6,124 %1343,285 %5,665 %5,166 %3,294 %3,236 %6,119 % 1353,288 %5,663 %5,163 %3,297 %3,240 %6,115 %1363,292 %5,662 %5,160 %3,301 %3,243 %6,110 %1373,295 %5,661 %5,157 %3,304 %3,247 %6,106 %1383,298 %5,660 %5,154 %3,307 %3,251 %6,101 %1393,301 %5,659 %5,151 %3,310 %3,254 %6,097 %1403,305 %5,658 %5,148 %3,313 %3,258 %6,093 %1413,308 %5,656 %5,145 %3,317 %3,261 %6,088 %1423,311 %5,655 %5,143 %3,320 %3,265 %6,084 %1433,314 %5,654 %5,140 %3,323 %3,268 %6,080 %1443,317 %5,653 %5,137 %3,326 %3,272 %6,076 %1453,320 %5,652 %5,134 %3,328 %3,275 %6,072 %1463,323 %5,651 %5,132 %3,331 %3,278 %6,068 %1473,326 %5,650 %5,129 %3,334 %3,281 %6,064 %1483,329 %5,649 %5,127 %3,337 %3,284 %6,061 %1493,331 %5,648 %5,124 %3,340 %3,288 %6,057 %1503,334 %5,647 %5,122 %3,343 %3,291 %6,053 %Term to maturity (in years)RealRenminbi-yuanRinggitRussian roubleSingapore dollarSouth Korean won12,140 %1,792 %1,645 %3,942 %-0,025 %0,421 %23,251 %1,843 %1,832 %4,203 %0,025 %0,451 %34,244 %1,914 %1,966 %4,464 %0,088 %0,481 %45,006 %1,996 %2,103 %4,701 %0,163 %0,504 %55,606 %2,083 %2,255 %4,934 %0,248 %0,516 %66,062 %2,174 %2,403 %5,138 %0,339 %0,525 %76,421 %2,264 %2,534 %5,318 %0,422 %0,544 %86,710 %2,352 %2,650 %5,477 %0,489 %0,576 %96,947 %2,437 %2,750 %5,616 %0,537 %0,598 %

107,152 %2,518 %2,845 %5,737 %0,564 %0,595 %117,302 %2,595 %2,939 %5,844 %0,571 %0,563 %127,403 %2,669 %3,032 %5,939 %0,569 %0,516 %137,467 %2,739 %3,122 %6,019 %0,566 %0,466 %147,504 %2,805 %3,211 %6,083 %0,564 %0,423 %157,520 %2,868 %3,301 %6,129 %0,568 %0,389 %167,521 %2,927 %3,393 %6,158 %0,580 %0,368 %177,509 %2,983 %3,484 %6,173 %0,599 %0,361 %187,489 %3,036 %3,569 %6,176 %0,627 %0,368 %197,462 %3,086 %3,647 %6,170 %0,664 %0,389 %207,430 %3,133 %3,715 %6,157 %0,710 %0,424 %217,394 %3,178 %3,770 %6,139 %0,766 %0,474 %227,356 %3,221 %3,816 %6,118 %0,827 %0,533 %237,316 %3,261 %3,852 %6,094 %0,893 %0,599 %247,275 %3,299 %3,882 %6,067 %0,960 %0,669 %257,234 %3,336 %3,905 %6,039 %1,029 %0,742 %267,193 %3,371 %3,924 %6,011 %1,097 %0,815 %277,152 %3,403 %3,939 %5,981 %1,165 %0,888 %287,112 %3,435 %3,951 %5,952 %1,231 %0,960 %297,073 %3,465 %3,959 %5,923 %1,296 %1,030 %307,034 %3,493 %3,966 %5,894 %1,359 %1,100 %316,996 %3,520 %3,971 %5,865 %1,420 %1,167 %326,960 %3,546 %3,974 %5,837 %1,480 %1,232 %336,924 %3,571 %3,976 %5,810 %1,537 %1,295 %346,890 %3,595 %3,976 %5,783 %1,592 %1,356 %356,856 %3,617 %3,976 %5,757 %1,645 %1,415 %366,824 %3,639 %3,976 %5,732 %1,697 %1,472 % 376,793 %3,659 %3,974 %5,707 %1,746 %1,527 %386,763 %3,679 %3,973 %5,683 %1,793 %1,579 %396,734 %3,698 %3,970 %5,660 %1,839 %1,630 %406,707 %3,717 %3,968 %5,638 %1,882 %1,678 %416,680 %3,734 %3,965 %5,616 %1,925 %1,725 %426,654 %3,751 %3,962 %5,596 %1,965 %1,770 %436,629 %3,767 %3,960 %5,576 %2,004 %1,813 %446,605 %3,782 %3,957 %5,556 %2,041 %1,854 %456,582 %3,797 %3,953 %5,538 %2,077 %1,894 %466,560 %3,812 %3,950 %5,519 %2,112 %1,933 %476,538 %3,826 %3,947 %5,502 %2,145 %1,970 %486,517 %3,839 %3,944 %5,485 %2,177 %2,005 %496,497 %3,852 %3,941 %5,469 %2,208 %2,040 %506,478 %3,864 %3,938 %5,453 %2,238 %2,073 %516,460 %3,876 %3,935 %5,438 %2,267 %2,105 %526,442 %3,888 %3,932 %5,423 %2,295 %2,136 %536,424 %3,899 %3,929 %5,409 %2,321 %2,165 %546,408 %3,909 %3,926 %5,396 %2,347 %2,194 %556,391 %3,920 %3,923 %5,382 %2,372 %2,222 %566,376 %3,930 %3,920 %5,370 %2,396 %2,248 %576,361 %3,940 %3,918 %5,357 %2,420 %2,274 %586,346 %3,949 %3,915 %5,345 %2,442 %2,299 %596,332 %3,958 %3,912 %5,334 %2,464 %2,324 %606,318 %3,967 %3,910 %5,322 %2,485 %2,347 %616,305 %3,976 %3,907 %5,311 %2,506 %2,370 %626,292 %3,984 %3,905 %5,301 %2,525 %2,392 %636,279 %3,992 %3,903 %5,291 %2,545 %2,413 % 646,267 %4,000 %3,900 %5,281 %2,563 %2,434 %656,255 %4,007 %3,898 %5,271 %2,581 %2,454 %666,244 %4,015 %3,896 %5,262 %2,599 %2,473 %676,233 %4,022 %3,894 %5,253 %2,616 %2,492 %686,222 %4,029 %3,892 %5,244 %2,632 %2,510 %696,212 %4,035 %3,890 %5,235 %2,648 %2,528 %706,202 %4,042 %3,888 %5,227 %2,664 %2,545 %716,192 %4,048 %3,886 %5,219 %2,679 %2,562 %726,182 %4,055 %3,884 %5,211 %2,694 %2,579 %736,173 %4,061 %3,882 %5,203 %2,708 %2,595 %746,164 %4,066 %3,881 %5,196 %2,722 %2,610 %756,155 %4,072 %3,879 %5,189 %2,736 %2,625 %766,146 %4,078 %3,877 %5,181 %2,749 %2,640 %776,138 %4,083 %3,876 %5,175 %2,762 %2,654 %786,130 %4,089 %3,874 %5,168 %2,775 %2,668 %796,122 %4,094 %3,872 %5,161 %2,787 %2,682 %806,114 %4,099 %3,871 %5,155 %2,799 %2,695 %816,106 %4,104 %3,869 %5,149 %2,811 %2,708 %826,099 %4,109 %3,868 %5,143 %2,822 %2,721 %836,092 %4,113 %3,867 %5,137 %2,833 %2,733 %846,085 %4,118 %3,865 %5,131 %2,844 %2,745 %856,078 %4,122 %3,864 %5,125 %2,855 %2,757 %866,071 %4,127 %3,862 %5,120 %2,865 %2,768 %876,064 %4,131 %3,861 %5,114 %2,875 %2,779 %886,058 %4,135 %3,860 %5,109 %2,885 %2,790 %896,052 %4,139 %3,859 %5,104 %2,895 %2,801 %906,046 %4,143 %3,857 %5,099 %2,904 %2,812 %

916,040 %4,147 %3,856 %5,094 %2,913 %2,822 %926,034 %4,151 %3,855 %5,089 %2,922 %2,832 %936,028 %4,155 %3,854 %5,084 %2,931 %2,842 %946,022 %4,158 %3,853 %5,080 %2,940 %2,851 %956,017 %4,162 %3,852 %5,075 %2,948 %2,861 %966,011 %4,165 %3,851 %5,071 %2,957 %2,870 %976,006 %4,169 %3,850 %5,066 %2,965 %2,879 %986,001 %4,172 %3,849 %5,062 %2,973 %2,888 %995,996 %4,176 %3,848 %5,058 %2,981 %2,897 %1005,991 %4,179 %3,847 %5,054 %2,988 %2,905 %1015,986 %4,182 %3,846 %5,050 %2,996 %2,913 %1025,981 %4,185 %3,845 %5,046 %3,003 %2,922 %1035,977 %4,188 %3,844 %5,042 %3,011 %2,930 %1045,972 %4,191 %3,843 %5,038 %3,018 %2,937 %1055,967 %4,194 %3,842 %5,035 %3,025 %2,945 %1065,963 %4,197 %3,841 %5,031 %3,031 %2,953 %1075,959 %4,200 %3,840 %5,027 %3,038 %2,960 %1085,954 %4,203 %3,840 %5,024 %3,045 %2,967 %1095,950 %4,205 %3,839 %5,020 %3,051 %2,975 %1105,946 %4,208 %3,838 %5,017 %3,057 %2,982 %1115,942 %4,211 %3,837 %5,014 %3,064 %2,989 %1125,938 %4,213 %3,836 %5,010 %3,070 %2,995 %1135,934 %4,216 %3,836 %5,007 %3,076 %3,002 %1145,931 %4,218 %3,835 %5,004 %3,082 %3,009 %1155,927 %4,221 %3,834 %5,001 %3,087 %3,015 %1165,923 %4,223 %3,833 %4,998 %3,093 %3,021 %1175,919 %4,225 %3,833 %4,995 %3,099 %3,027 % 1185,916 %4,228 %3,832 %4,992 %3,104 %3,034 %1195,912 %4,230 %3,831 %4,989 %3,110 %3,040 %1205,909 %4,232 %3,831 %4,986 %3,115 %3,045 %1215,906 %4,234 %3,830 %4,984 %3,120 %3,051 %1225,902 %4,237 %3,829 %4,981 %3,125 %3,057 %1235,899 %4,239 %3,829 %4,978 %3,130 %3,063 %1245,896 %4,241 %3,828 %4,975 %3,135 %3,068 %1255,893 %4,243 %3,827 %4,973 %3,140 %3,074 %1265,889 %4,245 %3,827 %4,970 %3,145 %3,079 %1275,886 %4,247 %3,826 %4,968 %3,150 %3,084 %1285,883 %4,249 %3,826 %4,965 %3,155 %3,089 %1295,880 %4,251 %3,825 %4,963 %3,159 %3,094 %1305,877 %4,253 %3,824 %4,960 %3,164 %3,099 %1315,875 %4,255 %3,824 %4,958 %3,168 %3,104 %1325,872 %4,257 %3,823 %4,956 %3,173 %3,109 %1335,869 %4,258 %3,823 %4,953 %3,177 %3,114 %1345,866 %4,260 %3,822 %4,951 %3,181 %3,119 %1355,863 %4,262 %3,822 %4,949 %3,185 %3,124 %1365,861 %4,264 %3,821 %4,947 %3,189 %3,128 %1375,858 %4,265 %3,821 %4,945 %3,194 %3,133 %1385,856 %4,267 %3,820 %4,942 %3,198 %3,137 %1395,853 %4,269 %3,820 %4,940 %3,202 %3,141 %1405,850 %4,270 %3,819 %4,938 %3,205 %3,146 %1415,848 %4,272 %3,819 %4,936 %3,209 %3,150 %1425,845 %4,274 %3,818 %4,934 %3,213 %3,154 %1435,843 %4,275 %3,818 %4,932 %3,217 %3,158 %1445,841 %4,277 %3,817 %4,930 %3,221 %3,163 % 1455,838 %4,278 %3,817 %4,928 %3,224 %3,167 %1465,836 %4,280 %3,816 %4,926 %3,228 %3,171 %1475,834 %4,281 %3,816 %4,925 %3,231 %3,175 %1485,831 %4,283 %3,815 %4,923 %3,235 %3,178 %1495,829 %4,284 %3,815 %4,921 %3,238 %3,182 %1505,827 %4,286 %3,814 %4,919 %3,242 %3,186 %Term to maturity (in years)Turkish liraUS dollarYen18,466 %0,062 %-0,116 %29,188 %0,024 %-0,122 %39,694 %0,032 %-0,127 %410,213 %0,067 %-0,125 %510,732 %0,126 %-0,119 %611,234 %0,196 %-0,108 %711,754 %0,262 %-0,093 %812,303 %0,332 %-0,074 %912,798 %0,391 %-0,053 %1013,156 %0,443 %-0,030 %1113,389 %0,489 %-0,007 %1213,528 %0,528 %0,015 %1313,592 %0,560 %0,037 %1413,598 %0,588 %0,059 %1513,557 %0,612 %0,083 %1613,479 %0,635 %0,108 %1713,372 %0,656 %0,131 %1813,243 %0,674 %0,150 %1913,095 %0,688 %0,163 %

2012,935 %0,697 %0,168 %2112,766 %0,703 %0,167 %2212,591 %0,707 %0,162 %2312,413 %0,710 %0,157 %2412,234 %0,715 %0,155 %2512,055 %0,723 %0,156 %2611,878 %0,732 %0,163 %2711,705 %0,740 %0,176 %2811,535 %0,745 %0,195 %2911,370 %0,743 %0,221 %3011,209 %0,732 %0,255 %3111,054 %0,713 %0,296 %3210,904 %0,689 %0,343 %3310,760 %0,661 %0,394 %3410,622 %0,633 %0,447 %3510,488 %0,607 %0,503 %3610,360 %0,582 %0,558 %3710,237 %0,561 %0,615 %3810,120 %0,543 %0,671 %3910,007 %0,528 %0,726 %409,898 %0,517 %0,781 %419,794 %0,511 %0,835 %429,695 %0,508 %0,888 %439,599 %0,509 %0,939 %449,508 %0,513 %0,989 %459,420 %0,522 %1,038 %469,335 %0,534 %1,086 % 479,254 %0,549 %1,132 %489,176 %0,568 %1,177 %499,101 %0,590 %1,220 %509,029 %0,616 %1,263 %518,960 %0,646 %1,303 %528,893 %0,679 %1,343 %538,829 %0,713 %1,382 %548,767 %0,749 %1,419 %558,707 %0,786 %1,455 %568,649 %0,824 %1,490 %578,593 %0,863 %1,524 %588,539 %0,901 %1,557 %598,487 %0,940 %1,588 %608,437 %0,978 %1,619 %618,389 %1,016 %1,649 %628,341 %1,053 %1,678 %638,296 %1,091 %1,707 %648,252 %1,127 %1,734 %658,209 %1,163 %1,761 %668,167 %1,199 %1,787 %678,127 %1,233 %1,812 %688,088 %1,267 %1,836 %698,050 %1,301 %1,860 %708,013 %1,333 %1,883 %717,978 %1,365 %1,905 %727,943 %1,397 %1,927 %737,909 %1,427 %1,949 % 747,876 %1,457 %1,969 %757,844 %1,487 %1,989 %767,813 %1,515 %2,009 %777,783 %1,543 %2,028 %787,753 %1,571 %2,047 %797,724 %1,597 %2,065 %807,696 %1,624 %2,083 %817,669 %1,649 %2,100 %827,642 %1,674 %2,117 %837,616 %1,699 %2,134 %847,591 %1,722 %2,150 %857,566 %1,746 %2,166 %867,541 %1,769 %2,181 %877,518 %1,791 %2,196 %887,495 %1,813 %2,211 %897,472 %1,834 %2,225 %907,450 %1,855 %2,239 %917,428 %1,876 %2,253 %927,407 %1,896 %2,266 %937,386 %1,916 %2,280 %947,366 %1,935 %2,293 %957,346 %1,954 %2,305 %967,327 %1,972 %2,318 %977,308 %1,990 %2,330 %987,289 %2,008 %2,342 %997,271 %2,026 %2,353 %1007,253 %2,043 %2,365 % 1017,236 %2,059 %2,376 %1027,219 %2,076 %2,387 %1037,202 %2,092 %2,397 %1047,185 %2,108 %2,408 %1057,169 %2,123 %2,418 %1067,153 %2,138 %2,429 %1077,138 %2,153 %2,438 %1087,122 %2,168 %2,448 %1097,107 %2,182 %2,458 %1107,093 %2,197 %2,467 %1117,078 %2,210 %2,477 %1127,064 %2,224 %2,486 %1137,050 %2,237 %2,495 %1147,036 %2,251 %2,503 %1157,023 %2,264 %2,512 %1167,010 %2,276 %2,520 %1176,997 %2,289 %2,529 %1186,984 %2,301 %2,537 %1196,971 %2,313 %2,545 %1206,959 %2,325 %2,553 %1216,947 %2,337 %2,561 %1226,935 %2,348 %2,568 %1236,923 %2,360 %2,576 %1246,912 %2,371 %2,583 %1256,900 %2,382 %2,591 %1266,889 %2,392 %2,598 %1276,878 %2,403 %2,605 % 1286,867 %2,414 %2,612 %1296,857 %2,424 %2,619 %1306,846 %2,434 %2,625 %1316,836 %2,444 %2,632 %1326,826 %2,454 %2,639 %1336,816 %2,463 %2,645 %1346,806 %2,473 %2,651 %1356,796 %2,482 %2,658 %1366,786 %2,492 %2,664 %1376,777 %2,501 %2,670 %1386,768 %2,510 %2,676 %1396,758 %2,519 %2,682 %1406,749 %2,527 %2,688 %1416,740 %2,536 %2,693 %1426,732 %2,545 %2,699 %1436,723 %2,553 %2,705 %1446,715 %2,561 %2,710 %1456,706 %2,569 %2,716 %1466,698 %2,577 %2,721 %1476,690 %2,585 %2,726 %1486,681 %2,593 %2,731 %1496,674 %2,601 %2,737 %1506,666 %2,608 %2,742 %

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 RepublicCyprusDenmark10031502512003950410301445146040247534705045154500615545653072557595408265851153093760512510103862513500Duration (in years)EstoniaFinlandFranceGermanyGreeceHungaryIreland1000038841620000241422310002144254200018642654000171427650001684287500016542986010169230 97020171130108030173431Duration (in years)ItalyLatviaLithuaniaLuxembourgMaltaNetherlandsPoland1655016042141111022043191415025044221617026045241819027046251920028047272122029048282223130049302324230041031232523104Duration (in years)PortugalRomaniaSlovakiaSloveniaSpainSwedenUnited Kingdom125912185002411715211100346191825150044720193017005502120331900653232236200075424233822008532624392300951272540240010502525402500 Duration (in years)LiechtensteinNorwaySwitzerlandAustraliaBrazilCanadaChile10000120172000012019300001201840000120175000012016600001201570000120148000012015900001201610000012013Duration (in years)ChinaColombiaHong KongIndiaJapanMalaysiaMexico1011010009201801000932290100010423601000105338010001063410100010744301000108741010001095380100010105410101010Duration (in years)New ZealandRussiaSingaporeSouth AfricaSouth KoreaThailandTaiwan10006914200081204 30009120440008140450108150460509150470701015048011012150490170121504100170131504Duration (in years)United States102030405060708090100
2. 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 61620451182325481186262045118232548954372246112228545778 49254811422754464451027531172275445446113057122227544544712325912422754454481233581232275445449133358122227544544101335591222275445441114365912222754454412143759122227544544131437591222275445441415375912222754454415153759122227544544161537591222275445441715375912222754454418153759122227544544191537591222275445442016375912222754454421163759122227544544221737591222275445442317375912222754454424183759122227544544251837591222275445442620375912222754454427213759122227544544282137591222275445442922375912222754454430223759122227544544 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 6114275212523955611982152954127241557965317325512123755478741834581232365536525193662126236552552619386513023555255272039661322345515518193965130234550550919406512823355055010194064128233549549111941641272325495491219416312723154854813184163126231548548141841621262305475471518406212523054754716174061125229546546171740611242295465461817406112422954654619174061124229546546201740621252305465462118406212523054754722184162125230547547231841621252305475472418416212623054754725204162126230547547

2620416212623054754727214162126230547547282141621252305475472922416212523054754730224162125230547547 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 616204411823154811862620441182315489543722451112285447784825481142275436445102753117227543543611295712122754354371232591242275435438123258123227543543912335812222754354310133458122227543543111436591222275435431214365912222754354313143759122227543543141437591222275435431514375912222754354316143759122227543543171437591222275435431814375912222754354319143759122227543543 2016375912222754354321163759122227543543221737591222275435432317375912222754354324183759122227543543251837591222275435432620375912222754354327213759122227543543282137591222275435432922375912222754354330223759122227543543 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 61809311819130562211992769011418830161896838095118184300617792479951191842976146585789512218529561261267796123188293610610777961231892916086088769612218629060760797596121184289606606107293117181285602602117092115178283600600126991114177282598598136891113176281598598 146891112176280597597156891112175280597597166790112175279596596176790111174279596596186689111174278595595196588110173278594594206588109172277594594216487109172276593593226386108171276592592236285107170275591591246184106169274590590256083105168273589589265982104167272588588275881103166271587587285780102165270586586295679101164268585585305578100163267584584 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 611024481222355521192212265012423755495931429521182355517824163255121234551648517356112423455155161837641292345515517193966131234550550 81939651292335505509193964128233550550101940641282325495491119416412723254954912194264127232549549131942641272325495491419426412723254854815194264127232548548161942631262315485481719426312723154854818194263127231548548191942641272325485482020426412723254954921204364128232549549222043651282335495492320436512823354954924214365128233550550252143651282335505502621436512823355055027214365128233549549282143651282335495492922436512823354954930224365128232549549 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 614963871612745911191 253679116527859596335873961622795957884627810116728059765556481107171281597597665831111752815975977668511217728059759786585111175279596596963841091732785955951063841081722765935931162841071702755925921261831061692735905901360821041672725895891459811031662715885881558801021652705875871657791011642695865861756791001632685855851855789916326758458419547799162267584584205477981612665835832153769816126658258222537597160265582582235275961592645815812451749515926358058025507395158262579579264972941572625785782749719315626157857828487092155260577577

2947709115425957657630466990154258575575 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 61619441172315481185261944117231548953372245111227544777482448113226543644592753116226543543610295612122654354371231581232265435438113258122226543543912335812122654354310123458121226543543111335581212265435431213365812122654354313143658121226543543141437581212265435431514365812122654354316143658121226543543171436581212265435431814365812122654354319143658121226543543201636581212265435432116365812122654354322173658121226543543 2317365812122654354324183758121226543543251837581212265435432620375812122654354327213758121226543543282137581212265435432922375812122654354330223758121226543543 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 6182555149250566119628255514925056696239275513524656378441029571252445616505113158114243560560614346110724255955971637621002415575578173860932405565569204564872395555551019456284238555555111844618423755455412184361862365535531318446286235552552141844628623555155115184462862345515511618446286232549549 17184462862325485481818446286231548548191844628623154854820184462862315485482118446286231548548221844628623154854823184462862315475472418446286230547547251944628623054654626204462862295465462721446286229545545282144628622854554529224462862285445443022446286227544544 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 6186100124197311628124928498122196309626100938398121187304620824482991221873016176845819912518829861561568099126191296613613779981251912936106108779712318729160860897596120184289606606107495119183287604604 117395118181286603603127194116179284601601137093115178283599599146992113176281598598156890112175280597597166689111174279595595176588110173278594594186487109172277593593196486108171276593593206385107170275592592216285106169274591591226184105168273590590236083104167272589589245982103166271588588255880102165270587587265779101164269586586275678100163268585585285577991622675845842954769816126658358330537597160265582582 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 615872971702846001191257719616928359996035873961622785957854587498163276593652 557751011642745915916577510216727258958975676103168271588588855751011662695865869547499163268585585105374981622675835831153759816126658258212527597160265582582135274961592645815811451749615926358058015517395158263580580165072941572625795791749729315726157857818487193156261578578194871921562605775772048719215526057757721487092155260577577224770911552595765762347699115425957657624466990153258575575254568901532585745742645678915225757457427446788151256573573284366881512555725722943658715025557257230426586149254571571

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 6131457014325757311992324670144257574966332477013625356978843349721382515686535335077140250567567633527914424956656673453801462485655658335379143247564564932537814224756356310325478141246563563113254771412455625621232547714024456156113315476139244560560143154751382435605601530537413824255955916295274137242558558172952731362415585581829517313624155855819285173136241557557202851731362415575572128517313624155755722285173136241557557232851731362405575572428517213624055755725285172135240557557 2628507213524055755727275072135239556556282750711342395565562927497113423955655630264971134239555555 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 6103259921252911802152610021353095032528932105267754373096209526642549359920952554065113910320952552575144110620952552586144010520952552597154010420952552510816401042095255251191942105210526526129184010420852552513101941105209526526141120411042095265261512184010320852552516131739102207524524171317391022075245241814173910220752452419141839103207524524 2016194010320852552521161940103208525525221720401042085255252317204010320852552524182240103208525525251822401032085255252620234010320852552527202341103208524524282124431032085245242921264410320852452430222645103207524524 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 6147608515827258911952476085158272589962347628515126858478544864871532665836515486591155265582582648669415826458058074868951602635795798476793158262578578946679215626157757710466892155260577577114668911542595765761245689015325857557513456890153257574574 1445678915225757457415446788151256573573164366871512555725721742658715025557257218426586149254571571194264861492545715712041648614925457057021416485149253570570224163851482535705702340638514825256956924406284147252569569253962831462515685682638618314625156756727386082145250567567283760811442495665662936598114424856556530365880143248565565 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 611731551292425591196221355913324656396332540631292465627864294568134247564652531497513824856556563049761412465635637355581147249566566 83454801442485655659355680144249566566103758821452505675671138608314625156856812396284147252569569134062841472525695691440638514825356956915406385148253569569164063841472525695691740638414725256956918396284147251568568193962831462515685682039628314625156856821396283146251568568223961831462515685682338618314625156756724386182145250567567253760821452505665662637608114424956656627365981144249565565283659801432485655652935588014324856456430355879142247564564

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 611730551282425591200 2183256130243560967320355812424055778942137611262405566545234066130239556556624427013423955655672544711372395565568254571135239556556925467113523955655610264771135239556556112648721352405565561227497213524055655613275072135240556556142850721352405575571528507213524055755716275072135240556556172750721352405565561827507213524055655619275072135239556556202750721352405565562127507213524055655622275071135239556556232749711342395565562426497113423855555525264970133238555555262548701332385545542725486913223755455428254769132237554554 2924476913223655355330244768131236553553 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 6150648916227659211942536791165279595960357729516127859478445976991642785946515617910516827859559566381109173279595595764831101762785955958648411017427859559596384109173278595595106485110173278594594116486109173277594594126486109172277593593136486108171276593593146386107170275592592156285106169274591591166184106169273590590176083105168273589589186083104167272589589195982103167271588588205881103166271587587215880102165270587587225780101164269586586 23567910016426858558524557899163267584584255477991622665835832653769816126658258227527597160265581581285274961592645805802951739515826358058030507394157262579579 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 61829612019430762412282861001241983126289983881031261923096258204891051281943076246835921091351993096256256941121392043096266267951151422073106266268961161422073116276279971181432073116286281098119143207311628628119812014320631162862812971201422053106276271397119141204309626626149511814020330862462415941171382013066236231693115137200305622622 1791114135199303620620189011313419730261961919881111331963016176172087110131195299616616218610813019329861561522841071291922966136132383105127190295612612248110412518929361061025791021241872926086082678101122185290607607277699120184288605605287597119182287604604297396117181285602602307294116179284601601 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 6110244812223655212022132752125239555967317325512123755478842036591252385556535223965129239556556624426913423955655672545711372405565568254571136240556556925467113524055655610264771135240556556 1126487113523955655612264971134239556556132649711342385555551426487013323855555515254869132237554554162447681322365535531724466813123655355318234668131236552552192346671312355525522023466813123655255221234668131236552552222346681312365525522323466813123655255224234668131235552552252346671312355525522623466713023555255227234667130235552552282345671302355525522922456713023555155130224566130234551551

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 619510913320732163712582961101342083216381019397112135201317634836498114138203316633695 599116142206316633633699118145210315632632710012014721231563163181001201462103146316319991201452093136306301098120144207312629629119711914220631062762712961181402043086256251394117139202307623623149211513720030562162115911131351983036206201689111133196301618618178711013119529961661618851081301932986156151984107128192296613613208310612719129561261221821051261902946116112281104125188293610610238010212418729260960924791011231862916076072577100122185290606606267699120184288605605277598119182287604604287497118181286603603297396117180285602602307294116179284601601 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 6133034436944255687212732839712219530962510243871021251913086248374901061301953096256945931101362003106266266941131402053106276277961161422083106276278971171432073116286289971181432073116286281097119143206311628628119812014320631162862812981211432063116286281399122144207311628628141001231442073126296291510112314520831362962916101124146209314630630171021251472103156316311810312614821131663263219104127149212316633633201051281492123176346342110512814921231763463422105127149212317634634231041271482113166336332410312614721131563263225102125146210314631631 2610112414520831363063027100122144207312629629289812114220631062762729971201412043096266263095118140203308624624 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 6101236109223540119521113610922354096232133710321953678543153910421753465054174310621653354765184511021553253275204711221553253286204611021453153197204410821353053010820441082125295291192144108212529529129224410821252952913102344108212529529141123451082135295291512234510821353053016132345108213530530171324451092135305301814244610921453153119152547110214531531 2016264711121553253221172748111216533533221727491122175345342318284911321753453424182850113218535535252029501142185355352620295111421953553527212951114219536536282130511142195365362922305211521953653630223052115220536536 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 61526691164278594119525367921652795959613546992158275591784455719516027359065055573991622725895896567410216627258858875675102168270587587855751011662705865869557610016426958658610547599163268584584115375981612665835831252749716026558158113517395158263580580 1450729415726257957915487193156260577577164769911542595765761746689015325857557518446789152257574574194466881512565735732043668715125557257221436587150255572572224265861492545715712341648614925457057024416385148253570570254063841472525695692639628414725156856827396183146251568568283861821452505675672937608214524956656630375981144249566566

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 6111613015422834165812562117131155229342659101331201351582243406578304122138161227340657692512314116723034065765761241431702353406576577125145171237339656656 8124145170235339656656912414517023333865565510123145169232337654654111231451682313366536531212214416622933465165113120143164228332649649141181411622263306476471511613916022332864564516113136158221326643643171111341562193246406401810913215421732263863819107130152215320636636201061281502133186356352110412714821131663363322102125146210314631631231001231452083126296292498121143206311627627259711914120430962662626951181392023076246242793116137200305622622289111413619930462062029901121341973026196193088111132196300617617 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 611691832072813947111234 21781922172904047201007318419922228840572183141872032262924057227225188205231295405722722618820623429840472072071882072343004027197198187207233297401718718918520623129540071671610185206230293398715715111832052282923967137131218120422628939471171113179201223286391708708141761992202833887057051517319621728038570270216170192214277382699699171671892112743796966961816418620827137669369319161183205268373690690201581802022653706876872115517719926236768468422151174196259364680680231481711932563616776772414516819025335767467425142165187250354671671261391621842473516686682713615918124434866566528133156178241346662662 2913115317523834366066030128151172236340657657 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 6131446914225657312282314570143257573989333487113725357080743450731392525696695355278141251568568635538114525156756773555821472505675678345480145249565565933547914324856556510335579142247564564113355781422465635631233557814124656256213335577140245562562143255771402455615611532557614024456156116325576139244561561173255761392445615611832557613924456156119325576140244561561203255761402445615612132557614024456156122325576140244561561 2332557613924456156124325476139244561561253154761392445605602631547513924356056027315475138243560560283153751382435595592930537413824255955930305374137242559559 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 6128426614025357012252304368141255572988332477013625356980743451741392535696705375480143253570570638568414825457057074059861512545715718406086150254571571940618614925457157110416286150254571571114264871502555725721242658715025557257213426587150255572572144265871502555715711542658715025457157116426586149254571571 1742658614925457157118426586149254571571194265861492545715712042658715025457157121426587150255571571224265871502545715712342658615025457157124426486149254571571254164861492535705702641648514825357057027406385148252569569284063841472525695692939628314725156856830396183146251568568

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 61126140164238352668126821251391632373506671024312514016322934666283841251411652303446606965126143169233343659659612514417123634165865871261451722373406576578125145171235339656656912414416923333865565510124145169233337654654 111231451692323376536531212314516723133565265213122144166229334651651141211431652283336506501511814116322633164764716116139161224328645645171141361582213266436431811113415621932464064019109132154217322638638201071301512153196366362110512814921231763463422103125147210315632632231001231452083136296292498121143206310627627259611914020430862562526941171382013066236232792115136199304621621289011313419730261961929881111321953006176173086109130193298615615 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 61012371102245411194211439112226542961331841107224540784452145110224540650 572551114224541547692755119225541541710305712222554254281031561212255425429103156120225542542101132561202255415411111335612022454154112113456119224541541131134561192245415411411345611922454054015123456119223540540161334551182235405401713345511822354054018143455118223540540191534551192235405402016345611922454154121163556120224541541221735571202255415412318355712022554254224183657120225542542252036571202255425422620365712122554254227213658121225542542282136581212265425422922365812122654254230223658121226542542 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 6136507414726157812022365074148261578968336517414025757379043652761412555716545375480143253570570639578514925557157173756831482515685688406086151254571571939608514925357057010345680143248565565113052751392435605601227507213524055755713254870133238554554142346681312365525521522456612923455155116204365128233549549172042641272325495491819426312623154854819184163126231548548201941631262315485482119416312623154854822194163126231548548231841631262315475472418416312623154754725204163126230547547 2620416212623054754727214162125230547547282141621252305475472922416212523054754730224062125230547547 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 61201214239312426743135621972112353094227391101319320823129741473090441902062292954087257535186203229293403720720618220122829339871571571791982252913937107108174195221285389706706917019121628038570170110167188212276380697697111631852082723766936931215918220426737268968913156178200263368685685141521751962603646816811514917119325636167867816145168189253357674674171421651862493546716711813916218324635166866819136159180244348665665

2013315617824134666266221131153175238343660660221281511722353406576572312514816923333765465424123145167230335652652251201431642273326496492611814016222533064764727115138159223327644644281131361572203256426422911113315521832364064030108131153216321637637 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 61926501052415571195292650105241557961310295210123955578441334569823955665051740611012405575576194365982415575577204564922415585588184463912415585589184565952415585581020486898241558558112250701012415585581224537110224155855813255571102241558558 1425557210224155855815255572102241558558162555721022415575571725557210224155755718255572102241557557192555721022415585582025557210224155855821255572102241558558222555721022415585582325557210224155855824255572102241558558252555721022415585582625557210224155855827255572102241558558282555721022415575572925557210224055755730255572102240557557 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 610314882025181192215138720051795932513791955127824361480193510648546198219250954565822861925085087592389191508508 869238719150850897102387191508508108102387191508508119122387191508508129122487192508508131013248719250950914111326871925095091512152788192509509161316288819250950917131630881935105101814173189193510510191418328919451151120161933901945115112116193490195512512221720369119551251223172137911965125122418223891196513513251822399119651351326202340911965135132721234191196513513282125439119651351329222644911965135133022264591196513513 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 6121521431632943030 221521431633332255311523481583461701411626521553461313521830541553371040642132571553248437523345915530969785243562155292586962537651552764991062638671552594291162639681552503731262639681552503261362639681552502871462639681552502541562639681552502501662640681552502501762643681552502501862645681552502501972647681552502502072650681552502502172652681552502502272654681552502502382657681552502502482659681552502502592661681552502502692663681552502502792666681552502502810266870155250250 29102670721552502503010267374155250250 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 6192228501702973063211243052172336228131024335716735017224102536611643501330511273863164341105461229406516332885571231416716331370781231426816229659491231437116127950510123144731612634351111314473160255378121131437216025433013103043721592542911410304271159253258159294271158253253169284170158252252178284370158252252188284670157252252198284870157252252209295071158252252219295371158253253229295571158253253

2392957711592532532410296071159253253251029627115925325326102965711592532532710296771159253253281029697115925325329102972731582532533010297474158253253 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 611142143163294303021142143163333225431152348157346170041162652155346131352183054155337104063203257155324843752334591553086978524356215529258695253765155275499106253867155259429116263968155249373126263968155249326136263968155249287146263968155249254156263968155249249166264068155249249 176264368155249249186264568155249249197264768155249249207265068155249249217265268155249249227265468155249249238265768155249249248265968155249249259266168155249249269266368155249249279266668155249249281026687015524924929102670721552492493010267374155249249 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 61758894116236333306527184911132333382289373879612023035217324718697122225353134157086981222233451065670879812322133286576987981232203177168688798125218313602968879912721731251310648497125214308442 1162829512421130638512618194123210304337136080931222093043041460809212120930330315597992121208303303165979921212083023021758789112020730230218587891119207301301195777901192063003002056768911820530030021567689117205299299225575881172042982982354748711620329729724537386115202296296255272851142012952952651718411320029429427507083112199293293284969821111982922922948688111019729129130476780109196290290 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 6151825471672963047272027491683352268382130551643481711482333591623481322 592537611623391047611283964162326849712304166162311702812304268162294589912314371161277502101131447216126143211113144731602553761211314473160255329131131447316025529114113144731602542581511314473160254254161130437216025425417113143721602542541811314672160254254191131487316025425420113150731602552552112325373161255255221232567416125525523123258741612562562412326074161256256251232627416125625626123265741612562562712326774161256256281232707416125525529123272741612552553012327476161255255 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 61445764862063023043248616890209336227635266749920835117244546979105208352133555672831082093441060657748611120933186075876871122083157128577687114207302598956768811620630150910557588116205299438115474871162032983811253738611520229633313517184113200295295145070831121992942941549698211119829329316486881110197292292174767801091962912911847677910819629029019466679108195290290204665781071952892892145657810719428828822446477106193288288234363761051922872872443627510419228628625426275103191285285

264161741031902842842740607310218928428428395972101188283283293858721001872822823038587599187281281 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 611142042162294302821142042162332225331142347157346169941152651154345131251172953154337104063203156154324843742233581543086978423346115429258595243664154275498105253866154259429115253867154249372125253867154249326135253867154249287145253867154249254155253867154249249166254067154249249176254367154249249186254567154249249197254767154249249 207255067154249249217255267154249249227255467154249249238255767154249249248255967154249249259256167154249249269256367154249249279256668154249249281025687015424924929102570721542492493010257374154249249 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 6101122451812973058201122451813352275311124501763491716411326561723491325511629591713401050621833601703278517321366016931170385243760168295591983142591672785031010344257166261433119334157165260376128324157164259329137314257164258289 147314257163257257157314357162257257167314357161255255177314357160254254187314557159254254197314757159254254207315057160254254217315257160254254227315459160254254238315760159253253248315962158253253259316264158252252269316366157252252279316668157251251281031687015625125129103170721562502503010317374156250250 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 618194100123242339320127992991212413512393377919912423336718094759010012622936713995738910112522635811096739010112622434489977290101126222328743 869881001262193146259688799127217312532106686991272163104581165859812721430939712638396125213307348136282951242113053061460809312221030430415597992121208303303165878911202073013011757779011920630030018567689118205299299195575881172042992992054748711620329829821537386115202297297225272851142012962962351718411320029529524507083112199294294254969821111982932932648688111019729229227476780109196291291284666791081952902902945657810719428928930446477106193288288 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 61546773952153113045 2536672942143352270351657498208349171745065761012043501329549657710120334210556496678103201329857749677810319931470984867781041982985979476678106196291508104665781071952894381145657810719428838012446477106193288333134363761051922872931443637610519228628615426275104191286286164161741031902852851741617310219028428418406073102189284284194059721011892832832039597210118828328321395972101188283283223959711001882822822338587110018728228224385770991872812812537577099186280280263656699818528028027365568971852792792835557097184278278

29345472961832782783033537595182277277 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 6127404668188297306522740476918933722853264048731823511725425405076179351133352541537717834210576264354791773298577264555811773137088264456821762975959254557851752805071025455886174269436112544578617426837912244457861732673321323435685172267292142242558417126626615224254831712652651621415483170264264172040538217026426418204053821692642641920405382169263263202040538216926326321204053821692632632220405682169263263 23204058821692632632420396081169263263251939628116826326326193965811682632632719396781168262262281938708016826226229183872801672622623018387480167261261 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 610032414429330162016251453312244311830140345169341311341373441308514143613733610366241639137323840725194113730869582622431372915849272346137275497104826481372594281149295013824337112493049137231325134103350138232286144113650137232253155123849136231231166124048135230230 176144249135230230186144550135230230197154753136230230207164954136231231217175156137231231227175459137231231238195760137231231248195862136231231258206164136231231269216366136231231279226668136230230281022687013623023029102470721362302303010247374136230230 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 61425561832033003055242556183203336227634155638819734917184405565911943491327540566892193341105264057699419232885374159709519131270684059709619029659393959719918928350510395971100188283435 113858711001872823781237577099186281331133757709818628029214365669981852802801535556897185279279163554679618427827817345467961832782781834536695183277277193353669518227727720335366951822762762133536594182276276223252659418127627623325265931812752752431516493180275275253150639218027427426305064921792732732729496791178273273282848699017827227229284872901772712713027477489176271271 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 61122532541742973058216293658178336227731933416617535017194213646721753501330 5233951751763421055623405176174329856728465782178313708827455783177297595928475987177280507102949629017927343711315063921802743791231516493180275332133251649318127529314325265941812752751532526594181275275163151649318027527517315164931802752751831516493180274274193050639217927427420305063921792742742130506392179274274223050639217927427423305063921792732732429496291178273273252949629117827227226284865901782722722728486790177271271282747708917627127129274772891762702703026467488175270270

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 6112253153173298306921326335517433722873132736601703511727414293965168351133451531426716834210576163345701683298577183647721683147098183648741682975969183749771682805071019385179168264436111939528016826237912193952811682623321319395281168263292141939528116826326315193952811682632631619395281168262262171939528116826226218193952811682622621919395281168262262201939528116826226221193953811682622622219395580168262262231838578016726226224183859801672612612517376279166261261 26173764791662602602717366778166260260281636697816526026029163672771652592593015357477164259259 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 61465965872073033053249616890210335227135165739820734917144526777103206349132755369811052073421055655728410920733085875775861112073157128567586113206301600956768811620630151210577689118206300442115776891182063003851256768911820529933713557588117204299299145474871162032982981554738611520329729716537386114202296296175272851142012952951851718411320029529519517183112200294294 2050708311219929429421496982111198293293224868811101982922922348688010919729129124476779108196290290254666791081952892892645657810719428828827446477106193287287284363761051922872872942627510419128628630416176103190285285 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 61779097119239335314328295101123243348236638295104129238365179848196106132235367139558410011213623736011106861031151402383489047881061171422383337518891081191462393346359901091211492403345441091110123151240334470119011012315223933441012891091221512393333601388108121150237332332 148710712014923633033015851051181472343293291684104117146233328328178310311514423232632618811011141432303253251980100113142229323323207999111140228322322217797110139226321321227696109137225319319237494107136223318318247392105134222316316257191104133220314314266989102131218313313276888100129217311311286686991282153103102965859712621430830830638396125212307307 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 6161925471672983073292228501703372287310243357167351172541227376316635013335143042661673421056616334570168329856718364772168313708 818374874168296595918385077168280506101938517916826343611193951801682623781218385180167262331131838518016726129114173750791662612611516364978165260260161635487716525925917153548771642592591815354877164258258191535487616425825820153550771642582582115355377164258258221535557716425825823153557771642582582415356077164258258251535627616425825826143465761642582582714346776163258258281434697616325825829143472761632572573014347475163257257

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 61911041101322523483225 291104111133253355241839110411313824737218344901051161412453731423591107119143244365113169210912014524335291979311112214724333776189311112314924333764099211112315124233654610911111231522403354701190109122151239333408128810812014923733135713861061191482353293291484104117146233327327158210211514423132632616801001131422293243241779981111402283223221877971101392263213211976961081372253193192075951071362243183182174931061352233173172272921051342213163162371911041332203153152470901031322193143142569891021312183123122668881001292173113112766869912821631031028658598127214309309 2964849712621330830830638396125212307307 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 6132633934536748758332662799298120240356243338194103128237372183848398108134237372142258510111213723836311286871041151402393509167891071181432393357588901081201462403346389901091211492403345441090110123151240334468119011012315223933440712901101231522403343571391111124153240334334149111112415324033533515921121251542413363361693113126155242336336179411412715624333733718951151281572443383381996116129158245339339209611612915824534034021961161291582453403402296116129158245340340 23951151281572453393392495115127156244338338259411312615524333733726921121251542413363362791111124153240335335289011012215123933333329881081211502373323323087107120149236330330 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 610612351542963055206123415433522753161439149349171741617421453491326517194314534010506292146144327851721122471433117048211224914229559192112451141278503104112652141261433114112953141245376124113253141235329134123353141235290144123654141235257155123954141236236166124054141236236 176144354142236236186144655142237237197154855143237237207165056144238238217175357144239239228175560145240240238195762146240240248206064146241241259206265147241241269226567147241241279226769147242242281023697114824224229102472731482422423010247474148243243 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 614861678920930630542496268902103352273348627095204349171544762729820134813255476375992003401050648657710220032785274867771021993127048486778105198295592948677910719729250410476679108196290434 11456578107195289377124464771061932873301343627510419228629114416174103190285285154060731011892832831638587110018728228217375770991862812811836566998185280280193555689718427927920355567961842782782134546796183278278223453669518327727723335366951822762762432526594181276276253151649318027527526315165921802742742730506792179274274282949699117827327329294972901782722723028487490177272272

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 611111241311532733693220211212513215427437024043113127136160270369182241141291391652683711415 51151311431672683641127611713414517026836391971181361471722683627638117136147174267362644911713614817626636155010116136149177266360475111151351481772643594141211413314617526335736313112132144173261355355141101301421712593533531510812714016925735135116105125138167254349349171031231361652523463461810112113416325034434419991191321612483423422097117130159246341341219511512815724433933922941131261552433373372392112125153241335335249011012315223933333325881081211502373323322686106119148235330330278510411714623432832828831031161452323263262981101114143230325325308099112141229323323 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 61164177184206326422316121741871932153354312387317819220022533443118224179194204230333428141951801962082323334281131618019720923433242692171811992102353314257648179198209236329424643917819821023732842254910177197210238327421473111761962082373254194191217319320623532241741713170190203232319414414141671872002293164114111516418419722631340840816161181194223310405405171581781912203074024021815517518821730439939919152172185214301396396201491691822112983933932114616617920829539039022143163176205292387387231401601732022893833832413715717019928638038025134154167195283377377 2613115116419228037437427128148161190277371371281251451581872743683682912214215518427136636630120139152181269363363 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 6126394567187304314422740466818834523433264049731833591769426415177180359136752742547818035010846274456811793378797284657821783217278274657841773046119264658861762875201026465987175270448112645588717526938912254558871742683401324445786173268300142444578617326726715244456851732672671624435685173267267172343568517226726718234356851732672671924435685173267267 20244456851732672672124445685173267267222444578517326726723234359851722672672423436185172267267252343648517226626626234366841722662662722426984171266266282242718417126626629224273831712652653021417783170265265 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 6123364365185304313622538446618634423413264048731823591769427425278181359136852945568018235110856304759841823388817325061861823227298325162891823056139335264921822885221033536694183277449113454679618327839012345467961832783421334546796183278301 14345467961832772771534546795183277277163353669518227727717335366951822772771833536695182277277193353669518227727720345467951832772772134546796183277277223454679618327727723345366951832772772433536695182277277253353669518227627626325267941812762762732527094181275275283151729318027527529315175921802742743030507792179274274

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 6112213414116328337932542120133140162282378243331191321411662753731842411813314316927237314265118134146170271365113161181351461712693649197118136147172268363760 8118136148174268362639911713614817626636154510116136149177266360469111161361491772653594071211513514717626435835813113133146175262357357141121321451742613563561511013014317225935335316108128141170257351351171051251381672543493491810312313616525234634619101121134163250344344209911913116024834234221961161291582453403402294114127156243338338239211212515424133533524901101231522393333332588108120149237331331268510511814723532932927831031161452323273272881101114143230325325297999112141228323323307797110139226321321 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 610713351552963051 20915371573352273311019441533491716411323481523491326511527511533401051621830551533278537321325715331270583223360153296593932335631532795051042336651532624341142436651532473771242336651522473301342336651522472901442336651522462571552339651522462461662240641512462461762243641512462461862246641512462461972248641522462462072350651522472472172353651532472472282454661532472472382457661532482482482459661532482482592462661542482482692564671542482482792567691542482482810256971154248248 29102572721542482483010257474154248248 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 6131445073192298307423144517319333722893304452771863511728429445480183351133552944568018234210576314860851833298577294758831793137088335263891832965959325163911822805061027475988176271435112342558417226637812193952811682633301317375079166260291141535487716425825815133346751622572571612324574161255255171131447316025525518103046721592542541910304772159254254201030507215925425421103053721592542542210305472159254254 23103057721592532532410305972159253253251030627215925325326103064711592532532710296771159253253281029697115825325329102972721582532533010297474158253253 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 611962092152373574543493219220521223435445026283187201209234343440199641821972072333364311549517819420623033142612326175192203228326421100371721902012263224168328167186197224317412702916318319522331340760010159179192220309403518111561751882173053994501215117118421330139539513148167180209297391391141441641762052933873871514016017320228938438416137157169198286380380 1713315316619528337737718130150163192279374374191281471601892773713712012514515818727436836821122142155184271366366221191391521812683633632311713714917826636036024114134147176263358358251121311441732613553552610912914217125835335327107127139168256350350281041241371662533483482910212213516425134634630100120133162249343343

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 610152652172297305620152652172335227431172857169349171541203262167348132552233767168340105065273969169327851773142721693127048103446741692955929113750761692785041012395177169264434 11134053781692643771214415480169264330131543558016926429014154455801692642641515445580169264264161544558016926326317154455801692632631815445580169263263191544558016926426420154455801692642642115445580170264264221544558017026426423154457801702642642415445980170264264251544628017026426426154464801692642642715446680169264264281544688016926326329154471801692632633015447380168263263 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 610031313329630472016141323342268311917125348171141311191213471321 514142212033910466241625120326848726192712031070182622301202935899272431120277501104826341202604311149293612024437412493138120229327134103341120215288144113643120215255155123844121215227166124047121215215176144349121216216186144551122216216197154753122217217207165054123217217217175257123218218227175459124218218238195760126218218248195962128219219258206164129219219269216366130219219279226668131219219281022687013221921929102470721332192193010247374135219219

Annex

ANNEX III Volatility adjustment to the relevant risk-free interest rate term structure CurrencyNational insurance marketVolatility adjustment (in bps)EuroAustria19EuroBelgium19EuroCyprus19EuroEstonia19EuroFinland19EuroFrance19EuroGermany19EuroGreece19EuroIreland19EuroItaly19EuroLatvia19EuroLithuania19EuroLuxembourg19EuroMalta19EuroNetherlands19EuroPortugal19EuroSlovakia19EuroSlovenia19EuroSpain19Czech korunaCzech Republic13Danish kroneDenmark31ForintHungary5KronaSweden17KunaCroatia6LevBulgaria11 Pound sterlingUnited Kingdom27Romanian leuRomania6ZlotyPoland9KrónaIceland14Norwegian kroneNorway36Swiss francLiechtenstein15Swiss francSwitzerland15Australian dollarAustralia10Canadian dollarCanada29Renminbi-yuanChina54Hong Kong dollarHong Kong8US dollarUnited States53YenJapan12