Commission Implementing Regulation (EU) 2020/1647 of 9 November 2020 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 September 2020 until 30 December 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) 2020/1647 of 9 November 2020 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 September 2020 until 30 December 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 5 October 2020, the European Insurance and Occupational Pensions Authority provided the Commission with the technical information related to end of September 2020 market data. That information was published on 5 October 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 September 2020 until 30 December 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 September 2020. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 9 November 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 kroneForintKronaKuna1–0,578 %0,245 %–0,588 %0,722 %–0,152 %–0,089 %2–0,587 %0,305 %–0,597 %1,022 %–0,152 %0,013 %3–0,575 %0,366 %–0,585 %1,272 %–0,123 %0,119 %4–0,555 %0,426 %–0,565 %1,490 %–0,077 %0,226 %5–0,528 %0,486 %–0,538 %1,678 %–0,035 %0,334 %6–0,496 %0,545 %–0,506 %1,842 %0,010 %0,444 %7–0,458 %0,598 %–0,468 %1,987 %0,058 %0,554 %8–0,418 %0,644 %–0,428 %2,107 %0,076 %0,665 %9–0,375 %0,682 %–0,385 %2,215 %0,110 %0,777 %10–0,331 %0,710 %–0,341 %2,309 %0,202 %0,889 %11–0,295 %0,731 %–0,305 %2,393 %0,368 %0,998 %12–0,248 %0,751 %–0,258 %2,470 %0,565 %1,105 %13–0,216 %0,777 %–0,227 %2,542 %0,763 %1,206 %14–0,183 %0,811 %–0,193 %2,610 %0,950 %1,303 %15–0,149 %0,856 %–0,159 %2,674 %1,121 %1,396 %16–0,135 %0,912 %–0,145 %2,737 %1,276 %1,483 %17–0,130 %0,976 %–0,141 %2,796 %1,416 %1,566 %18–0,124 %1,044 %–0,135 %2,853 %1,542 %1,645 %19–0,108 %1,115 %–0,118 %2,907 %1,656 %1,719 %20–0,075 %1,187 %–0,085 %2,959 %1,759 %1,789 %21–0,025 %1,258 %–0,035 %3,009 %1,853 %1,855 %220,040 %1,329 %0,030 %3,056 %1,938 %1,918 %230,113 %1,398 %0,104 %3,101 %2,016 %1,978 %240,192 %1,465 %0,183 %3,144 %2,088 %2,035 %250,275 %1,530 %0,266 %3,185 %2,154 %2,088 %260,359 %1,593 %0,350 %3,223 %2,215 %2,139 %270,443 %1,654 %0,434 %3,260 %2,271 %2,187 %280,526 %1,712 %0,518 %3,296 %2,323 %2,233 %290,608 %1,768 %0,600 %3,329 %2,372 %2,277 %300,688 %1,822 %0,680 %3,361 %2,418 %2,318 %310,766 %1,874 %0,758 %3,392 %2,461 %2,358 %320,842 %1,923 %0,834 %3,421 %2,501 %2,396 %330,915 %1,971 %0,908 %3,449 %2,538 %2,431 %340,986 %2,016 %0,978 %3,476 %2,574 %2,466 %351,054 %2,060 %1,047 %3,502 %2,607 %2,498 %361,119 %2,102 %1,113 %3,526 %2,639 %2,530 %371,183 %2,142 %1,176 %3,550 %2,669 %2,560 % 381,243 %2,180 %1,237 %3,572 %2,697 %2,588 %391,302 %2,217 %1,296 %3,594 %2,724 %2,616 %401,358 %2,252 %1,352 %3,614 %2,749 %2,642 %411,412 %2,286 %1,406 %3,634 %2,774 %2,667 %421,464 %2,319 %1,458 %3,653 %2,797 %2,691 %431,514 %2,350 %1,508 %3,672 %2,819 %2,714 %441,562 %2,380 %1,557 %3,689 %2,840 %2,736 %451,608 %2,409 %1,603 %3,706 %2,860 %2,758 %461,653 %2,437 %1,648 %3,722 %2,879 %2,778 %471,696 %2,463 %1,690 %3,738 %2,898 %2,798 %481,737 %2,489 %1,732 %3,753 %2,915 %2,817 %491,777 %2,514 %1,772 %3,768 %2,932 %2,835 %501,815 %2,538 %1,810 %3,782 %2,949 %2,853 %511,852 %2,561 %1,847 %3,795 %2,964 %2,870 %521,887 %2,583 %1,882 %3,808 %2,979 %2,886 %531,921 %2,604 %1,917 %3,821 %2,994 %2,902 %541,955 %2,625 %1,950 %3,833 %3,008 %2,917 %551,987 %2,645 %1,982 %3,845 %3,021 %2,932 %562,017 %2,664 %2,013 %3,856 %3,034 %2,946 %572,047 %2,683 %2,043 %3,867 %3,047 %2,960 %582,076 %2,701 %2,072 %3,878 %3,059 %2,974 %592,104 %2,719 %2,100 %3,888 %3,071 %2,986 %602,131 %2,736 %2,127 %3,898 %3,082 %2,999 %612,157 %2,752 %2,153 %3,908 %3,093 %3,011 %622,183 %2,768 %2,179 %3,917 %3,103 %3,023 %632,207 %2,783 %2,203 %3,926 %3,114 %3,034 %642,231 %2,798 %2,227 %3,935 %3,123 %3,045 %652,254 %2,813 %2,250 %3,944 %3,133 %3,056 %662,277 %2,827 %2,273 %3,952 %3,142 %3,066 %672,298 %2,840 %2,295 %3,960 %3,151 %3,076 %682,320 %2,854 %2,316 %3,968 %3,160 %3,086 %692,340 %2,867 %2,336 %3,976 %3,169 %3,096 %702,360 %2,879 %2,357 %3,983 %3,177 %3,105 %712,379 %2,891 %2,376 %3,990 %3,185 %3,114 %722,398 %2,903 %2,395 %3,997 %3,193 %3,123 %732,417 %2,915 %2,413 %4,004 %3,200 %3,131 %742,435 %2,926 %2,431 %4,011 %3,208 %3,140 %752,452 %2,937 %2,449 %4,017 %3,215 %3,148 %762,469 %2,947 %2,466 %4,023 %3,222 %3,156 %772,485 %2,958 %2,482 %4,030 %3,229 %3,163 %782,502 %2,968 %2,498 %4,036 %3,236 %3,171 %792,517 %2,978 %2,514 %4,041 %3,242 %3,178 %802,533 %2,987 %2,529 %4,047 %3,248 %3,185 %812,548 %2,997 %2,544 %4,053 %3,255 %3,192 %

822,562 %3,006 %2,559 %4,058 %3,261 %3,199 %832,576 %3,015 %2,573 %4,063 %3,267 %3,205 %842,590 %3,023 %2,587 %4,069 %3,272 %3,212 %852,604 %3,032 %2,601 %4,074 %3,278 %3,218 %862,617 %3,040 %2,614 %4,079 %3,283 %3,224 %872,630 %3,048 %2,627 %4,083 %3,289 %3,230 %882,643 %3,056 %2,640 %4,088 %3,294 %3,236 %892,655 %3,064 %2,652 %4,093 %3,299 %3,242 %902,667 %3,072 %2,664 %4,097 %3,304 %3,248 %912,679 %3,079 %2,676 %4,102 %3,309 %3,253 %922,691 %3,086 %2,688 %4,106 %3,314 %3,258 %932,702 %3,093 %2,699 %4,110 %3,318 %3,264 %942,713 %3,100 %2,710 %4,114 %3,323 %3,269 %952,724 %3,107 %2,721 %4,118 %3,327 %3,274 %962,734 %3,114 %2,732 %4,122 %3,332 %3,279 %972,745 %3,120 %2,742 %4,126 %3,336 %3,284 %982,755 %3,127 %2,753 %4,130 %3,340 %3,288 %992,765 %3,133 %2,763 %4,134 %3,345 %3,293 %1002,775 %3,139 %2,772 %4,137 %3,349 %3,298 %1012,784 %3,145 %2,782 %4,141 %3,353 %3,302 %1022,794 %3,151 %2,791 %4,145 %3,356 %3,307 %1032,803 %3,157 %2,801 %4,148 %3,360 %3,311 %1042,812 %3,163 %2,810 %4,151 %3,364 %3,315 %1052,821 %3,168 %2,819 %4,155 %3,368 %3,319 %1062,830 %3,174 %2,827 %4,158 %3,371 %3,323 %1072,838 %3,179 %2,836 %4,161 %3,375 %3,327 %1082,847 %3,184 %2,844 %4,164 %3,378 %3,331 %1092,855 %3,190 %2,853 %4,167 %3,382 %3,335 %1102,863 %3,195 %2,861 %4,170 %3,385 %3,339 %1112,871 %3,200 %2,869 %4,173 %3,388 %3,342 %1122,879 %3,205 %2,877 %4,176 %3,392 %3,346 %1132,887 %3,209 %2,884 %4,179 %3,395 %3,350 %1142,894 %3,214 %2,892 %4,182 %3,398 %3,353 %1152,902 %3,219 %2,899 %4,185 %3,401 %3,357 %1162,909 %3,223 %2,907 %4,187 %3,404 %3,360 %1172,916 %3,228 %2,914 %4,190 %3,407 %3,363 %1182,923 %3,232 %2,921 %4,193 %3,410 %3,367 %1192,930 %3,237 %2,928 %4,195 %3,413 %3,370 %1202,937 %3,241 %2,935 %4,198 %3,415 %3,373 %1212,943 %3,245 %2,941 %4,200 %3,418 %3,376 %1222,950 %3,249 %2,948 %4,203 %3,421 %3,379 %1232,957 %3,253 %2,954 %4,205 %3,424 %3,382 %1242,963 %3,257 %2,961 %4,207 %3,426 %3,385 %1252,969 %3,261 %2,967 %4,210 %3,429 %3,388 % 1262,975 %3,265 %2,973 %4,212 %3,431 %3,391 %1272,981 %3,269 %2,979 %4,214 %3,434 %3,394 %1282,987 %3,273 %2,985 %4,217 %3,436 %3,396 %1292,993 %3,276 %2,991 %4,219 %3,439 %3,399 %1302,999 %3,280 %2,997 %4,221 %3,441 %3,402 %1313,005 %3,283 %3,003 %4,223 %3,443 %3,405 %1323,010 %3,287 %3,009 %4,225 %3,446 %3,407 %1333,016 %3,290 %3,014 %4,227 %3,448 %3,410 %1343,021 %3,294 %3,020 %4,229 %3,450 %3,412 %1353,027 %3,297 %3,025 %4,231 %3,452 %3,415 %1363,032 %3,301 %3,030 %4,233 %3,455 %3,417 %1373,037 %3,304 %3,036 %4,235 %3,457 %3,420 %1383,042 %3,307 %3,041 %4,237 %3,459 %3,422 %1393,048 %3,310 %3,046 %4,239 %3,461 %3,424 %1403,053 %3,313 %3,051 %4,241 %3,463 %3,427 %1413,057 %3,316 %3,056 %4,243 %3,465 %3,429 %1423,062 %3,320 %3,061 %4,245 %3,467 %3,431 %1433,067 %3,323 %3,065 %4,246 %3,469 %3,433 %1443,072 %3,326 %3,070 %4,248 %3,471 %3,436 %1453,077 %3,328 %3,075 %4,250 %3,473 %3,438 %1463,081 %3,331 %3,079 %4,252 %3,475 %3,440 %1473,086 %3,334 %3,084 %4,253 %3,477 %3,442 %1483,090 %3,337 %3,088 %4,255 %3,479 %3,444 %1493,095 %3,340 %3,093 %4,257 %3,480 %3,446 %1503,099 %3,342 %3,097 %4,258 %3,482 %3,448 %Term to maturity (in years)LevPound sterlingRomanian leuZlotyKrónaNorwegian krone1–0,628 %–0,060 %2,591 %–0,122 %1,043 %0,216 %2–0,637 %–0,054 %2,805 %–0,061 %1,357 %0,330 %3–0,625 %–0,014 %2,980 %0,090 %1,767 %0,385 %4–0,605 %0,027 %3,117 %0,303 %2,068 %0,448 %5–0,578 %0,071 %3,217 %0,527 %2,276 %0,511 %6–0,546 %0,112 %3,287 %0,734 %2,420 %0,562 %7–0,508 %0,153 %3,333 %0,914 %2,517 %0,611 %8–0,468 %0,195 %3,359 %1,059 %2,588 %0,664 %9–0,426 %0,234 %3,378 %1,175 %2,649 %0,726 %10–0,382 %0,271 %3,397 %1,265 %2,702 %0,798 %11–0,345 %0,302 %3,414 %1,351 %2,749 %0,880 %12–0,299 %0,329 %3,428 %1,436 %2,792 %0,967 %13–0,267 %0,353 %3,442 %1,519 %2,832 %1,057 %14–0,234 %0,374 %3,453 %1,599 %2,868 %1,147 %15–0,200 %0,391 %3,464 %1,676 %2,902 %1,235 %

16–0,186 %0,406 %3,474 %1,749 %2,933 %1,320 %17–0,182 %0,419 %3,483 %1,819 %2,962 %1,403 %18–0,176 %0,429 %3,492 %1,886 %2,989 %1,482 %19–0,159 %0,437 %3,500 %1,950 %3,015 %1,558 %20–0,126 %0,444 %3,507 %2,010 %3,039 %1,631 %21–0,075 %0,449 %3,514 %2,068 %3,062 %1,701 %22–0,009 %0,452 %3,521 %2,122 %3,083 %1,767 %230,065 %0,454 %3,527 %2,174 %3,104 %1,830 %240,146 %0,455 %3,533 %2,223 %3,123 %1,890 %250,229 %0,454 %3,539 %2,270 %3,141 %1,947 %260,314 %0,453 %3,544 %2,314 %3,159 %2,001 %270,399 %0,452 %3,549 %2,357 %3,175 %2,053 %280,484 %0,450 %3,554 %2,397 %3,191 %2,102 %290,567 %0,449 %3,559 %2,435 %3,206 %2,149 %300,648 %0,449 %3,563 %2,472 %3,220 %2,194 %310,727 %0,449 %3,567 %2,507 %3,234 %2,237 %320,804 %0,450 %3,571 %2,540 %3,247 %2,278 %330,878 %0,450 %3,575 %2,572 %3,260 %2,316 %340,950 %0,449 %3,579 %2,602 %3,271 %2,354 %351,019 %0,448 %3,583 %2,631 %3,283 %2,389 %361,086 %0,444 %3,586 %2,659 %3,294 %2,423 %371,150 %0,439 %3,590 %2,685 %3,304 %2,455 %381,211 %0,432 %3,593 %2,711 %3,315 %2,487 %391,271 %0,423 %3,596 %2,735 %3,324 %2,516 %401,328 %0,411 %3,599 %2,758 %3,334 %2,545 %411,382 %0,396 %3,602 %2,781 %3,343 %2,572 %421,435 %0,380 %3,605 %2,802 %3,351 %2,598 %431,486 %0,366 %3,608 %2,823 %3,360 %2,624 %441,534 %0,355 %3,610 %2,843 %3,368 %2,648 %451,581 %0,347 %3,613 %2,862 %3,375 %2,671 %461,626 %0,343 %3,615 %2,880 %3,383 %2,693 %471,669 %0,344 %3,618 %2,898 %3,390 %2,715 %481,711 %0,350 %3,620 %2,915 %3,397 %2,735 %491,751 %0,362 %3,622 %2,931 %3,403 %2,755 %501,790 %0,380 %3,624 %2,947 %3,410 %2,775 %511,827 %0,403 %3,626 %2,962 %3,416 %2,793 %521,863 %0,432 %3,629 %2,976 %3,422 %2,811 %531,898 %0,464 %3,630 %2,991 %3,428 %2,828 %541,932 %0,499 %3,632 %3,004 %3,434 %2,845 %551,964 %0,535 %3,634 %3,017 %3,439 %2,861 %561,995 %0,574 %3,636 %3,030 %3,444 %2,876 %572,026 %0,613 %3,638 %3,042 %3,449 %2,891 %582,055 %0,653 %3,640 %3,054 %3,454 %2,906 %592,083 %0,693 %3,641 %3,066 %3,459 %2,920 % 602,111 %0,734 %3,643 %3,077 %3,464 %2,933 %612,137 %0,774 %3,645 %3,088 %3,468 %2,947 %622,163 %0,814 %3,646 %3,098 %3,473 %2,959 %632,188 %0,854 %3,648 %3,109 %3,477 %2,972 %642,212 %0,894 %3,649 %3,119 %3,481 %2,984 %652,235 %0,932 %3,650 %3,128 %3,485 %2,995 %662,258 %0,971 %3,652 %3,137 %3,489 %3,007 %672,280 %1,008 %3,653 %3,146 %3,493 %3,018 %682,301 %1,045 %3,655 %3,155 %3,497 %3,028 %692,322 %1,081 %3,656 %3,164 %3,500 %3,039 %702,342 %1,117 %3,657 %3,172 %3,504 %3,049 %712,362 %1,151 %3,658 %3,180 %3,507 %3,059 %722,381 %1,185 %3,660 %3,188 %3,510 %3,068 %732,400 %1,219 %3,661 %3,196 %3,514 %3,077 %742,418 %1,251 %3,662 %3,203 %3,517 %3,086 %752,435 %1,283 %3,663 %3,210 %3,520 %3,095 %762,453 %1,314 %3,664 %3,217 %3,523 %3,104 %772,469 %1,345 %3,665 %3,224 %3,526 %3,112 %782,486 %1,375 %3,666 %3,231 %3,529 %3,120 %792,502 %1,404 %3,667 %3,237 %3,531 %3,128 %802,517 %1,432 %3,668 %3,244 %3,534 %3,136 %812,532 %1,460 %3,669 %3,250 %3,537 %3,143 %822,547 %1,487 %3,670 %3,256 %3,539 %3,151 %832,561 %1,514 %3,671 %3,262 %3,542 %3,158 %842,575 %1,540 %3,672 %3,268 %3,544 %3,165 %852,589 %1,565 %3,673 %3,273 %3,547 %3,172 %862,603 %1,590 %3,674 %3,279 %3,549 %3,179 %872,616 %1,615 %3,675 %3,284 %3,551 %3,185 %882,629 %1,639 %3,675 %3,290 %3,554 %3,192 %892,641 %1,662 %3,676 %3,295 %3,556 %3,198 %902,653 %1,685 %3,677 %3,300 %3,558 %3,204 %912,665 %1,707 %3,678 %3,305 %3,560 %3,210 %922,677 %1,729 %3,678 %3,310 %3,562 %3,216 %932,688 %1,751 %3,679 %3,314 %3,564 %3,221 %942,700 %1,772 %3,680 %3,319 %3,566 %3,227 %952,711 %1,792 %3,681 %3,323 %3,568 %3,233 %962,721 %1,812 %3,681 %3,328 %3,570 %3,238 %972,732 %1,832 %3,682 %3,332 %3,572 %3,243 %982,742 %1,851 %3,683 %3,336 %3,573 %3,248 %992,752 %1,870 %3,683 %3,341 %3,575 %3,253 %1002,762 %1,889 %3,684 %3,345 %3,577 %3,258 %1012,772 %1,907 %3,685 %3,349 %3,579 %3,263 %1022,782 %1,925 %3,685 %3,353 %3,580 %3,268 %1032,791 %1,943 %3,686 %3,356 %3,582 %3,273 %

1042,800 %1,960 %3,687 %3,360 %3,584 %3,277 %1052,809 %1,977 %3,687 %3,364 %3,585 %3,282 %1062,818 %1,993 %3,688 %3,368 %3,587 %3,286 %1072,827 %2,010 %3,688 %3,371 %3,588 %3,290 %1082,835 %2,026 %3,689 %3,375 %3,590 %3,295 %1092,844 %2,041 %3,689 %3,378 %3,591 %3,299 %1102,852 %2,057 %3,690 %3,381 %3,593 %3,303 %1112,860 %2,072 %3,691 %3,385 %3,594 %3,307 %1122,868 %2,087 %3,691 %3,388 %3,595 %3,311 %1132,876 %2,101 %3,692 %3,391 %3,597 %3,315 %1142,883 %2,116 %3,692 %3,394 %3,598 %3,319 %1152,891 %2,130 %3,693 %3,397 %3,599 %3,322 %1162,898 %2,143 %3,693 %3,401 %3,601 %3,326 %1172,905 %2,157 %3,694 %3,403 %3,602 %3,330 %1182,912 %2,170 %3,694 %3,406 %3,603 %3,333 %1192,919 %2,184 %3,695 %3,409 %3,605 %3,337 %1202,926 %2,197 %3,695 %3,412 %3,606 %3,340 %1212,933 %2,209 %3,695 %3,415 %3,607 %3,343 %1222,940 %2,222 %3,696 %3,418 %3,608 %3,347 %1232,946 %2,234 %3,696 %3,420 %3,609 %3,350 %1242,953 %2,246 %3,697 %3,423 %3,610 %3,353 %1252,959 %2,258 %3,697 %3,426 %3,612 %3,356 %1262,965 %2,270 %3,698 %3,428 %3,613 %3,360 %1272,972 %2,282 %3,698 %3,431 %3,614 %3,363 %1282,978 %2,293 %3,698 %3,433 %3,615 %3,366 %1292,984 %2,304 %3,699 %3,436 %3,616 %3,369 %1302,989 %2,315 %3,699 %3,438 %3,617 %3,372 %1312,995 %2,326 %3,700 %3,440 %3,618 %3,374 %1323,001 %2,337 %3,700 %3,443 %3,619 %3,377 %1333,007 %2,347 %3,700 %3,445 %3,620 %3,380 %1343,012 %2,358 %3,701 %3,447 %3,621 %3,383 %1353,018 %2,368 %3,701 %3,450 %3,622 %3,386 %1363,023 %2,378 %3,701 %3,452 %3,623 %3,388 %1373,028 %2,388 %3,702 %3,454 %3,624 %3,391 %1383,033 %2,398 %3,702 %3,456 %3,625 %3,393 %1393,039 %2,408 %3,702 %3,458 %3,625 %3,396 %1403,044 %2,417 %3,703 %3,460 %3,626 %3,399 %1413,049 %2,426 %3,703 %3,462 %3,627 %3,401 %1423,054 %2,436 %3,703 %3,464 %3,628 %3,404 %1433,058 %2,445 %3,704 %3,466 %3,629 %3,406 %1443,063 %2,454 %3,704 %3,468 %3,630 %3,408 %1453,068 %2,463 %3,704 %3,470 %3,631 %3,411 %1463,073 %2,472 %3,705 %3,472 %3,631 %3,413 %1473,077 %2,480 %3,705 %3,474 %3,632 %3,415 % 1483,082 %2,489 %3,705 %3,476 %3,633 %3,418 %1493,086 %2,497 %3,706 %3,478 %3,634 %3,420 %1503,091 %2,505 %3,706 %3,480 %3,635 %3,422 %Term to maturity (in years)Swiss francAustralian dollarBahtCanadian dollarChilean pesoColombian peso1–0,830 %0,007 %0,166 %0,305 %–0,149 %1,798 %2–0,820 %0,025 %0,260 %0,360 %0,115 %2,342 %3–0,801 %0,055 %0,371 %0,421 %0,461 %2,862 %4–0,764 %0,104 %0,488 %0,501 %0,831 %3,368 %5–0,709 %0,177 %0,603 %0,579 %1,187 %3,842 %6–0,640 %0,272 %0,713 %0,643 %1,512 %4,285 %7–0,573 %0,369 %0,816 %0,706 %1,814 %4,695 %8–0,519 %0,460 %0,906 %0,774 %2,098 %5,069 %9–0,481 %0,551 %0,986 %0,836 %2,355 %5,414 %10–0,461 %0,645 %1,055 %0,885 %2,576 %5,743 %11–0,460 %0,743 %1,117 %0,917 %2,759 %5,996 %12–0,468 %0,828 %1,179 %0,938 %2,912 %6,179 %13–0,480 %0,890 %1,245 %0,953 %3,041 %6,308 %14–0,491 %0,936 %1,313 %0,964 %3,151 %6,396 %15–0,500 %0,973 %1,383 %0,975 %3,246 %6,453 %16–0,505 %1,006 %1,454 %0,987 %3,329 %6,487 %17–0,504 %1,035 %1,524 %0,999 %3,403 %6,501 %18–0,499 %1,059 %1,593 %1,013 %3,468 %6,502 %19–0,487 %1,077 %1,660 %1,030 %3,526 %6,491 %20–0,470 %1,090 %1,725 %1,048 %3,578 %6,472 %21–0,447 %1,096 %1,788 %1,069 %3,624 %6,446 %22–0,418 %1,099 %1,848 %1,091 %3,667 %6,416 %23–0,383 %1,099 %1,906 %1,116 %3,706 %6,382 %24–0,343 %1,098 %1,962 %1,143 %3,741 %6,345 %25–0,296 %1,096 %2,015 %1,172 %3,774 %6,307 %26–0,244 %1,093 %2,066 %1,203 %3,803 %6,268 %27–0,188 %1,093 %2,115 %1,236 %3,831 %6,229 %28–0,129 %1,097 %2,161 %1,271 %3,856 %6,189 %29–0,068 %1,108 %2,206 %1,308 %3,880 %6,150 %30–0,007 %1,125 %2,248 %1,348 %3,902 %6,111 %310,054 %1,150 %2,289 %1,389 %3,923 %6,073 %320,115 %1,181 %2,328 %1,432 %3,942 %6,035 %330,174 %1,217 %2,365 %1,476 %3,960 %5,999 %340,233 %1,256 %2,400 %1,520 %3,977 %5,963 %350,290 %1,296 %2,434 %1,564 %3,993 %5,929 %

360,346 %1,339 %2,467 %1,608 %4,008 %5,895 %370,400 %1,382 %2,498 %1,651 %4,022 %5,863 %380,452 %1,426 %2,528 %1,694 %4,035 %5,832 %390,503 %1,469 %2,557 %1,735 %4,048 %5,802 %400,552 %1,512 %2,584 %1,776 %4,060 %5,772 %410,600 %1,555 %2,610 %1,816 %4,071 %5,744 %420,646 %1,597 %2,636 %1,855 %4,082 %5,717 %430,690 %1,639 %2,660 %1,893 %4,092 %5,691 %440,733 %1,679 %2,683 %1,929 %4,102 %5,666 %450,774 %1,719 %2,706 %1,965 %4,111 %5,641 %460,814 %1,757 %2,727 %2,000 %4,120 %5,618 %470,853 %1,795 %2,748 %2,033 %4,128 %5,595 %480,890 %1,831 %2,768 %2,066 %4,136 %5,573 %490,926 %1,867 %2,787 %2,097 %4,144 %5,552 %500,961 %1,901 %2,806 %2,128 %4,151 %5,532 %510,994 %1,935 %2,824 %2,157 %4,159 %5,512 %521,027 %1,967 %2,841 %2,186 %4,165 %5,493 %531,058 %1,999 %2,857 %2,214 %4,172 %5,475 %541,088 %2,029 %2,874 %2,241 %4,178 %5,457 %551,118 %2,059 %2,889 %2,267 %4,184 %5,440 %561,146 %2,088 %2,904 %2,292 %4,190 %5,424 %571,173 %2,116 %2,919 %2,317 %4,196 %5,408 %581,200 %2,143 %2,933 %2,341 %4,201 %5,392 %591,226 %2,169 %2,946 %2,364 %4,206 %5,377 %601,250 %2,195 %2,959 %2,386 %4,212 %5,363 %611,275 %2,219 %2,972 %2,408 %4,216 %5,349 %621,298 %2,243 %2,985 %2,429 %4,221 %5,335 %631,321 %2,267 %2,997 %2,449 %4,226 %5,322 %641,343 %2,289 %3,008 %2,469 %4,230 %5,309 %651,364 %2,311 %3,019 %2,488 %4,234 %5,297 %661,385 %2,333 %3,030 %2,507 %4,238 %5,285 %671,405 %2,353 %3,041 %2,525 %4,242 %5,273 %681,424 %2,374 %3,051 %2,543 %4,246 %5,262 %691,443 %2,393 %3,061 %2,560 %4,250 %5,251 %701,462 %2,412 %3,071 %2,577 %4,254 %5,240 %711,480 %2,431 %3,081 %2,593 %4,257 %5,229 %721,497 %2,449 %3,090 %2,609 %4,261 %5,219 %731,514 %2,467 %3,099 %2,625 %4,264 %5,209 %741,531 %2,484 %3,108 %2,640 %4,267 %5,200 %751,547 %2,500 %3,116 %2,654 %4,270 %5,191 %761,563 %2,517 %3,124 %2,669 %4,274 %5,181 %771,578 %2,533 %3,132 %2,682 %4,277 %5,173 %781,593 %2,548 %3,140 %2,696 %4,279 %5,164 %791,607 %2,563 %3,148 %2,709 %4,282 %5,156 % 801,622 %2,578 %3,155 %2,722 %4,285 %5,147 %811,635 %2,592 %3,163 %2,735 %4,288 %5,139 %821,649 %2,606 %3,170 %2,747 %4,290 %5,132 %831,662 %2,620 %3,177 %2,759 %4,293 %5,124 %841,675 %2,633 %3,184 %2,771 %4,295 %5,116 %851,688 %2,646 %3,190 %2,782 %4,298 %5,109 %861,700 %2,659 %3,197 %2,793 %4,300 %5,102 %871,712 %2,672 %3,203 %2,804 %4,303 %5,095 %881,724 %2,684 %3,209 %2,815 %4,305 %5,088 %891,735 %2,696 %3,215 %2,825 %4,307 %5,082 %901,746 %2,707 %3,221 %2,836 %4,309 %5,075 %911,757 %2,719 %3,227 %2,846 %4,311 %5,069 %921,768 %2,730 %3,233 %2,855 %4,313 %5,063 %931,778 %2,741 %3,238 %2,865 %4,315 %5,057 %941,789 %2,751 %3,244 %2,874 %4,317 %5,051 %951,799 %2,762 %3,249 %2,884 %4,319 %5,045 %961,809 %2,772 %3,254 %2,892 %4,321 %5,039 %971,818 %2,782 %3,259 %2,901 %4,323 %5,034 %981,828 %2,792 %3,264 %2,910 %4,325 %5,028 %991,837 %2,802 %3,269 %2,918 %4,327 %5,023 %1001,846 %2,811 %3,274 %2,927 %4,328 %5,018 %1011,855 %2,820 %3,279 %2,935 %4,330 %5,012 %1021,864 %2,829 %3,283 %2,943 %4,332 %5,007 %1031,872 %2,838 %3,288 %2,951 %4,333 %5,003 %1041,881 %2,847 %3,292 %2,958 %4,335 %4,998 %1051,889 %2,856 %3,297 %2,966 %4,337 %4,993 %1061,897 %2,864 %3,301 %2,973 %4,338 %4,988 %1071,905 %2,872 %3,305 %2,980 %4,340 %4,984 %1081,913 %2,880 %3,309 %2,987 %4,341 %4,979 %1091,920 %2,888 %3,313 %2,994 %4,343 %4,975 %1101,928 %2,896 %3,317 %3,001 %4,344 %4,970 %1111,935 %2,904 %3,321 %3,008 %4,346 %4,966 %1121,943 %2,911 %3,325 %3,015 %4,347 %4,962 %1131,950 %2,919 %3,329 %3,021 %4,348 %4,958 %1141,957 %2,926 %3,332 %3,027 %4,350 %4,954 %1151,964 %2,933 %3,336 %3,034 %4,351 %4,950 %1161,970 %2,940 %3,339 %3,040 %4,352 %4,946 %1171,977 %2,947 %3,343 %3,046 %4,353 %4,942 %1181,983 %2,954 %3,346 %3,052 %4,355 %4,938 %1191,990 %2,960 %3,350 %3,058 %4,356 %4,935 %1201,996 %2,967 %3,353 %3,063 %4,357 %4,931 %1212,002 %2,973 %3,356 %3,069 %4,358 %4,928 %1222,009 %2,980 %3,360 %3,075 %4,359 %4,924 %1232,015 %2,986 %3,363 %3,080 %4,361 %4,921 %

1242,020 %2,992 %3,366 %3,085 %4,362 %4,917 %1252,026 %2,998 %3,369 %3,091 %4,363 %4,914 %1262,032 %3,004 %3,372 %3,096 %4,364 %4,911 %1272,038 %3,010 %3,375 %3,101 %4,365 %4,907 %1282,043 %3,016 %3,378 %3,106 %4,366 %4,904 %1292,049 %3,021 %3,381 %3,111 %4,367 %4,901 %1302,054 %3,027 %3,384 %3,116 %4,368 %4,898 %1312,059 %3,032 %3,386 %3,121 %4,369 %4,895 %1322,065 %3,038 %3,389 %3,126 %4,370 %4,892 %1332,070 %3,043 %3,392 %3,130 %4,371 %4,889 %1342,075 %3,048 %3,395 %3,135 %4,372 %4,886 %1352,080 %3,054 %3,397 %3,139 %4,373 %4,883 %1362,085 %3,059 %3,400 %3,144 %4,374 %4,880 %1372,089 %3,064 %3,402 %3,148 %4,375 %4,878 %1382,094 %3,069 %3,405 %3,153 %4,376 %4,875 %1392,099 %3,074 %3,407 %3,157 %4,377 %4,872 %1402,104 %3,078 %3,410 %3,161 %4,378 %4,869 %1412,108 %3,083 %3,412 %3,165 %4,378 %4,867 %1422,113 %3,088 %3,415 %3,169 %4,379 %4,864 %1432,117 %3,092 %3,417 %3,174 %4,380 %4,862 %1442,121 %3,097 %3,419 %3,178 %4,381 %4,859 %1452,126 %3,102 %3,421 %3,181 %4,382 %4,857 %1462,130 %3,106 %3,424 %3,185 %4,383 %4,854 %1472,134 %3,110 %3,426 %3,189 %4,383 %4,852 %1482,138 %3,115 %3,428 %3,193 %4,384 %4,849 %1492,142 %3,119 %3,430 %3,197 %4,385 %4,847 %1502,147 %3,123 %3,432 %3,200 %4,386 %4,845 %Term to maturity (in years)Hong Kong dollarIndian rupeeMexican pesoNew Taiwan dollarNew Zealand dollarRand10,255 %3,509 %4,199 %–0,012 %0,020 %3,004 %20,240 %4,108 %4,242 %0,042 %–0,047 %3,265 %30,250 %4,605 %4,405 %0,089 %–0,047 %3,712 %40,277 %5,017 %4,627 %0,130 %–0,020 %4,242 %50,321 %5,362 %4,889 %0,165 %0,030 %4,812 %60,379 %5,634 %5,121 %0,195 %0,100 %5,408 %70,441 %5,841 %5,324 %0,220 %0,183 %5,990 %80,500 %6,004 %5,510 %0,242 %0,267 %6,533 %90,552 %6,119 %5,685 %0,261 %0,346 %7,024 %100,596 %6,214 %5,851 %0,277 %0,413 %7,454 %110,633 %6,284 %6,010 %0,320 %0,464 %7,819 %120,668 %6,331 %6,160 %0,388 %0,506 %8,124 %130,706 %6,363 %6,299 %0,471 %0,544 %8,375 % 140,752 %6,382 %6,425 %0,561 %0,581 %8,575 %150,806 %6,391 %6,538 %0,655 %0,619 %8,726 %160,869 %6,394 %6,637 %0,750 %0,659 %8,828 %170,939 %6,392 %6,721 %0,845 %0,703 %8,890 %181,012 %6,385 %6,789 %0,937 %0,752 %8,920 %191,087 %6,376 %6,840 %1,028 %0,804 %8,925 %201,162 %6,364 %6,875 %1,115 %0,862 %8,910 %211,236 %6,350 %6,892 %1,199 %0,925 %8,879 %221,309 %6,335 %6,894 %1,280 %0,991 %8,837 %231,380 %6,320 %6,886 %1,357 %1,059 %8,786 %241,448 %6,304 %6,868 %1,431 %1,127 %8,728 %251,515 %6,287 %6,843 %1,502 %1,195 %8,665 %261,579 %6,270 %6,813 %1,569 %1,262 %8,599 %271,641 %6,254 %6,780 %1,634 %1,328 %8,532 %281,700 %6,237 %6,743 %1,695 %1,392 %8,463 %291,757 %6,221 %6,705 %1,754 %1,454 %8,394 %301,811 %6,205 %6,665 %1,810 %1,515 %8,325 %311,863 %6,189 %6,625 %1,863 %1,573 %8,257 %321,913 %6,173 %6,585 %1,914 %1,629 %8,191 %331,961 %6,158 %6,544 %1,963 %1,683 %8,125 %342,007 %6,143 %6,505 %2,009 %1,735 %8,062 %352,051 %6,129 %6,465 %2,054 %1,785 %8,000 %362,093 %6,115 %6,427 %2,096 %1,833 %7,940 %372,133 %6,102 %6,389 %2,137 %1,879 %7,882 %382,172 %6,089 %6,353 %2,176 %1,923 %7,826 %392,209 %6,076 %6,317 %2,213 %1,966 %7,772 %402,245 %6,064 %6,282 %2,249 %2,007 %7,720 %412,279 %6,052 %6,249 %2,283 %2,046 %7,670 %422,312 %6,040 %6,216 %2,316 %2,084 %7,622 %432,343 %6,029 %6,185 %2,347 %2,120 %7,575 %442,373 %6,018 %6,155 %2,378 %2,155 %7,530 %452,402 %6,008 %6,125 %2,407 %2,189 %7,487 %462,430 %5,998 %6,097 %2,435 %2,221 %7,445 %472,457 %5,988 %6,070 %2,461 %2,252 %7,405 %482,483 %5,979 %6,044 %2,487 %2,282 %7,366 %492,508 %5,970 %6,018 %2,512 %2,311 %7,329 %502,532 %5,961 %5,994 %2,536 %2,339 %7,293 %512,555 %5,952 %5,970 %2,559 %2,366 %7,259 %522,577 %5,944 %5,947 %2,581 %2,392 %7,225 %532,599 %5,936 %5,925 %2,603 %2,417 %7,193 %542,620 %5,928 %5,903 %2,624 %2,441 %7,162 %552,640 %5,921 %5,883 %2,644 %2,464 %7,132 %562,659 %5,914 %5,863 %2,663 %2,487 %7,103 %572,678 %5,907 %5,843 %2,682 %2,508 %7,075 %

582,696 %5,900 %5,825 %2,700 %2,529 %7,048 %592,714 %5,893 %5,807 %2,717 %2,550 %7,022 %602,731 %5,887 %5,789 %2,734 %2,570 %6,996 %612,747 %5,881 %5,772 %2,751 %2,589 %6,972 %622,763 %5,875 %5,756 %2,767 %2,607 %6,948 %632,779 %5,869 %5,740 %2,782 %2,625 %6,925 %642,794 %5,863 %5,724 %2,797 %2,642 %6,903 %652,808 %5,858 %5,709 %2,811 %2,659 %6,881 %662,822 %5,853 %5,695 %2,825 %2,676 %6,860 %672,836 %5,847 %5,681 %2,839 %2,692 %6,840 %682,849 %5,842 %5,667 %2,852 %2,707 %6,820 %692,862 %5,837 %5,654 %2,865 %2,722 %6,801 %702,875 %5,833 %5,641 %2,878 %2,737 %6,782 %712,887 %5,828 %5,628 %2,890 %2,751 %6,764 %722,899 %5,823 %5,616 %2,902 %2,764 %6,746 %732,911 %5,819 %5,604 %2,913 %2,778 %6,729 %742,922 %5,815 %5,593 %2,925 %2,791 %6,712 %752,933 %5,811 %5,581 %2,936 %2,804 %6,696 %762,943 %5,807 %5,570 %2,946 %2,816 %6,680 %772,954 %5,803 %5,560 %2,957 %2,828 %6,665 %782,964 %5,799 %5,549 %2,967 %2,840 %6,650 %792,974 %5,795 %5,539 %2,977 %2,851 %6,635 %802,984 %5,791 %5,529 %2,986 %2,862 %6,621 %812,993 %5,788 %5,520 %2,996 %2,873 %6,607 %823,002 %5,784 %5,510 %3,005 %2,884 %6,594 %833,011 %5,781 %5,501 %3,014 %2,894 %6,580 %843,020 %5,777 %5,492 %3,022 %2,904 %6,567 %853,028 %5,774 %5,483 %3,031 %2,914 %6,555 %863,037 %5,771 %5,475 %3,039 %2,924 %6,542 %873,045 %5,768 %5,466 %3,047 %2,934 %6,530 %883,053 %5,765 %5,458 %3,055 %2,943 %6,519 %893,061 %5,762 %5,450 %3,063 %2,952 %6,507 %903,068 %5,759 %5,442 %3,071 %2,961 %6,496 %913,076 %5,756 %5,435 %3,078 %2,969 %6,485 %923,083 %5,753 %5,427 %3,085 %2,978 %6,474 %933,090 %5,751 %5,420 %3,093 %2,986 %6,464 %943,097 %5,748 %5,413 %3,100 %2,994 %6,453 %953,104 %5,745 %5,406 %3,106 %3,002 %6,443 %963,111 %5,743 %5,399 %3,113 %3,010 %6,433 %973,117 %5,740 %5,392 %3,120 %3,017 %6,424 %983,124 %5,738 %5,386 %3,126 %3,025 %6,414 %993,130 %5,735 %5,379 %3,132 %3,032 %6,405 %1003,136 %5,733 %5,373 %3,138 %3,039 %6,396 %1013,142 %5,731 %5,367 %3,144 %3,046 %6,387 % 1023,148 %5,728 %5,361 %3,150 %3,053 %6,378 %1033,154 %5,726 %5,355 %3,156 %3,060 %6,370 %1043,160 %5,724 %5,349 %3,162 %3,067 %6,361 %1053,165 %5,722 %5,343 %3,167 %3,073 %6,353 %1063,171 %5,720 %5,338 %3,173 %3,079 %6,345 %1073,176 %5,718 %5,332 %3,178 %3,086 %6,337 %1083,182 %5,716 %5,327 %3,184 %3,092 %6,329 %1093,187 %5,714 %5,321 %3,189 %3,098 %6,322 %1103,192 %5,712 %5,316 %3,194 %3,104 %6,314 %1113,197 %5,710 %5,311 %3,199 %3,109 %6,307 %1123,202 %5,708 %5,306 %3,204 %3,115 %6,300 %1133,207 %5,706 %5,301 %3,209 %3,121 %6,292 %1143,212 %5,704 %5,296 %3,213 %3,126 %6,285 %1153,216 %5,703 %5,292 %3,218 %3,132 %6,279 %1163,221 %5,701 %5,287 %3,223 %3,137 %6,272 %1173,225 %5,699 %5,282 %3,227 %3,142 %6,265 %1183,230 %5,697 %5,278 %3,231 %3,147 %6,259 %1193,234 %5,696 %5,273 %3,236 %3,152 %6,252 %1203,238 %5,694 %5,269 %3,240 %3,157 %6,246 %1213,243 %5,693 %5,265 %3,244 %3,162 %6,240 %1223,247 %5,691 %5,260 %3,248 %3,167 %6,234 %1233,251 %5,689 %5,256 %3,253 %3,172 %6,228 %1243,255 %5,688 %5,252 %3,257 %3,176 %6,222 %1253,259 %5,686 %5,248 %3,260 %3,181 %6,216 %1263,263 %5,685 %5,244 %3,264 %3,186 %6,210 %1273,266 %5,683 %5,240 %3,268 %3,190 %6,205 %1283,270 %5,682 %5,236 %3,272 %3,194 %6,199 %1293,274 %5,681 %5,233 %3,276 %3,199 %6,194 %1303,278 %5,679 %5,229 %3,279 %3,203 %6,188 %1313,281 %5,678 %5,225 %3,283 %3,207 %6,183 %1323,285 %5,677 %5,222 %3,286 %3,211 %6,178 %1333,288 %5,675 %5,218 %3,290 %3,215 %6,173 %1343,292 %5,674 %5,215 %3,293 %3,219 %6,168 %1353,295 %5,673 %5,211 %3,297 %3,223 %6,163 %1363,298 %5,671 %5,208 %3,300 %3,227 %6,158 %1373,302 %5,670 %5,204 %3,303 %3,231 %6,153 %1383,305 %5,669 %5,201 %3,306 %3,234 %6,148 %1393,308 %5,668 %5,198 %3,310 %3,238 %6,144 %1403,311 %5,666 %5,195 %3,313 %3,242 %6,139 %1413,314 %5,665 %5,191 %3,316 %3,245 %6,135 %1423,317 %5,664 %5,188 %3,319 %3,249 %6,130 %1433,320 %5,663 %5,185 %3,322 %3,252 %6,126 %1443,323 %5,662 %5,182 %3,325 %3,256 %6,121 %1453,326 %5,661 %5,179 %3,328 %3,259 %6,117 %

1463,329 %5,660 %5,176 %3,331 %3,263 %6,113 %1473,332 %5,659 %5,173 %3,334 %3,266 %6,109 %1483,335 %5,657 %5,171 %3,336 %3,269 %6,105 %1493,338 %5,656 %5,168 %3,339 %3,272 %6,100 %1503,340 %5,655 %5,165 %3,342 %3,276 %6,096 %Term to maturity (in years)RealRenminbi- yuanRinggitRussian roubleSingapore dollarSouth Korean won12,554 %2,137 %1,410 %3,899 %–0,018 %0,368 %24,014 %2,240 %1,571 %4,280 %0,032 %0,421 %35,162 %2,339 %1,730 %4,626 %0,093 %0,471 %46,005 %2,436 %1,864 %4,946 %0,164 %0,512 %56,597 %2,534 %1,983 %5,224 %0,247 %0,542 %67,020 %2,632 %2,095 %5,467 %0,340 %0,557 %77,324 %2,727 %2,208 %5,677 %0,427 %0,577 %87,538 %2,816 %2,325 %5,854 %0,500 %0,611 %97,691 %2,898 %2,445 %6,007 %0,555 %0,638 %107,816 %2,974 %2,570 %6,142 %0,589 %0,641 %117,898 %3,043 %2,696 %6,259 %0,605 %0,617 %127,942 %3,106 %2,823 %6,358 %0,611 %0,578 %137,959 %3,164 %2,947 %6,438 %0,614 %0,538 %147,956 %3,217 %3,068 %6,499 %0,620 %0,501 %157,938 %3,267 %3,187 %6,542 %0,629 %0,474 %167,908 %3,314 %3,303 %6,564 %0,645 %0,458 %177,871 %3,357 %3,413 %6,571 %0,668 %0,455 %187,828 %3,398 %3,515 %6,566 %0,698 %0,464 %197,780 %3,436 %3,606 %6,551 %0,737 %0,487 %207,730 %3,472 %3,684 %6,529 %0,784 %0,524 %217,679 %3,506 %3,749 %6,502 %0,839 %0,573 %227,626 %3,538 %3,801 %6,471 %0,900 %0,631 %237,574 %3,568 %3,844 %6,437 %0,965 %0,696 %247,521 %3,597 %3,878 %6,401 %1,031 %0,764 %257,469 %3,624 %3,906 %6,363 %1,098 %0,834 %267,419 %3,650 %3,928 %6,326 %1,165 %0,905 %277,369 %3,675 %3,945 %6,287 %1,231 %0,976 %287,320 %3,698 %3,959 %6,249 %1,296 %1,046 %297,273 %3,720 %3,969 %6,212 %1,360 %1,114 %307,227 %3,742 %3,977 %6,175 %1,421 %1,181 %317,183 %3,762 %3,982 %6,138 %1,481 %1,247 %327,140 %3,781 %3,986 %6,103 %1,539 %1,310 %337,099 %3,799 %3,988 %6,068 %1,594 %1,371 %347,059 %3,817 %3,990 %6,034 %1,648 %1,430 %357,021 %3,834 %3,990 %6,002 %1,700 %1,487 % 366,984 %3,850 %3,989 %5,970 %1,750 %1,542 %376,949 %3,865 %3,988 %5,940 %1,798 %1,595 %386,915 %3,880 %3,986 %5,910 %1,844 %1,646 %396,882 %3,894 %3,984 %5,881 %1,888 %1,695 %406,850 %3,908 %3,981 %5,854 %1,931 %1,742 %416,820 %3,921 %3,979 %5,827 %1,972 %1,787 %426,791 %3,934 %3,976 %5,802 %2,011 %1,830 %436,762 %3,946 %3,972 %5,777 %2,049 %1,872 %446,735 %3,957 %3,969 %5,753 %2,086 %1,912 %456,709 %3,968 %3,966 %5,730 %2,121 %1,951 %466,684 %3,979 %3,963 %5,708 %2,154 %1,988 %476,660 %3,989 %3,959 %5,686 %2,187 %2,024 %486,637 %3,999 %3,956 %5,666 %2,218 %2,059 %496,614 %4,009 %3,953 %5,646 %2,248 %2,092 %506,593 %4,018 %3,949 %5,626 %2,277 %2,124 %516,572 %4,027 %3,946 %5,608 %2,305 %2,155 %526,552 %4,036 %3,943 %5,590 %2,332 %2,185 %536,532 %4,044 %3,940 %5,573 %2,358 %2,214 %546,513 %4,052 %3,937 %5,556 %2,384 %2,242 %556,495 %4,060 %3,934 %5,540 %2,408 %2,268 %566,478 %4,068 %3,931 %5,524 %2,431 %2,294 %576,461 %4,075 %3,928 %5,509 %2,454 %2,319 %586,444 %4,082 %3,925 %5,494 %2,476 %2,344 %596,429 %4,089 %3,922 %5,480 %2,497 %2,367 %606,413 %4,096 %3,920 %5,467 %2,518 %2,390 %616,398 %4,102 %3,917 %5,453 %2,538 %2,412 %626,384 %4,108 %3,914 %5,440 %2,557 %2,433 %636,370 %4,114 %3,912 %5,428 %2,576 %2,454 %646,356 %4,120 %3,909 %5,416 %2,594 %2,474 %656,343 %4,126 %3,907 %5,404 %2,612 %2,493 %666,331 %4,132 %3,905 %5,393 %2,629 %2,512 %676,318 %4,137 %3,903 %5,382 %2,645 %2,530 %686,306 %4,142 %3,900 %5,371 %2,661 %2,548 %696,294 %4,147 %3,898 %5,361 %2,677 %2,565 %706,283 %4,152 %3,896 %5,350 %2,692 %2,582 %716,272 %4,157 %3,894 %5,341 %2,707 %2,599 %726,261 %4,162 %3,892 %5,331 %2,721 %2,614 %736,251 %4,166 %3,890 %5,322 %2,735 %2,630 %746,241 %4,171 %3,888 %5,313 %2,749 %2,645 %756,231 %4,175 %3,887 %5,304 %2,762 %2,660 %766,221 %4,179 %3,885 %5,295 %2,775 %2,674 %776,212 %4,184 %3,883 %5,287 %2,788 %2,688 %786,203 %4,188 %3,881 %5,279 %2,800 %2,701 %796,194 %4,192 %3,880 %5,271 %2,812 %2,714 %

806,185 %4,195 %3,878 %5,263 %2,824 %2,727 %816,177 %4,199 %3,877 %5,255 %2,835 %2,740 %826,168 %4,203 %3,875 %5,248 %2,846 %2,752 %836,160 %4,206 %3,873 %5,241 %2,857 %2,764 %846,152 %4,210 %3,872 %5,234 %2,867 %2,776 %856,145 %4,213 %3,871 %5,227 %2,878 %2,787 %866,137 %4,217 %3,869 %5,220 %2,888 %2,798 %876,130 %4,220 %3,868 %5,213 %2,898 %2,809 %886,123 %4,223 %3,866 %5,207 %2,907 %2,820 %896,116 %4,226 %3,865 %5,201 %2,917 %2,830 %906,109 %4,229 %3,864 %5,195 %2,926 %2,840 %916,102 %4,232 %3,863 %5,189 %2,935 %2,850 %926,096 %4,235 %3,861 %5,183 %2,944 %2,860 %936,089 %4,238 %3,860 %5,177 %2,953 %2,870 %946,083 %4,241 %3,859 %5,171 %2,961 %2,879 %956,077 %4,243 %3,858 %5,166 %2,969 %2,888 %966,071 %4,246 %3,857 %5,161 %2,977 %2,897 %976,065 %4,249 %3,856 %5,155 %2,985 %2,906 %986,059 %4,251 %3,855 %5,150 %2,993 %2,914 %996,053 %4,254 %3,854 %5,145 %3,001 %2,923 %1006,048 %4,256 %3,853 %5,140 %3,008 %2,931 %1016,042 %4,258 %3,852 %5,135 %3,015 %2,939 %1026,037 %4,261 %3,851 %5,130 %3,023 %2,947 %1036,032 %4,263 %3,850 %5,126 %3,030 %2,955 %1046,027 %4,265 %3,849 %5,121 %3,037 %2,962 %1056,022 %4,268 %3,848 %5,117 %3,043 %2,970 %1066,017 %4,270 %3,847 %5,112 %3,050 %2,977 %1076,012 %4,272 %3,846 %5,108 %3,056 %2,984 %1086,007 %4,274 %3,845 %5,104 %3,063 %2,991 %1096,003 %4,276 %3,844 %5,099 %3,069 %2,998 %1105,998 %4,278 %3,843 %5,095 %3,075 %3,005 %1115,993 %4,280 %3,842 %5,091 %3,081 %3,012 %1125,989 %4,282 %3,842 %5,087 %3,087 %3,018 %1135,985 %4,284 %3,841 %5,084 %3,093 %3,025 %1145,980 %4,286 %3,840 %5,080 %3,099 %3,031 %1155,976 %4,288 %3,839 %5,076 %3,105 %3,037 %1165,972 %4,290 %3,838 %5,072 %3,110 %3,044 %1175,968 %4,291 %3,838 %5,069 %3,116 %3,050 %1185,964 %4,293 %3,837 %5,065 %3,121 %3,055 %1195,960 %4,295 %3,836 %5,062 %3,126 %3,061 %1205,956 %4,297 %3,835 %5,058 %3,131 %3,067 %1215,953 %4,298 %3,835 %5,055 %3,136 %3,073 %1225,949 %4,300 %3,834 %5,052 %3,142 %3,078 %1235,945 %4,302 %3,833 %5,048 %3,146 %3,084 % 1245,942 %4,303 %3,833 %5,045 %3,151 %3,089 %1255,938 %4,305 %3,832 %5,042 %3,156 %3,094 %1265,935 %4,306 %3,831 %5,039 %3,161 %3,099 %1275,931 %4,308 %3,831 %5,036 %3,165 %3,105 %1285,928 %4,309 %3,830 %5,033 %3,170 %3,110 %1295,924 %4,311 %3,829 %5,030 %3,174 %3,115 %1305,921 %4,312 %3,829 %5,027 %3,179 %3,119 %1315,918 %4,314 %3,828 %5,024 %3,183 %3,124 %1325,915 %4,315 %3,828 %5,021 %3,187 %3,129 %1335,912 %4,317 %3,827 %5,018 %3,192 %3,134 %1345,909 %4,318 %3,827 %5,015 %3,196 %3,138 %1355,906 %4,319 %3,826 %5,013 %3,200 %3,143 %1365,903 %4,321 %3,825 %5,010 %3,204 %3,147 %1375,900 %4,322 %3,825 %5,007 %3,208 %3,152 %1385,897 %4,323 %3,824 %5,005 %3,212 %3,156 %1395,894 %4,324 %3,824 %5,002 %3,216 %3,160 %1405,891 %4,326 %3,823 %5,000 %3,220 %3,164 %1415,888 %4,327 %3,823 %4,997 %3,223 %3,168 %1425,886 %4,328 %3,822 %4,995 %3,227 %3,173 %1435,883 %4,329 %3,822 %4,992 %3,231 %3,177 %1445,880 %4,331 %3,821 %4,990 %3,234 %3,181 %1455,878 %4,332 %3,821 %4,988 %3,238 %3,184 %1465,875 %4,333 %3,820 %4,985 %3,241 %3,188 %1475,872 %4,334 %3,820 %4,983 %3,245 %3,192 %1485,870 %4,335 %3,819 %4,981 %3,248 %3,196 %1495,867 %4,336 %3,819 %4,979 %3,252 %3,200 %1505,865 %4,337 %3,818 %4,976 %3,255 %3,203 %Term to maturity (in years)Turkish liraUS dollarYen112,212 %0,027 %–0,152 %212,942 %0,031 %–0,157 %313,089 %0,051 %–0,160 %413,117 %0,095 %–0,159 %513,088 %0,158 %–0,152 %613,044 %0,235 %–0,144 %713,002 %0,315 %–0,130 %812,960 %0,391 %–0,114 %912,900 %0,468 %–0,095 %1012,805 %0,531 %–0,075 %1112,679 %0,592 %–0,054 %1212,533 %0,648 %–0,031 %1312,373 %0,693 %–0,008 %

1412,202 %0,731 %0,015 %1512,025 %0,764 %0,040 %1611,845 %0,795 %0,066 %1711,664 %0,824 %0,090 %1811,484 %0,849 %0,110 %1911,306 %0,869 %0,125 %2011,131 %0,885 %0,134 %2110,960 %0,897 %0,137 %2210,794 %0,906 %0,137 %2310,633 %0,914 %0,137 %2410,477 %0,923 %0,139 %2510,327 %0,934 %0,145 %2610,182 %0,946 %0,156 %2710,043 %0,957 %0,173 %289,910 %0,963 %0,195 %299,782 %0,963 %0,224 %309,660 %0,954 %0,260 %319,543 %0,936 %0,303 %329,431 %0,913 %0,351 %339,324 %0,886 %0,403 %349,221 %0,858 %0,457 %359,124 %0,831 %0,513 %369,030 %0,807 %0,569 %378,940 %0,784 %0,626 %388,855 %0,765 %0,682 %398,773 %0,749 %0,737 %408,694 %0,737 %0,792 %418,619 %0,729 %0,846 %428,547 %0,725 %0,899 %438,478 %0,724 %0,950 %448,411 %0,726 %1,000 %458,348 %0,733 %1,049 %468,287 %0,742 %1,096 %478,228 %0,755 %1,142 %488,172 %0,772 %1,187 %498,118 %0,792 %1,231 %508,066 %0,816 %1,273 %518,016 %0,842 %1,313 %527,967 %0,872 %1,353 %537,921 %0,904 %1,391 %547,876 %0,937 %1,428 %557,833 %0,971 %1,464 %567,791 %1,007 %1,499 %577,751 %1,042 %1,533 % 587,712 %1,078 %1,565 %597,674 %1,114 %1,597 %607,638 %1,149 %1,628 %617,603 %1,185 %1,658 %627,568 %1,220 %1,687 %637,535 %1,255 %1,715 %647,503 %1,289 %1,742 %657,472 %1,323 %1,769 %667,442 %1,356 %1,794 %677,413 %1,388 %1,819 %687,385 %1,420 %1,844 %697,357 %1,451 %1,867 %707,331 %1,482 %1,890 %717,305 %1,512 %1,913 %727,279 %1,541 %1,934 %737,255 %1,570 %1,956 %747,231 %1,598 %1,976 %757,208 %1,625 %1,996 %767,185 %1,652 %2,016 %777,163 %1,679 %2,035 %787,142 %1,704 %2,054 %797,121 %1,729 %2,072 %807,100 %1,754 %2,089 %817,080 %1,778 %2,107 %827,061 %1,801 %2,123 %837,042 %1,824 %2,140 %847,023 %1,847 %2,156 %857,005 %1,869 %2,172 %866,988 %1,890 %2,187 %876,971 %1,911 %2,202 %886,954 %1,932 %2,217 %896,937 %1,952 %2,231 %906,921 %1,971 %2,245 %916,906 %1,991 %2,259 %926,890 %2,010 %2,272 %936,875 %2,028 %2,285 %946,860 %2,046 %2,298 %956,846 %2,064 %2,311 %966,832 %2,081 %2,323 %976,818 %2,098 %2,335 %986,805 %2,115 %2,347 %996,791 %2,131 %2,358 %1006,778 %2,147 %2,370 %1016,766 %2,163 %2,381 % 1026,753 %2,179 %2,392 %1036,741 %2,194 %2,402 %1046,729 %2,208 %2,413 %1056,717 %2,223 %2,423 %1066,706 %2,237 %2,433 %1076,694 %2,251 %2,443 %1086,683 %2,265 %2,453 %1096,672 %2,279 %2,463 %1106,661 %2,292 %2,472 %1116,651 %2,305 %2,481 %1126,641 %2,318 %2,490 %1136,630 %2,330 %2,499 %1146,620 %2,343 %2,508 %1156,611 %2,355 %2,516 %1166,601 %2,367 %2,525 %1176,592 %2,379 %2,533 %1186,582 %2,390 %2,541 %1196,573 %2,401 %2,549 %1206,564 %2,413 %2,557 %1216,555 %2,424 %2,565 %1226,547 %2,434 %2,573 %1236,538 %2,445 %2,580 %1246,530 %2,455 %2,588 %1256,521 %2,466 %2,595 %1266,513 %2,476 %2,602 %1276,505 %2,486 %2,609 %1286,497 %2,496 %2,616 %1296,490 %2,505 %2,623 %1306,482 %2,515 %2,629 %1316,474 %2,524 %2,636 %1326,467 %2,533 %2,643 %1336,460 %2,543 %2,649 %1346,452 %2,551 %2,655 %1356,445 %2,560 %2,662 %1366,438 %2,569 %2,668 %1376,432 %2,578 %2,674 %1386,425 %2,586 %2,680 %1396,418 %2,594 %2,686 %1406,411 %2,603 %2,691 %1416,405 %2,611 %2,697 %1426,399 %2,619 %2,703 %1436,392 %2,627 %2,708 %1446,386 %2,634 %2,714 %

1456,380 %2,642 %2,719 %1466,374 %2,649 %2,724 %1476,368 %2,657 %2,730 %1486,362 %2,664 %2,735 %1496,356 %2,672 %2,740 %1506,350 %2,679 %2,745 %

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 RepublicCyprusDenmark10031502412003850400301435146040246534705045154500615535652072556595308265851153093760512500103862513500Duration (in years)EstoniaFinlandFranceGermanyGreeceHungaryIreland100003854162000023942231000212424420001854255400017042765000167428750001644298601016823097020170130108030172430Duration (in years)ItalyLatviaLithuaniaLuxembourgMaltaNetherlandsPoland165501604214111102204319141502404422161702504 5241819027046251920028047272022029048282223130049302324230041031232523004Duration (in years)PortugalRomaniaSlovakiaSloveniaSpainSwedenUnited Kingdom124912185002401715211100346191825150044720192917005502120331900652232236200075324233822008532624392300950272440240010502525402500Duration (in years)LiechtensteinNorwaySwitzerlandAustraliaBrazilCanadaChile10000120172000012019300001201840000120175000012016600001201570000120148000012015900001201610000012013Duration (in years)ChinaColombiaHong KongIndiaJapanMalaysiaMexico1011010009201801000932280100010433601000105338010001063410100010 744301000108741010001095380100010105400101010Duration (in years)New ZealandRussiaSingaporeSouth AfricaSouth KoreaThailandTaiwan1000691420008120430009120440009140450108150460509150470701116048011012160490170131604100170141604Duration (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 616204411723154511832620441172315459523822451112275427774925481132265416435102753116226541541 6112957121226541541712325912422654154181232581222265415419133358122226541541101335591222265415411114365912222654154112143659122226541541131537591222265415411415375912222654154115153759122226541541161537591222265415411715375912222654154118153759122226541541191537591222265415412016375912222654154121163759122226541541221737591222265415412317375912222654154124183759122226541541251837591222265415412620375912222654154127213759122226541541282137591222265415412922375912222654154130223759122226541541 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 61142752125238553119921629541272405549653173255120237551788418345712223555065351936621252355495496193865129234549549720396613123354854881939651292335475479194065128232547547

101940641272325465461119416412723154654612194164126231545545131941631262305455451418416212523054454415184062125229544544161740611242295435431717406112422954354318174061124228543543191740611242295435432018406212522954354321184062125229544544221841621252295445442318416212523054454424184162125230544544252041621252305445442620416212523054454427214162125230544544282141621252305445442922416212523054454430224162125229544544 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 616204411723154511832620441172315459523722451112275417764925481132265406435102753116226540541611295712122654054071232581232265405408123258122226540540912335812122654054010133458121226540540111435591222265405401214365912222654054013143759122226540540 1415375912222654054015153759122226540540161537591222265405401714375912222654054018143759122226540540191437591222265405402016375912222654054021163759122226540540221737591222265405402317375912222654054024183759122226540540251837591222265405402620375912222654054027213759122226540540282137591222265405402922375912222654054030223759122226540540 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 61799311719030361812082768911418730061497537994117183299613798478941181832966106635789512118429460860867795123187292607607776961231882906056058759512118528960460497595120184288603603107293117180284599599117092115178282597597126991113176281595595136891113176280594594146891112175280594594156890112175279594594166790111174279593593 17678911117427859359318668911017327859259219668811017327759159120658810917227659159121648710817127659059022638610817127558958923638510717027458858824628410616927358758725618310516827258658626608210416727158558527588110316527058458428578010216426958358329567910116326858258230557899162267581581 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 611024481212345491191212265012323655195931429521172345487824163255120233548648517356012423354854861837641282335485487193965130233547547819396512923354754791939641282325475471019406412723254654611194164127231546546121942641272315465461320426412723154654614204264127231545545152042641272315455451619426312623154554517194263126231545545181942641262315455451920426412723154554520204364127231546546 21204365127232546546222143651282325475472321436512823254754724214365128232547547252143651282325475472621436512823254754727214365128232547547282143651282325475472922436512823254754730224365128232546546 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 6149628716027358811932526690163277591961358739616127759278546177101166279593651563811071702795945946658311017427959459476585111176279593593864841101742785925929638410917227759159110628410817127559059011628410717027458858812618310516827258758713608210416727158658614598110316627058458415578010216426958358316577910116426858258217567810016326758258218557899162266581581195477991622665805802054779816126558058021537697160265579579225375971602645795792352749615926357857824517495158262577577

255073941572625765762649729415626157557527497193156260574574284870921552595745742947709115425857357330466990153257572572 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 61619431172305441183261943117230544951372145110226541776482447112225540643592652115225540541610295612022554054071231581232255405408123257121225540540912325712122554054010123458121225540540111335581212255405401213365812122554054013143658121225540540141436581212255405401514365812122554054016143658121225540540171436581212255405401814365812122554054019143658121225540540201636581212255405402116365812122554054022173658121225540540231736581212255405402418365812122554054025183658121225540540262036581212255405402721365812122554054028213758121225540540 2922375812122554054030223758121225540540 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 6182555149249563119328255514924956396039265413524555978341029561252435586495123158114242557557614346110724155655671637621002405545548173860932395535539204564882385525521019456284237551551111844608523655155112184361862355505501318446286235549549141844628623454854815184462862335485481618446286232546546171844628623154554518184462862305455451918446286230545545201844628623154554521184462862315455452218446286230545545231844628623054454424184462862295445442519446286229543543262044628622854354327214462862285425422821446286227542542 29224462862275415413022446286226541541 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 61869912319731062412432849712219530862310033839812118730361782048298122187300614680581981241872976126126809912619029561061077998125190293607607877971231872906056059759612018428860360310749511918228760160111739511818128560060012729411617928459859813709311517828259759714699211317628159559515689011217527959459416678911117427859359317668811017327759259218658710917227659159119648610817127559059020638610717027458958921628510616927358858822618410516827358758723608310416727158658624598210316627058558525588110216526958458426578010116426858358327567810016326758258228557799162266581581 2954769816126558058030537597160264579579 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 61587296169282597119225771951682815969603577295161277591784458749716227558965155774100163273588588657751021662715865867567610216727058458485575101165268583583954749916326758158110537498161266580580115374981602655795791252749716026457957913527496159263578578145174951582635775771551739515826257757716507294157261576576174972931562615755751849719315626057457419487192155259574574204871921552595745742148709215525957457422477091154259573573234769911542585735732446699015325757257225456890152257571571264567891522565715712744678815125557057028436688150255569569

2943658715025456956930426586149253568568 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 6131456914225657011982324670143256571966332477013625256678843349721372505646535335076139249564564633527914324856356373453801452475625628335379143247561561932537814124656056010325478141245560560113254771402445595591232547613924455855813315476139243557557143154751382425575571530537413724255655616295274137241555555172952731362405555551829517313624055555519295173136240554554202951731362405555552129517313624055555522295173136240555555232851731352405545542428517213524055455425285172135239554554262850721352395545542727507213423955355328275071134239553553 2927507113423855355330274971134238552552 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 610325982125261179215269921352794932527932095247744373095208523641549359820852353965113910320852352375144010620852352386144010420852252297154010420852252210816401032085225221191942105209523523129184010320852252213102041104209523523141120411042085235231512184010320752252216131739102206521521171317391022065215211814173910220652152119141839102207521521201619401032075225222116194010320752252222172040103208522522231720401032075225222418224010320752252225182240103207522522262023401032075225222720234110320752152128212443103207521521 2921264410220752152130222645102207521521 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 6146608415727158511942466084157271585961347628515026758178444763871522655796505486591154264578578648669315826357757774867941592625765768476793157261575575946679215526057457410466791154259573573114668911542585735731245689015325757257213456789152257571571144567891522565705701544678815125557057016436687150254569569174265871502545685681842658614925356856819426486149253567567204164861482535675672141648514825256756722416385148252567567234063841472525665662440628414725156556525396283146250565565263861821452505645642738608214524956356328375981144248563563 2936598014324856256230365880143247561561 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 6117315512824255611972213559132245560965325406312924555978842945681332465606535314874137247562562630497614024556056073554811462495635638345480144247562562935558014424856356310375882145249564564113860831462505655651239618414725156656613406284147251566566144063841472525665661540638514725256656616406384147251566566174063841472515665661839628314625156556519396283146250565565203962831462505655652139628314625056556522396183146250565565233861831452505645642438618214524956456425386082145249563563263760811442485635632737598114424856256228365980143247562562

2936588014324756156130355879142246561561 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 6117305512824155612002183256129242557966320355812324055478942137611262395536545234066129239553553624426913423955355372544711362395535538254571135239553553925467113423955355310264771134239553553112748721352395535531227497213523955355313275072135239554554142850721352395545541528507213523955455416275072134239553553172750721352395535531827507213423955355319275072134239553553202750721352395535532127507213423955355322275071134239553553232749711342385535532426497013323855255225264870133237552552262548701322375515512725486913223655155128254769132236551551 2924476813123655055030244768131235550550 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 615064881612745891191253679116427759296235772951602775917884597599164277591655561781041672775925926638110817327859259276483110175277592592864841091732775925929648410917327759159110648510917227759159111648610917227759159112648610917227659059013648610817127559059014638610717027458958915628510616927358858816618410516827358758717618310516827258758718608310416727158658619598210316627158558520598110316627058558521588110216526958458422578010116426958358323567910016326858258224557810016226758158125547799162266580580265476981612655795792753759716026457957928527496159263578578 2951739515826257757730507394157261576576 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 618295120193306620122828610012419731062599538810312619130862281648910512819330662068059210913519830862262269411213920330862362379511514120730962362389611614220631062562599711814320631162562510981191432063116256251198120143206310625625129812014220531062462413971191412043086236231496118140203307622622159411713820130662062016931151372003046196191792114136199303617617189011313419730261661619891111331963006156152088110132195299613613218610913019329861261222851071291922966116112383106127190294609609248110412618829360760725801021241872916066062678101122185290604604277799121184288602602287598119182286601601 297496118181285599599307295116179283598598 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 6110244812223554911992142751125238552965317325512023755178742036591242375526525223965128238553553624426913423955355372544711362395535538254571135239553553925467113423955355310264771134239553553112648711342395535531226497113423855355313264970133238552552142648701332375525521525486913223655155116244768131236550550172446681312355505501823466813123554954919234667130235549549202346681312355495492124466813123555055022244668131235550550232446681312355495492423466813023554954925234667130235549549262346671302345495492723466713023454954928234567130234549549

2923456713023454854830224566129234548548 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 6195109133206320634126029611013420732063510223971121352003176318384981141382023166306985991161422053156306306100118145210314629629710012014721231462962981001201462103146286289991201452083136276271099120144207311626626119711914220531062462412961181412043086226221395117139202306621621149311513720030461961915911141351983026176171689112133196300615615178711013219529961361318861091301932976126121985107129192296611611208410612819129560960921831051271902946086082281104126188293607607238010312418729260660624791021231862906056052578100122185289604604267799121184288602602277598120182287601601287497118181286600600 297396117180285599599307295116179283598598 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 613283423664395538671273284971221953086221026387102125191307621838490106130195308622696593110136199309623623695113140205310624624796116142207310624624897117143207311625625997118143206311625625109811914320631162562511981201432063116256251299121143206311625625139912214420731162562514100123144207311626626151011231452083126276271610212414620931362862817103125147210314629629181041261482113156306301910512714921231663063020105128149212316631631211051281492123176316312210512714921231663163123104127148211316630630241031261482103156296292510212514620931462862826101124145208312627627271001221442073116266262898121143205310624624 29971201412043086236233096118140203307621621 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 6101236109222537119421123610922253796132143710221853378543153910421753165054174310621653054765184511021552952975204711221452952986204611021352852897204510821252752710820441072125265261192144107212526526129224410721252652613102345107212526526141123451082125265261512234510821252752716132345108212527527171324461082135275271814244610921352852819152547110214528528201626481102155295292117274811121653053022172749112216531531231828501132175315312418295011321753253225202951113218532532262029511142185335332721305111421853353328213051114219533533 2922305211521953353330223052115219534534 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 61526690163277591119525367911642775929603546992157274588783454709415927258664955572981612715855856567410116627058558575575102167269584584855751011652695835839547510016426858258210547599162267581581115375981612655805801252749615926457857813517395158262577577144972941562615755751548719215525957457416476991154258572572174568901532575715711844678915225657057019446688151255570570204366871502545695692143658715025456856822426586149253568568234164851482535675672441638514825256656625406284147251566566263962831462515655652739618314625056456428386082145249564564

2937608114424956356330375981144248562562 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 611161291542273406551251211713115522834165610103119134157223339653828412113716122633965369051231401662293396546546124143170234339654654712514417123633965365381251451702343386536539124145170233337652652101241451692323376516511112314516823133565065012122144167229334648648131201431652283326466461411914116322633064464415117139161224328642642161141371582213256406401711213515621932363863818110132154217321636636191081301522153196346342010612915021331863263221105127149212316630630221031251472103146296292310112314520831262762724991221432063106256252597120141204309623623269511813920230762162127941161382013056196192892115136199303618618 29901131341973026166163089111133196300615615 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 61168182206279392707124221781912152894027161017318319822128740371784141862022252904037187185187205231294403718718618820623329740271771771882072342994017167168186206232296400714714918520623129439871371310184206230293397712712111832052282913957107101218120322628939370770713179201223286390705705141761982202833877027021517319521728038469969916170192214277381695695171671892112743786926921816318620827137568968919161183205268372686686201581802022653696836832115517719926236668068022151174196259363677677231481711932553606746742414516818925235767167125142165186249354668668261391621832463516656652713615918024334866266228134156178241345659659 2913115317523834265765730128151172235339654654 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 6131456914225557012342324570143256571995333487113625356781243450731382515666745355278141251565567635538114525056556573655821472495645648355580145248563563934557914324756256210345579142247561561113455791422465605601233567814124556056013335677140245559559143355771402445595591533557714024455855816325577139244558558173255771392445585581832557713924455855819325577140244558558203355771402445585582133557714024455955922335577140244558558233255761392445585582432557613924355855825325476139243558558263254761392435575572731547513824355755728315475138242557557 2931537513824255655630305374137242556556 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 6128426613925256712212304368141254569984332477013625256680443551741392525676675375480143253567567638568414825356756774059861512535685688406086150253568568940618614925356856810416286149254568568114264871502545695691242658715025456956913436587150254569569144365871502545695691543658715025456856816426586149254568568174265861492545685681842658614925456856819426586149254568568204365871502545685682143658715025456956922436587150254569569234265871492545685682442658614925356856825426486149253568568264164851482535675672741638514825256756728406384147251566566

2940628414725156556530396283146250565565 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 611261401642373506651268212513816323634966410253125140163228345659840412514116523034365769851261431692323426566566125144171235340655655712614517223733965465481251451712353386536539124144169233337652652101241451692323376516511112314516823133665065012123145167230335649649131221441662293336486481412114316522833264764715119141163226330644644161161391612233286426421711413615822132564064018112134156219323638638191101321542173216356352010713015221431963363321105128149212317631631221031251472103146296292310112314520831262762724991211432063106246242596119140203308622622269411713820130662062027921151361993036186182890113134197301616616 29881111321952996146143086109130193298612612 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 6101237110223538119421143911222554096133184110722353778545214511022353765058255111422453854769275511922453853871130571222245395398113156121224539539911315612022453953910113256120224539539111133561192245385381212345611922353853813123456119223538538141234561192235385381512345611822353753716133455118222537537171334551182225375371814345511822253753719153455118223537537201634561192235385382116355611922453853822173557120224538538231835571202245395392418365712022453953925203657120225539539262036571202255395392721365812022553953928213658121225539539 2922365812122553953930223658121225540540 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 6136497414726057412012365074147260575967336517414025657078943652761412545686545375480143253567567639578414925456856873756831482505655658406086150254568568939608514825356756710345680143247562562113052751382435575571227507213523955455413254870132237551551142446681312355495491522456612923354854816214365128232546546172042641272315465461819426312623054554519194163126230545545201941631262305455452119416312623054554522194163126230545545231941631262305445442418416312623054454425204162125230544544262041621252305445442721416212522954454428214162125229544544 2922406212522954454430224062125229544544 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 612012152393124257401430219721123530842273611623194209232297413728950419020623029540872278851872042302934037177176183201228293398712712718019922629139370870881751952212853897037039171192217280385699699101681892132763806956951116418620927237669169112160183205268372687687131571792012643686836831415317619726036567967915150172194257361675675161461691902533586726721714316518725035466966918140162184247351666666191371601812443486636632013415717824134666066021132154176239343657657221291511732363406556552312614917023333765265224123146168230335649649251211431652283326476472611814116322533064464427116139160223327642642

281141361582213256406402911113415621832363763730109132153216321635635 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 6192650105240554119529265010524055496131029521002385527844133355982385536505173960101239554554619436597240554554720456491240555555818446391240555555919456595240555555102048689824055555511225070101240555555122453711022405555551325557110224055555514255572102240555555152555721022405555551625557210224055455417255572102240554554182555721022405545541925557210224055455420255572102240555555212555721022415555552225557210224155555523255572102241555555242555721022415555552525557210224055555526255572102240555555 27255572102240555555282555721022405545542925557210224055455430255572102239554554 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 610315882015161191215138620051495932513781955097824361580193507647546198219250654465822861915065067592388191505505869238719150550597102386191505505108102386191505505119122487191506506129122487191506506131013248719150650614111326871925065061512152788192506506161316288819250750717131630881925075071814173189193507507191418328919350850820161933901945085082116193490194509509221720369119550950923172137911955105102418223891195510510251822399119551051026202340911965105102721234191195510510282125439119551051029222644911955105103022264591195510510 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 612152143163294302422152143163332225031152348157346169841162652155345131152183054155337103964213257155323842752334591553086968524356215529258596253765155275498106263867155259429116263968155249372126263968155249326136263968155249287146263968155249254156263968155249249166264068155249249176264368155249249186264568155249249197264768155249249207265068155249249217265268155249249227265468155249249238265768155249249248265968155249249259266168155249249269266368155249249279266668155249249281026687015524924929102670721552492493010267374155249249 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 61922285017029730652112430521723372284 3112433571673511724411253661164350133251127396316434210566122940651633298567133141661623137088123142681622975959123143711612805061012314473161263436111231447316025537812113144721602543311310304372159254291141030427115925325815102942711582532531692941701582522521792943701572522521892846701572522521992948701572522522092950711582522522110295371158253253221029557115825325323103057711582532532410306071159253253251030627115925325326103065711592532532710306771158253253281030697115825325329103072731582532533010297474158253253

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 612142143163294302322142143163332225031152348157346169741162652155345131152183054155336103963203257155323842 752334591553086968524356115529258595253764155275498106253866155259428116263967155249372126263968155249326136263968155249287146263968155249254156263968155249249166264068155249249176264368155249249186264568155249249197264768155249249207265068155249249217265268155249249227265468155249249238265768155249249248265968155249249259266168155249249269266368155249249279266668155249249281026687015524924929102670721552492493010267374155249249 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 61748794116235332308927184901122323402309373879512022935517474718696122225356135257086971212233471073670879812322133587176987981232193197218688798125218312606968879912721731151610648497125213308445 1162829512321130538612618193122210304338136080931222093033031460809212120830330315597992121208303303165979911202083023021759789112020730230218587890119207301301195777901192063003002057768911820530030021567688117205299299225575881172042982982354748711620329729724537386115202296296255272851142012952952651718411320029429427507083112199293293284969821101982922922948688110919729129130476780108196290290 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 615182547166296304527202749168334226738213055164348171148233359162348132259253761162339104761128396416232684971230416616231170281230426816129458991231437116127750210123144721612614321112314473160255376121131447316025532913113144731602542911411314473160254258 1511314473160254254161131437216025425417113144721602542541811314672160254254191131487316025425420123150731602552552112325374161255255221232567416125525523123258741612562562413326074161256256251332627416125625626133265741612562562712326774161256256281232707416125525529123272741612552553012327476161255255 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 614457638520530130482486167892093352272351657498208349171645468791042073491327556718310720834110526577485110208328853758768711220831370685776871132073015949567587115206300506105575881162042994361154748711520329737912537285114201296332135171841132002952951450708311219929329315496982111198292292164868811101972912911747678010919629129118476679108195290290 19466679108195289289204665781071942892892145657810619428828822446477106193287287234463761051922872872443627510419128628625426274103190285285264161741021902842842740607310218928328328395972101188282282293958721001872822823038577499186281281

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 611142042162293302121142042162332224831142347157345169641152551154345131051172953154336103863203156154323841742233581543086958423346115429258495243664154275498105253766154259428115253867154249372125253867154249325135253867154249287145253867154249254155253867154249249166254067154249249176254367154249249186254567154249249197254767154249249207254967154249249217255267154249249227255467154249249 238255767154249249248255867154249249258256167154249249269256367154249249279256668154249249281025687015424924929102570721542492493010257374154249249 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 6101122451812963050201122451813352270311124501753491714411326561723481324511629591713401049621833601703278507321366016931170385243760168295591983142591672785031010344257166261433119334257165259376128324157164259329137314257163258290147314257163257257157314357162256256167314357161255255177314357160254254187314557159254254197314757159254254207315057159254254217315257160254254228315459159254254238315761159253253248315962158253253259316264158252252269316366157252252 279316668157251251281031687015625125129103170721562502503010317374155250250 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 61819410012224233831852799298120240349237937791991242333651799475901001252293651391573891011252263561103673901011262243428947729010112622232673987088100126219314621968879912721731252810678699127216310454116585981272143093941264849612521230734513628295124211305305146181931222093043041560799212120830330316587891120207301301175777901192063003001856768911820529929919557588117204299299205574871162032982982154748611520229729722537385114201296296235272841132002952952451708311219929429425506982111198293293264968811101972922922748678010919629129128466679108195290290 2945657810719428928930446477106193288288 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 615366739521431130462526572942133352270351657398207349171545065751012043491328549657710120234110546496677102200329856749677810319931470984866781041972985969476678106196290508104665781061952894371145657810619428838012446477106193287333134463761051922872931443637510419228628615426275104191285285164161741031902852851741617310218928428418406073102189283283194060721011882832832040597210118828328321395972101188282282223959711001882822822338587110018728128124385770991862812812537577099186280280263656699818528028027365568971842792792835557096184278278 29345472961832772773034537595182277277 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 6127404668188297306322740476918833722843264048731823511724425405076179350133252541537717834210566264354791773298567274455801763137088264456821752975959254557841752805061025455786174269436112544578617326837912244457851732673321323435685172266292142342558417126626615224255831712652651621415483170264264172141538216926426418204053821692642641920405382169263263202040538216926326321204053821692632632220405682169263263232040588216926326324204060811692632632520396281168263263261939658116826326327193967811682622622819397080167262262 29193872801672622623018387480167261261 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 6100324144293301120162514533122413118301393441691413113413734413065141436137336103562416391373238397251941137307694826224313729158392723461372754971048264813725842711492950138242371124930491362313251341033501372322861441136501372322531551238491362312311661240481352302301761442491352302301861445501352302301971547531352302302071649541362312312171751561362312312271754581362312312381956601362312312481958621362312312582061641362312312692163661362302302792265681362302302810226870136230230 29102470711362302303010247374136230230 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 61425561832032993053242556183203335227334154638819734917164405565911943491325540566791193340105064057699419232785274159709519131270584058709619029659293958709818928350510395871991882824351138587110018728137812385770991862813311337576998185280291143656699818527927915365568971842792791635546796183278278173454679618327727718345366951822772771933536695182276276203353669418227627621335365941812762762232526594181275275233252649318027527524315164931802742742531506392179274274263050649117927327327294967911782722722829486990177272272 29284872891762712713027477489176270270 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 6113253254173297306121629365817733622823193341661753511723421364672175350133352339517517634210576234051761743298577284657821783147098274557831762975969284759871772815081029496290178273437113150639217927438012315164931802743321332516493180275293143252659318127527515325265941812752751632516493180275275173251649318027527518315164921802742741931506392179274274203150639217927427421315063921792742742230506392179274274233050639117927327324304962911782732732529496291178272272262948659017727227227284867901772712712828477089176271271 29274772891762702703027467488175270270 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 6112253153173298306821326335517433722863142736601703511726414293965168351133451531426616834210576163345701683298577183647721683147098183648741672975969183749771682805071019385179168264437111939528016826237912193952811682623321319395281168262292141939528116826226215193952811682632631619395281168262262171939528116826226218193952801682622621919395280168262262201939528116826226221193953811682622622219395580167262262231838578016726226224183860791672612612518376279166261261261737647916626026027173667781652602602816366978165259259

29163672771652592593016357477164259259 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 61455865872063033045248616890209335227435164739720735117234526677102205352133655369811052063441062655728410920733286475775851112063187168567586113206302603957768811520630051510577689117206300444115776891182053003861256768911820529933813557588117204299299145574871162032982981554738611520229729716537386114202296296175272851142012952951852718411320029529519517184112200294294205070831121992932932150698211119829329322496981110197292292234868811091972912912447678010819629029025466679108195289289264565781071942882882744647710619328728728436376105192286286 2942627510419128628630426177103190285285 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 6177909611823833431442819410112324234723573829510412823836317894819610613223536513905841001111352373581106686103114139237346900788106117142238332747889108119146239333630990110121149240334538109111012315224033446411911101231522393344041290110122151239333354138910812115023733233214871071201492363303301586106119147235329329168510411714623332832817831031161452323263261882102114143230325325198110011314222932432420799911214122832232221789811013922632132122769610913822531931923759410713622331831824739310613522231631625719110413322031531526709010213121831331327688810113021731131128678699128215310310 2965859812721430830830648396125212307307 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 61619254716729730662922285017033622823112433571673501722412273763166350133051430426616734110546163345691673288547183647721683127068183748741682965939183849771682795051019385179168263435111939518016826237812193851801672623301318385179167261291141737507916626026015173649781652602601616364877164259259171535487716425925918153548771642582581915354876164258258201535507716425825821153553771642582582215355577164258258231535577716425825824153560771642582582515356276164258258261534657616325825827153467761632582582814346976163258258 29143472761632572573014347475163257257 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 619110311013225134832322911041111332523562426391104113137247373184149110511614124437414285911071191432443671135692109121145243354922793111122147243338763893112123149243337642992112124151242336547109111112415224033547111901101231512393334091288108121150237331358138610611914823532932914851041171462333283281583102115144231326326168110011314222932432417799911214122832232218789711013922632132119769610913822531931920759510813722431831821749410713622331731722739310613422231631623729210413322031531524719010313221931431425698910213121831331326688810113021731131127678710012821631031028668698127215309309

2965859712621330830830648396125212307307 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 6132333634336548458132682799298120240357243738195103128237372184248398108134237373142658510111313723836511326871041161402383529197891071181432393367618901081201462403346409901101221492403345451091110123151240334470119111012315223933440812911111231522403343581391111124153240334334149211112415324033533515921121251542413363361693113126155242337337179411412715624333833818951151281572443393391996116129158245339339209711612915824534034021971171291582453403402297116129158245340340239611612815724533933924951151281562443383382594114127155243337337269311212515424133633627911111241532403353352890110123151239333333 29891081211502373323323087107120149236330330 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 6106133515429630522061335154335227431615391493491716416174214534913265181943145340105062921461443278517211224714331170482112349142295591921124511412785031041126531412614331141229531412453761241232531412353291341233531412352901441236541412352571551239541412362361661240541412362361761443551422362361861446551422372371971548561432372372071650571442382382171753571452392392281755601452402402381957621462402402482060641462412412592062651472412412692265671472412412792267691472422422810236971148242242 29102472731482422423010247474148243243 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 614860678920830530542486168902093352271348617094204349171344762729820134813235476375992003391049648657610119932685074866771021983117038486678104198295591948677910619729150310476679107195290433114565781071942893761244647710519328732913426275104191286290144161741021902842841540597210118828328316385871100187281281173757709918628028018365669981852792791935556897184278278203555679618327827821345467961832772772234536695182277277233353669418227627624325265941812752752532516493180275275263151649217927427427305067921792732732830496991178273273 29294972901772722723028487490177271271 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 61111124130152272369320621121251321542733702396311312713516026936818174114129139164268370141151151311431672683631124611713414517026836291671181361471722683627618117136147174267362643911713614817626636155010117136149177266360475111161351481772643594141211413414717526335736313112132145174261355355141101301431722593533531510812814117025735135116106125138167254349349171041231361652523473471810212113416325034534519100119132161248343343209811813015924734134121961161291582453393392294114127156243337337239311212515424133633624911101231522393343342589109121150237332332268710712014823633033027851051181472343283282884103116145232327327

29821021141432313253253080100113142229323323 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 61163176183205324421318321731861922143344302413317719119922433343018454179193204229332427143851801952072313324271146618019720823333142693371801982092343304257748179198209235329423651917819720923732742255510177197209238326421478111761952082373244194191217319320623532241641613170190203232319413413141671872002293164104101516418419722631340740716161181194223310404404171581781912203074014011815517518821730439839819152172185214301395395201491691822112983923922114616617920829538938922143163176205292386386231401601732012893833832413715716919828638038025134154166195282377377261311511631922793743742712814816118927737137128125145158187274368368 2912214215518427136536530120139152181268363363 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 6126394668187306316122740466818834723583274049741833611781426415277180361137752743547918035210916284556811793398857284657821783237328274657841773066159274658861762895241027465987175272451112646598717526939212264558871742693431325455886174268302142544578617326826815244457861732672671624445785173267267172444578517326726718244457851732672671924445786173267267202444578617326726721244457861732672672224445786173267267232444608517326726724244462851722672672524436585172267267262343668517226626627234369841712662662823427284171266266 29224274841712652653022427783171265265 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 6123364365184303312422538446618634323313264048731823581762427425278181358136352945568118234910816314759841823368777335061861823217258335163891823046109335264921822875191034536694183277447113454679618327838912355467961832783411335546796183278300143454679618327727715345467961832772771634546695182277277173454669518227727718345466951822772771934546795183277277203454679618327727721345467961832782782234546796183277277233454679518327727724345366951822772772533536695182276276263353669418127627627325269941812752752832517293180275275 29315175931802742743031507792179274274 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 61121134141163282379325221201331391612813772435311913214116527537318454118132143168271374142951181341451692713661135611813514617126936492271181361471722683637638118136147174267362642911713614817626636054710117136149177265360471111161361491772653594091211513514717626335835813114133146175262357357141121321451742613553551511013014317225935335316108128141170257351351171051251381672543493491810312313616525234634619101121134163250344344209911913216024834234221971171291582453403402295114127156243338338239211212515424133533524901101231522393333332588108121149237331331268610611814723432932927841031161452323273272882101114143230325325

298099112141228323323307898110139226321321 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 61071335155296305220915371573352273311119441533491716411323491523491326511527511523401051621830551533278537321325715331270584223360153296593942335631532795051042436651532624341142437651532473771242336651522473301342336651522472911442336651522462571552339651522462461662240641512462461762243641512462461862346641512462461972348641522462462072350651522472472172453651532472472282454661532472472382457661532482482482459661532482482592562661532482482692564671542482482792567691542482482810256971154248248 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 6131445072192298307123144517319233722883304452771863511727429435479182351133452944568018134210576314860851833298577294758831793137088335163891822975959325163911812805061027475988176270436112342558417126637812203952811682633301317375078166260291141535487716425825815143346751622572571612324574161255255171131447316025425418113046721592542541910304772159253253201030507215925325321103053721592532532210305472159253253231030577215925325324103059721592532532510306271159253253261030647115825325327102967711582532532810296971158253253 29102972721582532533010297474158253253 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 611962092162383574543695219320621223435445027843187201210234344440210641831972082333374321627517919420623033142612876175192204229327421104171721902012263224178598168187198224318412720916418319522331440861210160180193221309404526111571761892183054004551215317218521430139639713149168181210297392392141451651772062933883881514116117420329038438416138158170199286381381171351541671962833783781813215116419328037537519129148161190277372372201261461581872753693692112314315618527236636622120140153182269364364231181371501792663613612411513514817726435835825113132145174261356356261101301431712593533532710812714016925635135128105125138167254348348 2910312313616425234634630101121133162249344344 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 610152652172296305420152652172335227431172857168349171641203262167349132552233767168340105065273969169327852773142721693127048103446741692955929113750771692795041012395177169264434111340537816926437712144254801692643301315435580169264291141544558116926426415164455811692642641616445581169263263171644558116926326318164455811692632631916445581169263263201644558116926426421164455811692642642216445581170264264231644578116926426424164459811692642642516446281169264264261644648116926426427164467811692632632816446981169263263

29164472811682632633016447481168263263 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 610031313329630452016141323342267311916125348171041311191213471320514142212133910466241625120325847726192712031070082622301202935889272431120277501104826341202604311149293612024437412493138120229327134103341120215288144113643120215255155123844121215227166124047121215215176144349121216216186144551122216216197154753122217217207165054123217217217175257123218218227175459124218218238195760126219219248195962128219219258206164129219219269216366129219219279226668131219219281022687013221921929102470721332192193010247374135219219

Annex

ANNEX III Volatility adjustment to the relevant risk-free interest rate term structure CurrencyNational insurance marketVolatility adjustment (in bps)EuroAustria14EuroBelgium14EuroCyprus14EuroEstonia14EuroFinland14EuroFrance14EuroGermany14EuroGreece14EuroIreland14EuroItaly14EuroLatvia14EuroLithuania14EuroLuxembourg14EuroMalta14EuroNetherlands14EuroPortugal14EuroSlovakia14EuroSlovenia14EuroSpain14Czech korunaCzech Republic8Danish kroneDenmark26ForintHungary5KronaSweden15KunaCroatia3LevBulgaria4Pound sterlingUnited Kingdom22 Romanian leuRomania4ZlotyPoland7KrónaIceland6Norwegian kroneNorway30Swiss francLiechtenstein12Swiss francSwitzerland12Australian dollarAustralia9Canadian dollarCanada25Renminbi-yuanChina52Hong Kong dollarHong Kong7US dollarUnited States43YenJapan12