Commission Implementing Regulation (EU) 2023/1672 of 30 August 2023 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 June 2023 until 29 September 2023 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) 2023/1672 of 30 August 2023 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 June 2023 until 29 September 2023 in accordance with Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Text with EEA relevance) THE EUROPEAN COMMISSION, Having regard to the Treaty on the Functioning of the European Union, Having regard to Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) OJ L 335, 17.12.2009, p. 1. , and in particular the third subparagraph of Article 77e(2) thereof, Whereas: (1) In order to ensure uniform conditions for the calculation of technical provisions and basic own funds by insurance and reinsurance undertakings for the purposes of Directive 2009/138/EC, technical information on relevant risk-free interest rate term structures, fundamental spreads for the calculation of the matching adjustment and volatility adjustments should be laid down for every reference date. (2) Insurance and re-insurance undertakings should use the technical information, which is based on market data related to the end of the last month preceding the first reporting reference date to which this Regulation applies. On 6 July 2023, the European Insurance and Occupational Pensions Authority provided the Commission with the technical information related to end of June 2023 market data. That information was published on 6 July 2023 in accordance with Article 77e(1) of Directive 2009/138/EC. (3) Given the need for the immediate availability of the technical information, it is important that this Regulation enters into force as a matter of urgency. (4) For prudential reasons it is necessary that insurance and reinsurance undertakings use the same technical information for calculating technical provisions and basic own funds irrespective of the date on which they report to their competent authorities. This Regulation should therefore apply from the first reporting reference date to which this Regulation applies. (5) To provide legal certainty as soon as possible, it is duly justified on imperative grounds of urgency related to the availability of the relevant risk-free interest rate term structure that measures provided for in this Regulation be adopted in accordance with Article 8, in conjunction with Article 4, of Regulation (EU) No 182/2011 of the European Parliament and of the Council Regulation (EU) No 182/2011 of the European Parliament and of the Council of 16 February 2011 laying down the rules and general principles concerning mechanisms for control by Member States of the Commission’s exercise of implementing powers (OJ L 55, 28.2.2011, p. 13). , HAS ADOPTED THIS REGULATION:

Article 1

1. Insurance and reinsurance undertakings shall use the technical information referred to in paragraph 2 when calculating technical provisions and basic own funds for reporting with reference dates from 30 June 2023 until 29 September 2023.

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

Article 2

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union. It shall apply from 30 June 2023. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 30 August 2023. 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)Euro (in %)Czech koruna (in %)Danish krone (in %)Forint (in %)Krona (in %)Lev (in %)13,9836,6753,97310,1094,1273,93323,7725,5863,7629,3473,9353,72233,5014,9363,4918,6683,6563,45143,2824,5513,2728,0873,4263,23253,1324,3093,1227,6263,2553,08363,0374,1623,0277,2733,1312,98772,9704,0722,9607,0093,0432,92082,9264,0182,9166,8212,9832,87792,8973,9882,8876,6962,9472,847102,8793,9722,8706,6122,9332,830112,8693,9682,8606,5642,9392,820122,8593,9702,8496,5382,9572,809132,8513,9752,8416,5312,9792,801142,8393,9792,8296,5393,0032,790152,8193,9822,8096,5533,0262,770162,7883,9812,7786,5553,0492,739172,7523,9792,7426,5453,0702,702182,7163,9742,7066,5263,0902,666192,6843,9682,6746,4993,1082,635202,6603,9602,6506,4673,1242,611212,6443,9522,6356,4313,1392,596222,6363,9442,6276,3933,1532,589232,6343,9352,6256,3533,1662,588242,6363,9262,6276,3123,1772,591252,6423,9162,6336,2703,1882,597262,6503,9072,6416,2283,1982,606272,6603,8982,6516,1863,2082,618282,6713,8882,6636,1453,2162,630292,6843,8792,6766,1053,2242,644302,6973,8702,6896,0663,2322,658312,7103,8612,7036,0273,2392,673322,7243,8522,7175,9903,2452,688332,7383,8442,7315,9543,2522,703342,7533,8352,7465,9193,2572,718352,7673,8272,7605,8853,2632,733362,7813,8192,7745,8523,2682,747372,7943,8112,7885,8203,2732,762 382,8083,8042,8015,7893,2782,776392,8213,7972,8155,7603,2822,790402,8343,7902,8285,7313,2862,804412,8463,7832,8405,7043,2902,817422,8593,7762,8535,6783,2942,830432,8703,7702,8655,6523,2982,842442,8823,7632,8765,6283,3012,854452,8933,7572,8885,6043,3042,866462,9043,7522,8995,5813,3082,878472,9153,7462,9095,5593,3112,889482,9253,7402,9205,5383,3142,899492,9353,7352,9305,5183,3162,910502,9443,7302,9395,4983,3192,920512,9533,7252,9495,4793,3222,930522,9623,7202,9585,4613,3242,939532,9713,7152,9675,4433,3262,948542,9803,7112,9755,4263,3292,957552,9883,7062,9835,4093,3312,966562,9963,7022,9915,3933,3332,974573,0033,6982,9995,3783,3352,982583,0113,6943,0075,3633,3372,990593,0183,6903,0145,3493,3392,997603,0253,6863,0215,3353,3413,005613,0323,6823,0285,3213,3433,012623,0383,6793,0355,3083,3443,019633,0453,6753,0415,2953,3463,026643,0513,6723,0475,2833,3483,032653,0573,6683,0535,2713,3493,038663,0633,6653,0595,2593,3513,045673,0693,6623,0655,2483,3523,050683,0743,6593,0715,2373,3543,056693,0803,6563,0765,2263,3553,062703,0853,6533,0815,2163,3563,067713,0903,6503,0865,2063,3583,073723,0953,6483,0915,1963,3593,078733,1003,6453,0965,1863,3603,083743,1043,6423,1015,1773,3613,088753,1093,6403,1065,1683,3633,093763,1133,6373,1105,1593,3643,097773,1183,6353,1155,1513,3653,102783,1223,6333,1195,1423,3663,106793,1263,6303,1235,1343,3673,111803,1303,6283,1275,1263,3683,115

813,1343,6263,1315,1193,3693,119823,1383,6243,1355,1113,3703,123833,1423,6223,1395,1043,3713,127843,1453,6203,1425,0963,3723,131853,1493,6183,1465,0893,3733,135863,1523,6163,1505,0833,3743,138873,1563,6143,1535,0763,3753,142883,1593,6123,1565,0693,3763,145893,1623,6103,1605,0633,3763,149903,1663,6083,1635,0573,3773,152913,1693,6073,1665,0503,3783,155923,1723,6053,1695,0443,3793,158933,1753,6033,1725,0393,3803,162943,1783,6023,1755,0333,3803,165953,1813,6003,1785,0273,3813,168963,1833,5993,1815,0223,3823,171973,1863,5973,1845,0163,3823,173983,1893,5963,1865,0113,3833,176993,1913,5943,1895,0063,3843,1791003,1943,5933,1925,0013,3843,1821013,1963,5913,1944,9963,3853,1841023,1993,5903,1974,9913,3863,1871033,2013,5883,1994,9863,3863,1901043,2043,5873,2014,9813,3873,1921053,2063,5863,2044,9773,3883,1951063,2083,5853,2064,9723,3883,1971073,2113,5833,2084,9683,3893,1991083,2133,5823,2114,9643,3893,2021093,2153,5813,2134,9593,3903,2041103,2173,5803,2154,9553,3903,2061113,2193,5783,2174,9513,3913,2081123,2213,5773,2194,9473,3913,2101133,2233,5763,2214,9433,3923,2131143,2253,5753,2234,9393,3933,2151153,2273,5743,2254,9353,3933,2171163,2293,5733,2274,9323,3933,2191173,2313,5723,2294,9283,3943,2211183,2333,5713,2314,9243,3943,2231193,2353,5703,2334,9213,3953,2251203,2373,5693,2354,9173,3953,2261213,2383,5683,2364,9143,3963,2281223,2403,5673,2384,9103,3963,2301233,2423,5663,2404,9073,3973,232 1243,2433,5653,2414,9043,3973,2341253,2453,5643,2434,9003,3983,2351263,2473,5633,2454,8973,3983,2371273,2483,5623,2464,8943,3983,2391283,2503,5613,2484,8913,3993,2401293,2513,5613,2504,8883,3993,2421303,2533,5603,2514,8853,4003,2441313,2543,5593,2534,8823,4003,2451323,2563,5583,2544,8793,4003,2471333,2573,5573,2564,8763,4013,2481343,2593,5563,2574,8743,4013,2501353,2603,5563,2584,8713,4013,2511363,2623,5553,2604,8683,4023,2531373,2633,5543,2614,8653,4023,2541383,2643,5533,2634,8633,4033,2561393,2663,5533,2644,8603,4033,2571403,2673,5523,2654,8573,4033,2581413,2683,5513,2674,8553,4043,2601423,2703,5503,2684,8523,4043,2611433,2713,5503,2694,8503,4043,2621443,2723,5493,2704,8483,4043,2641453,2733,5483,2724,8453,4053,2651463,2753,5483,2734,8433,4053,2661473,2763,5473,2744,8403,4053,2671483,2773,5463,2754,8383,4063,2691493,2783,5463,2764,8363,4063,2701503,2793,5453,2784,8343,4063,271Term to maturity (in years)Pound sterling (in %)Romanian leu (in %)Zloty (in %)Króna (in %)Norwegian krone (in %)Swiss franc (in %)16,0626,1615,9418,9024,8731,99125,9606,2805,6988,2454,7221,95535,6306,4085,5947,7244,4921,90145,3096,5005,5297,2834,2731,85255,0286,5735,4986,9194,0991,81464,7956,6325,4986,6113,9751,78974,6016,6735,5166,3473,8841,77484,4546,7005,5446,1203,8161,76694,3406,7205,5775,9263,7621,764104,2506,7295,6065,7623,7201,767114,1856,7145,6145,6233,6851,774124,1376,6795,6055,5013,6571,784 134,0966,6295,5825,3943,6341,796144,0616,5685,5515,2983,6141,809154,0276,5015,5135,2123,5971,824163,9966,4295,4715,1343,5831,838173,9656,3555,4255,0623,5701,853183,9366,2795,3794,9973,5591,867193,9096,2025,3314,9363,5501,882203,8846,1275,2834,8803,5411,896213,8616,0525,2354,8283,5341,910223,8385,9785,1874,7793,5271,924233,8165,9075,1414,7333,5211,937243,7945,8375,0954,6913,5161,950253,7725,7695,0514,6503,5111,963263,7495,7045,0084,6123,5071,975273,7245,6414,9664,5773,5031,987283,6995,5804,9264,5433,4991,998293,6715,5224,8874,5113,4962,009303,6425,4664,8494,4813,4932,020313,6115,4124,8134,4523,4912,030323,5795,3604,7784,4243,4882,040333,5475,3104,7444,3983,4862,049343,5145,2624,7124,3743,4842,058353,4835,2174,6814,3503,4822,067363,4525,1734,6514,3273,4802,076373,4225,1304,6234,3063,4792,084383,3945,0904,5954,2853,4772,092393,3675,0514,5694,2663,4762,100403,3425,0144,5434,2473,4752,107413,3194,9784,5194,2293,4732,114423,2974,9444,4954,2113,4722,121433,2784,9114,4724,1953,4712,128443,2594,8794,4504,1793,4702,134453,2434,8494,4294,1633,4692,140463,2284,8194,4094,1493,4692,146473,2154,7914,3904,1353,4682,152483,2044,7644,3714,1213,4672,158493,1944,7384,3534,1083,4662,163503,1864,7134,3354,0953,4662,168513,1804,6894,3194,0833,4652,173523,1754,6654,3024,0713,4652,178533,1714,6434,2874,0603,4642,183543,1684,6214,2714,0493,4642,188553,1664,6004,2574,0383,4632,192

563,1654,5794,2434,0283,4632,197573,1654,5604,2294,0183,4622,201583,1654,5414,2164,0083,4622,205593,1654,5224,2033,9993,4622,209603,1664,5054,1903,9903,4612,213613,1674,4874,1783,9813,4612,216623,1694,4714,1673,9733,4612,220633,1714,4554,1563,9653,4602,223643,1734,4394,1453,9573,4602,227653,1754,4244,1343,9493,4602,230663,1774,4094,1243,9423,4592,233673,1794,3954,1143,9343,4592,237683,1824,3814,1043,9273,4592,240693,1844,3674,0943,9203,4592,243703,1874,3544,0853,9143,4592,246713,1904,3414,0763,9073,4582,248723,1924,3294,0683,9013,4582,251733,1954,3174,0593,8953,4582,254743,1984,3054,0513,8893,4582,256753,2004,2944,0433,8833,4582,259763,2034,2834,0353,8773,4582,261773,2064,2724,0283,8723,4572,264783,2094,2614,0203,8663,4572,266793,2114,2514,0133,8613,4572,268803,2144,2414,0063,8563,4572,271813,2164,2313,9993,8513,4572,273823,2194,2223,9923,8463,4572,275833,2214,2123,9863,8413,4572,277843,2244,2033,9793,8373,4572,279853,2264,1943,9733,8323,4562,281863,2294,1863,9673,8283,4562,283873,2314,1773,9613,8233,4562,285883,2334,1693,9553,8193,4562,287893,2364,1613,9503,8153,4562,289903,2384,1533,9443,8113,4562,290913,2404,1453,9393,8073,4562,292923,2424,1383,9333,8033,4562,294933,2454,1303,9283,7993,4562,296943,2474,1233,9233,7963,4562,297953,2494,1163,9183,7923,4562,299963,2514,1093,9133,7883,4552,300973,2534,1023,9083,7853,4552,302983,2554,0953,9043,7813,4552,303 993,2574,0893,8993,7783,4552,3051003,2594,0823,8953,7753,4552,3061013,2604,0763,8903,7723,4552,3081023,2624,0703,8863,7683,4552,3091033,2644,0643,8823,7653,4552,3101043,2664,0583,8773,7623,4552,3121053,2674,0523,8733,7593,4552,3131063,2694,0463,8693,7563,4552,3141073,2714,0413,8653,7543,4552,3161083,2734,0353,8623,7513,4552,3171093,2744,0303,8583,7483,4552,3181103,2764,0253,8543,7453,4552,3191113,2774,0203,8503,7433,4552,3211123,2794,0143,8473,7403,4552,3221133,2804,0093,8433,7373,4542,3231143,2824,0053,8403,7353,4542,3241153,2834,0003,8363,7323,4542,3251163,2853,9953,8333,7303,4542,3261173,2863,9903,8303,7283,4542,3271183,2873,9863,8273,7253,4542,3281193,2893,9813,8233,7233,4542,3291203,2903,9773,8203,7213,4542,3301213,2913,9723,8173,7183,4542,3311223,2933,9683,8143,7163,4542,3321233,2943,9643,8113,7143,4542,3331243,2953,9603,8083,7123,4542,3341253,2973,9563,8063,7103,4542,3351263,2983,9523,8033,7083,4542,3361273,2993,9483,8003,7063,4542,3371283,3003,9443,7973,7043,4542,3381293,3013,9403,7943,7023,4542,3391303,3023,9363,7923,7003,4542,3391313,3043,9323,7893,6983,4542,3401323,3053,9293,7873,6963,4542,3411333,3063,9253,7843,6943,4542,3421343,3073,9223,7823,6923,4542,3431353,3083,9183,7793,6913,4542,3441363,3093,9153,7773,6893,4542,3441373,3103,9113,7743,6873,4542,3451383,3113,9083,7723,6853,4542,3461393,3123,9053,7703,6843,4542,3471403,3133,9013,7673,6823,4542,3471413,3143,8983,7653,6803,4542,348 1423,3153,8953,7633,6793,4532,3491433,3163,8923,7613,6773,4532,3491443,3173,8893,7593,6753,4532,3501453,3183,8863,7563,6743,4532,3511463,3193,8833,7543,6723,4532,3521473,3193,8803,7523,6713,4532,3521483,3203,8773,7503,6693,4532,3531493,3213,8743,7483,6683,4532,3541503,3223,8713,7463,6663,4532,354Term to maturity (in years)Australian dollar (in %)Baht (in %)Canadian dollar (in %)Chilean peso (in %)Colombian peso (in %)Hong Kong dollar (in %)14,7261,9575,2187,4329,8384,81324,6092,0854,9176,1309,7934,52234,4182,1504,4755,6009,7554,28244,3002,1934,0905,3979,7644,12754,2592,2323,8305,2999,8054,00964,2652,2733,6905,2489,8583,94474,2842,3223,6145,2209,9263,89884,3122,3833,5685,2039,9983,84994,3382,4503,5355,19110,0673,806104,3582,5233,5075,18010,1353,778114,3852,6023,4825,16710,1583,767124,4122,6823,4575,15410,1363,768134,4312,7593,4345,13910,0813,775144,4422,8303,4125,12410,0013,783154,4462,8943,3915,1099,9043,791164,4442,9483,3725,0949,7943,796174,4352,9953,3555,0799,6743,798184,4193,0353,3385,0649,5493,799194,3943,0703,3245,0509,4203,798204,3613,1013,3105,0369,2903,796214,3183,1283,2985,0229,1593,793224,2703,1523,2875,0099,0293,789234,2193,1733,2784,9968,9023,784244,1673,1913,2694,9838,7773,780254,1163,2083,2624,9718,6553,775264,0663,2233,2564,9608,5373,769274,0203,2373,2504,9488,4223,764283,9773,2493,2464,9378,3113,758293,9373,2603,2434,9278,2053,752303,9023,2703,2404,9178,1023,747

313,8713,2793,2394,9078,0033,741323,8433,2873,2384,8977,9093,736333,8183,2953,2384,8887,8183,730343,7963,3023,2384,8797,7303,725353,7763,3083,2394,8717,6473,719363,7583,3143,2404,8637,5673,714373,7423,3193,2414,8557,4903,709383,7283,3243,2434,8477,4163,704393,7153,3293,2454,8407,3463,699403,7033,3333,2474,8337,2783,694413,6923,3373,2494,8267,2133,690423,6823,3413,2514,8197,1513,685433,6733,3443,2544,8137,0913,681443,6653,3483,2564,8067,0343,676453,6573,3513,2594,8006,9793,672463,6503,3543,2614,7956,9263,668473,6443,3563,2644,7896,8763,664483,6383,3593,2664,7846,8273,660493,6323,3613,2694,7786,7803,657503,6273,3633,2714,7736,7353,653513,6223,3663,2744,7686,6913,649523,6173,3683,2764,7646,6493,646533,6133,3693,2794,7596,6093,643543,6093,3713,2814,7546,5703,639553,6053,3733,2844,7506,5323,636563,6023,3753,2864,7466,4963,633573,5993,3763,2884,7426,4613,630583,5953,3783,2914,7386,4273,627593,5923,3793,2934,7346,3943,625603,5893,3803,2954,7306,3633,622613,5873,3823,2974,7276,3323,619623,5843,3833,2994,7236,3023,617633,5823,3843,3024,7206,2743,614643,5793,3853,3044,7166,2463,612653,5773,3863,3064,7136,2193,609663,5753,3883,3084,7106,1933,607673,5733,3893,3094,7076,1673,605683,5713,3903,3114,7046,1433,602693,5693,3903,3134,7016,1193,600703,5673,3913,3154,6986,0953,598713,5653,3923,3174,6966,0733,596723,5643,3933,3184,6936,0513,594733,5623,3943,3204,6906,0303,592 743,5603,3953,3224,6886,0093,590753,5593,3963,3234,6855,9893,589763,5573,3963,3254,6835,9693,587773,5563,3973,3274,6815,9503,585783,5543,3983,3284,6785,9313,583793,5533,3983,3304,6765,9133,582803,5523,3993,3314,6745,8953,580813,5503,4003,3324,6725,8783,578823,5493,4003,3344,6705,8613,577833,5483,4013,3354,6685,8443,575843,5473,4023,3364,6665,8283,574853,5453,4023,3384,6645,8123,572863,5443,4033,3394,6625,7973,571873,5433,4033,3404,6605,7823,570883,5423,4043,3414,6585,7673,568893,5413,4043,3434,6575,7533,567903,5403,4053,3444,6555,7393,566913,5393,4053,3454,6535,7253,564923,5383,4063,3464,6515,7123,563933,5373,4063,3474,6505,6993,562943,5363,4073,3484,6485,6863,561953,5353,4073,3494,6475,6733,560963,5343,4083,3504,6455,6613,559973,5333,4083,3514,6445,6493,557983,5333,4093,3524,6425,6373,556993,5323,4093,3534,6415,6263,5551003,5313,4103,3544,6395,6143,5541013,5303,4103,3554,6385,6033,5531023,5293,4103,3564,6375,5933,5521033,5293,4113,3574,6355,5823,5511043,5283,4113,3584,6345,5713,5501053,5273,4113,3594,6335,5613,5491063,5263,4123,3604,6315,5513,5481073,5263,4123,3614,6305,5413,5471083,5253,4133,3614,6295,5323,5471093,5243,4133,3624,6285,5223,5461103,5243,4133,3634,6275,5133,5451113,5233,4143,3644,6265,5043,5441123,5223,4143,3644,6245,4953,5431133,5223,4143,3654,6235,4863,5421143,5213,4153,3664,6225,4773,5411153,5203,4153,3674,6215,4683,5411163,5203,4153,3674,6205,4603,540 1173,5193,4153,3684,6195,4523,5391183,5193,4163,3694,6185,4443,5381193,5183,4163,3704,6175,4363,5381203,5173,4163,3704,6165,4283,5371213,5173,4173,3714,6155,4203,5361223,5163,4173,3714,6145,4133,5351233,5163,4173,3724,6135,4053,5351243,5153,4173,3734,6125,3983,5341253,5153,4183,3734,6125,3913,5331263,5143,4183,3744,6115,3843,5331273,5143,4183,3754,6105,3773,5321283,5133,4183,3754,6095,3703,5311293,5133,4193,3764,6085,3633,5311303,5123,4193,3764,6075,3563,5301313,5123,4193,3774,6065,3503,5301323,5113,4193,3774,6065,3433,5291333,5113,4203,3784,6055,3373,5281343,5103,4203,3794,6045,3313,5281353,5103,4203,3794,6035,3243,5271363,5093,4203,3804,6025,3183,5271373,5093,4213,3804,6025,3123,5261383,5093,4213,3814,6015,3063,5261393,5083,4213,3814,6005,3013,5251403,5083,4213,3824,6005,2953,5241413,5073,4213,3824,5995,2893,5241423,5073,4223,3834,5985,2843,5231433,5073,4223,3834,5975,2783,5231443,5063,4223,3834,5975,2733,5221453,5063,4223,3844,5965,2673,5221463,5053,4223,3844,5955,2623,5211473,5053,4233,3854,5955,2573,5211483,5053,4233,3854,5945,2523,5201493,5043,4233,3864,5945,2473,5201503,5043,4233,3864,5935,2423,519Term to maturity (in years)Indian rupee (in %)Mexican peso (in %)New Taiwan dollar (in %)New Zealand dollar (in %)Rand (in %)Real (in %)16,88411,4220,8965,7948,80511,35127,0019,9850,9305,4308,62810,23537,0729,1010,9615,0258,60810,04647,1208,6350,9854,7588,72010,102

57,1308,4011,0054,5958,92310,22967,1468,2951,0234,5129,20710,36277,1608,2481,0394,4619,49010,48287,1768,2241,0544,4269,75210,59397,1978,2011,0674,4069,99010,674107,2128,1661,0804,40410,20410,740117,2118,1131,1094,41910,39110,759127,1988,0451,1534,44410,55110,735137,1777,9671,2064,47410,67810,679147,1497,8831,2644,50510,77210,599157,1187,7951,3244,53610,82710,502167,0837,7051,3864,56510,84110,393177,0477,6151,4474,58910,82210,275187,0107,5241,5084,60810,77610,151196,9727,4351,5674,62210,71010,024206,9347,3481,6244,62910,6289,896216,8977,2631,6804,62910,5349,767226,8607,1801,7334,62310,4329,640236,8247,0991,7854,61310,3249,515246,7897,0221,8354,59910,2129,392256,7556,9471,8824,58310,0999,273266,7226,8751,9274,5659,9849,157276,6896,8051,9714,5469,8719,045286,6586,7392,0134,5269,7588,936296,6286,6752,0524,5059,6488,832306,5996,6142,0914,4839,5408,731316,5716,5552,1274,4629,4358,634326,5446,4982,1624,4419,3338,541336,5186,4452,1954,4199,2358,452346,4936,3932,2274,3989,1398,367356,4696,3432,2584,3789,0478,285366,4466,2962,2874,3588,9598,207376,4246,2502,3154,3388,8738,131386,4026,2072,3424,3198,7928,059396,3826,1652,3684,3008,7137,990406,3626,1252,3934,2828,6377,924416,3436,0862,4164,2648,5647,860426,3256,0492,4394,2478,4947,799436,3076,0142,4614,2308,4277,741446,2905,9802,4824,2148,3637,685456,2735,9472,5034,1998,3017,631466,2585,9162,5224,1848,2417,579476,2425,8852,5414,1698,1847,530 486,2285,8562,5594,1558,1297,482496,2145,8282,5764,1428,0757,436506,2005,8012,5934,1298,0247,391516,1875,7752,6094,1167,9757,349526,1745,7502,6254,1047,9287,308536,1625,7262,6404,0927,8827,268546,1505,7032,6554,0807,8387,230556,1385,6802,6694,0697,7967,193566,1275,6582,6824,0587,7547,158576,1165,6372,6954,0487,7157,123586,1065,6172,7084,0387,6777,090596,0965,5972,7214,0287,6397,058606,0865,5782,7324,0197,6047,027616,0775,5602,7444,0097,5696,997626,0675,5422,7554,0017,5356,968636,0595,5252,7663,9927,5036,940646,0505,5082,7773,9837,4716,912656,0425,4922,7873,9757,4416,886666,0335,4762,7973,9677,4116,860676,0255,4612,8063,9607,3836,835686,0185,4462,8163,9527,3556,811696,0105,4312,8253,9457,3286,788706,0035,4172,8343,9387,3016,765715,9965,4042,8423,9317,2766,743725,9895,3902,8513,9257,2516,721735,9825,3772,8593,9187,2276,700745,9765,3652,8673,9127,2036,680755,9705,3532,8753,9067,1806,660765,9635,3412,8823,9007,1586,641775,9575,3292,8893,8947,1366,622785,9525,3182,8973,8887,1156,603795,9465,3072,9033,8837,0956,586805,9405,2962,9103,8777,0756,568815,9355,2862,9173,8727,0556,551825,9305,2752,9233,8677,0366,535835,9245,2652,9303,8627,0176,518845,9195,2562,9363,8576,9996,503855,9145,2462,9423,8526,9816,487865,9105,2372,9483,8476,9646,472875,9055,2282,9543,8436,9476,457885,9005,2192,9593,8386,9316,443895,8965,2102,9653,8346,9146,429905,8915,2022,9703,8306,8996,415 915,8875,1942,9753,8256,8836,402925,8835,1852,9803,8216,8686,389935,8795,1772,9853,8176,8536,376945,8755,1702,9903,8136,8396,363955,8715,1622,9953,8106,8256,351965,8675,1553,0003,8066,8116,339975,8635,1473,0053,8026,7976,327985,8595,1403,0093,7996,7846,316995,8565,1333,0143,7956,7716,3041005,8525,1263,0183,7926,7586,2931015,8495,1203,0223,7886,7456,2821025,8455,1133,0263,7856,7336,2721035,8425,1073,0303,7826,7216,2611045,8395,1003,0343,7786,7096,2511055,8355,0943,0383,7756,6986,2411065,8325,0883,0423,7726,6866,2311075,8295,0823,0463,7696,6756,2211085,8265,0763,0503,7666,6646,2121095,8235,0703,0533,7636,6536,2021105,8205,0653,0573,7616,6436,1931115,8175,0593,0613,7586,6336,1841125,8145,0543,0643,7556,6226,1751135,8125,0483,0683,7526,6126,1671145,8095,0433,0713,7506,6036,1581155,8065,0383,0743,7476,5936,1501165,8045,0333,0773,7446,5846,1421175,8015,0283,0813,7426,5746,1341185,7985,0233,0843,7396,5656,1261195,7965,0183,0873,7376,5566,1181205,7935,0133,0903,7356,5476,1101215,7915,0093,0933,7326,5396,1031225,7895,0043,0963,7306,5306,0951235,7865,0003,0993,7286,5226,0881245,7844,9953,1013,7256,5136,0811255,7824,9913,1043,7236,5056,0741265,7794,9863,1073,7216,4976,0671275,7774,9823,1103,7196,4896,0601285,7754,9783,1123,7176,4816,0531295,7734,9743,1153,7156,4746,0461305,7714,9703,1173,7136,4666,0401315,7694,9663,1203,7116,4596,0331325,7674,9623,1223,7096,4526,0271335,7654,9583,1253,7076,4446,021

1345,7634,9543,1273,7056,4376,0151355,7614,9513,1303,7036,4306,0091365,7594,9473,1323,7016,4236,0031375,7574,9433,1343,6996,4175,9971385,7554,9403,1373,6976,4105,9911395,7534,9363,1393,6966,4035,9851405,7514,9333,1413,6946,3975,9801415,7504,9293,1433,6926,3915,9741425,7484,9263,1453,6906,3845,9691435,7464,9233,1483,6896,3785,9631445,7444,9193,1503,6876,3725,9581455,7434,9163,1523,6856,3665,9531465,7414,9133,1543,6846,3605,9481475,7394,9103,1563,6826,3545,9421485,7384,9073,1583,6816,3485,9371495,7364,9033,1603,6796,3435,9321505,7354,9003,1623,6786,3375,927Term to maturity (in years)Renminbi-yuan (in %)Ringgit (in %)Russian rouble (in %)Singapore dollar (in %)South Korean won (in %)Turkish lira (in %)11,9243,2359,4153,8613,78712,89622,0273,3429,6793,6903,66913,78032,1613,4409,9213,5643,56114,80342,2763,51810,1753,4543,49515,72852,3713,59110,4243,3643,43916,47762,4483,66110,6543,2983,40217,03672,5153,72610,8663,2493,38017,44682,5773,78611,0693,2133,36917,73792,6373,84211,2343,1863,36217,922102,6973,89211,3653,1683,35518,011112,7563,93811,4653,1553,34818,022122,8153,98111,5333,1473,34017,971132,8734,01911,5683,1433,33217,871142,9284,05511,5663,1413,32417,729152,9824,08911,5283,1413,31717,554163,0344,12411,4603,1433,31117,350173,0834,15611,3693,1453,30517,124183,1304,18511,2603,1493,30016,880193,1754,20911,1383,1523,29616,623203,2174,22711,0063,1573,29316,355213,2584,23810,8683,1613,29216,082223,2974,24410,7273,1663,29015,805 233,3344,24510,5833,1713,29015,527243,3694,24210,4403,1763,29015,251253,4024,23610,2973,1823,29114,978263,4344,22810,1573,1873,29214,710273,4654,21910,0193,1923,29314,449283,4944,2089,8853,1973,29414,194293,5224,1969,7543,2023,29613,948303,5484,1849,6283,2073,29813,709313,5744,1709,5063,2123,30013,479323,5984,1579,3883,2173,30213,258333,6214,1449,2743,2213,30413,045343,6434,1309,1653,2263,30612,841353,6644,1169,0603,2303,30812,645363,6854,1038,9603,2353,31012,458373,7044,0908,8633,2393,31312,278383,7234,0778,7703,2433,31512,106393,7414,0648,6813,2473,31711,942403,7584,0518,5963,2513,31911,784413,7744,0398,5143,2553,32111,633423,7904,0278,4353,2583,32311,489433,8054,0168,3603,2623,32511,350443,8204,0058,2883,2653,32711,218453,8343,9948,2183,2693,32911,090463,8483,9838,1513,2723,33110,968473,8613,9738,0873,2753,33310,851483,8733,9638,0263,2783,33510,739493,8853,9537,9663,2813,33710,631503,8973,9447,9093,2843,33910,527513,9083,9357,8543,2873,34110,427523,9193,9267,8013,2903,34210,331533,9303,9177,7503,2933,34410,239543,9403,9097,7013,2953,34610,150553,9503,9017,6543,2983,34710,064563,9593,8937,6083,3003,3499,981573,9693,8867,5643,3033,3509,901583,9783,8797,5213,3053,3529,824593,9863,8717,4803,3073,3539,750603,9943,8657,4403,3093,3559,678614,0033,8587,4013,3113,3569,608624,0103,8527,3643,3143,3589,541634,0183,8457,3283,3163,3599,475644,0253,8397,2933,3183,3609,412654,0333,8337,2593,3193,3619,351 664,0403,8287,2263,3213,3639,292674,0463,8227,1943,3233,3649,234684,0533,8177,1633,3253,3659,178694,0593,8117,1333,3273,3669,124704,0663,8067,1033,3283,3679,072714,0723,8017,0753,3303,3689,021724,0783,7967,0473,3323,3698,971734,0833,7927,0203,3333,3718,923744,0893,7876,9943,3353,3728,876754,0943,7836,9693,3363,3738,830764,1003,7786,9443,3383,3748,785774,1053,7746,9203,3393,3748,742784,1103,7706,8963,3403,3758,700794,1153,7666,8733,3423,3768,659804,1193,7626,8513,3433,3778,619814,1243,7586,8293,3443,3788,580824,1293,7546,8083,3463,3798,542834,1333,7516,7873,3473,3808,505844,1373,7476,7673,3483,3818,468854,1423,7436,7473,3493,3818,433864,1463,7406,7283,3503,3828,398874,1503,7376,7093,3523,3838,365884,1543,7336,6913,3533,3848,332894,1583,7306,6733,3543,3848,299904,1623,7276,6553,3553,3858,268914,1653,7246,6383,3563,3868,237924,1693,7216,6213,3573,3878,207934,1723,7186,6053,3583,3878,177944,1763,7156,5883,3593,3888,149954,1793,7136,5733,3603,3888,120964,1833,7106,5573,3613,3898,093974,1863,7076,5423,3623,3908,066984,1893,7056,5273,3633,3908,039994,1923,7026,5133,3633,3918,0131004,1953,6996,4993,3643,3927,9881014,1983,6976,4853,3653,3927,9631024,2013,6956,4713,3663,3937,9381034,2043,6926,4583,3673,3937,9151044,2073,6906,4443,3683,3947,8911054,2103,6886,4313,3683,3947,8681064,2133,6856,4193,3693,3957,8451074,2153,6836,4063,3703,3957,8231084,2183,6816,3943,3713,3967,802

1094,2203,6796,3823,3713,3967,7801104,2233,6776,3713,3723,3977,7591114,2253,6756,3593,3733,3977,7391124,2283,6736,3483,3733,3987,7181134,2303,6716,3373,3743,3987,6991144,2333,6696,3263,3753,3997,6791154,2353,6676,3153,3753,3997,6601164,2373,6656,3053,3763,4007,6411174,2403,6636,2943,3773,4007,6231184,2423,6616,2843,3773,4007,6051194,2443,6606,2743,3783,4017,5871204,2463,6586,2643,3783,4017,5691214,2483,6566,2543,3793,4027,5521224,2503,6546,2453,3803,4027,5351234,2523,6536,2363,3803,4027,5181244,2543,6516,2263,3813,4037,5021254,2563,6506,2173,3813,4037,4861264,2583,6486,2083,3823,4047,4701274,2603,6466,2003,3823,4047,4541284,2623,6456,1913,3833,4047,4391294,2643,6436,1833,3833,4057,4231304,2663,6426,1743,3843,4057,4091314,2673,6406,1663,3843,4057,3941324,2693,6396,1583,3853,4067,3791334,2713,6376,1503,3853,4067,3651344,2733,6366,1423,3863,4067,3511354,2743,6356,1343,3863,4077,3371364,2763,6336,1273,3873,4077,3241374,2773,6326,1193,3873,4077,3101384,2793,6316,1123,3883,4087,2971394,2813,6296,1043,3883,4087,2841404,2823,6286,0973,3893,4087,2711414,2843,6276,0903,3893,4087,2581424,2853,6266,0833,3903,4097,2461434,2873,6246,0763,3903,4097,2341444,2883,6236,0693,3903,4097,2211454,2903,6226,0633,3913,4107,2101464,2913,6216,0563,3913,4107,1981474,2933,6206,0493,3923,4107,1861484,2943,6186,0433,3923,4107,1751494,2953,6176,0373,3923,4117,1631504,2973,6166,0303,3933,4117,152 Term to maturity (in years)US dollar (in %)Yen (in %)15,379-0,00724,7880,06334,3570,11844,0690,16553,8820,22363,7560,29473,6670,36983,6020,44293,5550,508103,5210,568113,4980,623123,4840,673133,4750,721143,4670,766153,4600,810163,4520,851173,4410,890183,4260,925193,4060,957203,3790,984213,3471,006223,3101,023233,2721,036243,2351,044253,1981,047263,1641,047273,1331,045283,1061,046293,0831,052303,0641,065313,0491,085323,0391,112333,0311,143343,0261,177353,0231,214363,0221,252373,0221,291383,0241,331393,0261,371403,0291,410413,0331,450 423,0371,489433,0421,527443,0471,564453,0521,601463,0571,637473,0631,672483,0681,706493,0741,739503,0791,771513,0851,802523,0901,832533,0961,862543,1011,890553,1071,918563,1121,945573,1171,971583,1221,996593,1272,021603,1322,045613,1362,068623,1412,090633,1462,112643,1502,133653,1542,154663,1592,174673,1632,193683,1672,212693,1712,230703,1742,248713,1782,266723,1822,283733,1852,299743,1892,315753,1922,331763,1962,346773,1992,361783,2022,375793,2052,389803,2082,403813,2112,417823,2142,430833,2172,443843,2192,455 853,2222,467863,2252,479873,2272,491883,2302,502893,2322,513903,2352,524913,2372,535923,2392,545933,2422,556943,2442,566953,2462,575963,2482,585973,2502,594983,2522,604993,2542,6131003,2562,6211013,2582,6301023,2602,6391033,2622,6471043,2642,6551053,2652,6631063,2672,6711073,2692,6791083,2702,6861093,2722,6941103,2742,7011113,2752,7081123,2772,7151133,2782,7221143,2802,7291153,2812,7361163,2832,7421173,2842,7491183,2862,7551193,2872,7611203,2882,7671213,2902,7731223,2912,7791233,2922,7851243,2942,7911253,2952,7971263,2962,8021273,2972,808 1283,2982,8131293,3002,8181303,3012,8231313,3022,8291323,3032,8341333,3042,8391343,3052,8441353,3062,8481363,3072,8531373,3082,8581383,3092,8631393,3102,8671403,3112,8721413,3122,8761423,3132,8801433,3142,8851443,3152,8891453,3162,8931463,3172,8971473,3182,9021483,3192,9061493,3202,9101503,3212,913

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 RepublicCyprusDenmark10027502102003550350300405040040143524205024753450603505547071453584908255451049092656511470103758512460Duration (in years)EstoniaFinlandFranceGermanyGreeceHungaryIreland100003474132000021741830000193421410001704225200015642363000154424740001524258501015632696020158127107030160427Duration (in years)ItalyLatviaLithuaniaLuxembourgMaltaNetherlandsPoland16340130421481001904318111302104421131502204523151702304 6251719025047271820025048291922027049302023127041032212412704Duration (in years)PortugalRomaniaSlovakiaSloveniaSpainSwedenUnited Kingdom121810144002351513171000340171522130044218172615005451918291700647211933190074922213420008492322362200947242236230010462223372400Duration (in years)IcelandLiechtensteinNorwaySwitzerlandAustraliaBrazilCanada1500001202500001203500001204500001205500001206500001207500001208500001209500001201050000120Duration (in years)ChileChinaColombiaHong KongIndiaJapanMalaysia11601101000218117010003172270100041633301000515335010006143380100071343901000 8147380100091553501000101353701010Duration (in years)MexicoNew ZealandRussiaSingaporeSouth AfricaSouth KoreaThailand18000781290001011031000011110410000131305110201315061005015150710070171508100110191509100160201501010016022150Duration (in years)TaiwanTurkeyUnited States14002400340044005400640074008400940010400
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 61619421092245091252261942109224509100737214310422150582049244610722050467851026511102195045696112854115219504504 712305611721950450481231561162195045049133256116219504504101333571152195045041114345711621950450412143557116219504504131435571162195045041415365711621950450415153657116219504504161536571162195045041715365711621950450418153657116219504504191536571162195045042016365711621950450421163657116219504504221836571162195045042318365711621950450424193657116219504504251936571162195045042620365711621950450427213657116219504504282136571162195045042922365711621950450430233657116219504504 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 61183154122236521130222033551232375221038321355711823451884142237591202325176945223863122232516582623406612623151551572341671282305155158224166126229514514922416512522951351310224265124228513513112242651242285125121222426412322751251213214264122226511511

1421426312222651051015214263122225510510162041621212255105101720416212122551051018204162121225510510192041621212255105102020426312122551051021214263122226510510222142631222265105102321426312222651151124214263122226511511252142631222265105102621426312222651051027214263122226510510282142631222265105102923426312222551051030244263121225510510 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 616194210922450812512619421092245081007372143104220505820492446107219504678510265111021950456961128541142195045047123056117219504504812315611621950450491232561152195045041013335611521950450411143457115219504504121435571152195045041314355711521950450414143657115219504504151436571152195045041614365711521950450417143657115219504504181436571152195045041915365711521950450420163657115219504504 21163657115219504504221836571152195045042318365711521950450424193657115219504504251936571152195045042620365711521950450427213657115219504504282136571152195045042922365711521950450430233657115219504504 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 618093115183297582136827689112179294579109538094115176293577888479941161772905747325789411917828857261267895121181286571571777951211822845695698769512018028356856897595119178282567567107393116175279564564117191114173277561561127091113172275560560137091112171275559559147091112171274559559156990112170274559559166990111170274558558176890111169273558558186889110169273558558196788110168272557557206788109168272556556216687108167271556556226587108166270555555236486107165269554554246385106164268553553256284105163267552552266183104162266551551276082103161265550550 28598110216026454954929587910015926354854830577899158262547547 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 611023461142285131254212254711523051410093142850111227512822416315311422751167951734581172275115706183662122227511511719376312422651151181938631232265115119193862122226510510101939621212255105101119406312122551051012204163121225510510132041631212255105101420426312122551051015214263122225510510162042631212255105101721426312222651051018214263122226510510192142631222265115112022436412322751151121224364123227512512222244651232275125122323446512422751251224234465124227512512252344651242275125122623446512422751251227224465123227512512282244651232275125122922436412322751251230234364123227512512 2.6. 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 6151841109223508125125184110922350810063721421032205048194823451062195036775925501092195035696102754114219503503712305511621950350381230551152195035039123155115219503503101232561152195035031113335611521950350312133456115219503503131435561152195035031414355611521950350315143556115219503503161435561152195035031714355611521950350318143556115219503503191535561152195035032016355611521950350321163556115219503503221835561152195035032318355611521950350324193556115219503503251935561152195035032620355611521950350327213556115219503503282135561152195035032922355611521950350330233556115219503503

2.7. 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 617245213924252712912724521392425271040382652127239523847 410285411923752169951230561102365205866143459104235519519716366098233518518818385992232517517920446287231516516102044618523151551511194359852305145141219436087229514514131943608722851351314194360872285125121519436087227512512161943608722651051017194460872255105101819446087224509509191944608722450950920194460872255095092119446087225509509221944608722450950923194460872245095092419446087223508508252044608722350750726204460872225075072721446087221506506282144608722150650629234460872205055053024446087220505505 2.8. 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 618497119187302586129328395118186300585104438397118180296580854482971201812935787095829812318229157659768198124185289574574780981241852875725728789712218228557057097696120179283568568107696119178282567567 117595118177281565565127495117175279564564137394115174278562562147193114172276561561157091112171275560560166990111170274559559176889110169273558558186788109168272557557196688109167271556556206687108167270555555216586107166269554554226485106165268553553236384105164267552552246183104162266551551256082103161265550550265980101160264549549275879100159263548548285778991582625475472956779815726154554530557697156260544544 2.9. 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 6157709216027555912882566992159274559103735771931542705548464577295156268553700557749815726755158965774100160265550550757751011622645495498567410015926354754795474981572615465461054749715626054554511547497156259544544125374961552595435431353749515425854354314537495153257542542155273941532575415411651729315225654154117517293152255540540 18507192151255540540195071921512555395392050719215125453953921497091150254539539224970911502545385382348699014925353853824486990149252537537254768891482525365362646678814725153653627456788146250535535284566871462505345342944658614524953453430436486144248533533 2.10. Króna Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 619110412619430859313452901031261943085931078390104126187303588875490105128188301586722591107131190300585605691108134194299584584792110136197299584584892111136196299584584992111136195299584584109311313619529958458411931131361952995835831293113135194298583583139211313419329758258214911121331922965815811590111132191295580580168911013119029457857817881091301892935775771887108129188292576576198610712818729157557520851061271862905745742184105126184288573573228210312418328757257223811021231822865705702479100121180284569569

257899120179283567567267697118177281566566277596117176279564564287394115174278563563297293114173276561561307091112171275560560 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 613144661342495331268232446713524953410213324668129245530832433487013124352868853349741332425275776345177137242526526734527813924152652683352771372405255259335276135239524524103252761352395235231132537513423852352312325375134237522522133253741332375215211431537413223652152115315273132236520520163051721312355205201730517213123552052018305172131235519519193051721312345195192030517213123551951921305172131235519519223051721312355195192330517213123451951924295172130234519519252950711302345195192629507113023451851827295071129233518518282849701292335185182928497012923351751730284970129232517517 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 6104239120649012142152492206491979325268720348879943629892024876625493493202487556651137972024874877513391002024874878714399920248748797153998202487487108163998202487487119184099203488488129173998202487487131019409920348748714121940992024874871512183997201486486161317389720148548517141738972014854851814173897201485485191518389720148648620151839982024864862116193998202487487221819399820248748723182139982024864862419213998202486486251922399820148648626202239972014864862720233997201486486282124409720148648629222441972014864863022264297201486486 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 614457801472625461265244578014726254610193455981142258543831 446618314425754168854662871462565405786476490150255540540747659115225453953984665901502535385389456589148252537537104565891482525365361145668814725153653612456688146250535535134566871462505345341444658714524953453415446586145249533533164364851442485335331743648514424753253218426384143247532532194263841432475315312042638414324653153121416283142246531531224162831422465305302340618214124553053024406182141244529529253960811402445285282638598013924352852827375980138242527527283758791382415265262936577813724152552530355677136240525525 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 6116295212023451912142203355123238522980324386012123752280142843651262395236645304771130240524559630477313323852352373452781392415265268335277137240525525934547813724152652610365680138242527527 1138588114024352852812396081140244529529133960821412445295291440618214124553053015406182141245530530164061821412455295291740618214124553053018406182141244529529193960821402445295292039618214024452952921396182140244529529223960811402445295292339608114024452852824396081139243528528253859801392435285282638598013924252752727375879138242527527283758791382415265262936577813724152652630365778136240525525

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 61183154122236521127521932551222375221025321355711823451983342338601212345186875244065124233518576625426812823351851872644701312335185188264570130233518518926467012923351851810274770129233518518112848711292335185181228497113023351851813284971130233518518142950711302335185181529507113023351851816285071129233518518 1728507112923351851818285071129233518518192850711292335185182029507112923351851821285071129233518518222849701292335185182328497012923351751724274870128232517517252748691282325165162626486912723151651627264768127231515515282547681262305155152925466712623051551530254667126229514514 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 61536689156271555131725568901582735571047358729415527155685046176981592715567025637910316227255759066481107168272557557765831091702725575578658410916927255755796584109168272557557106686109168272557557116686109168272556556126687109167271556556136586108167270555555146586107166270554554156485106165269554554166485106164268553553176384105164268552552186283105163267552552196283104163267551551206182103162266551551216082103161265550550226081102161264549549235980101160264548548 245879100159263547547255778991582625465462656779815726154654627557697156260545545285475961552595445442953749515425854354330527495153257542542 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 6184971191873025861363289102124192307591110039110512718830558989849310813119130458974559711313719630659162769911614220230759259271011191452053085925928102121146206309594594910312214720631059559510104124147206310595595111041241472063105945941210412414620530959459413103124145204308593593141021231442033065915911510012114320130559059016991201412003045885881798119140199302587587189611713819730158658619951161371963005845842093115136194298583583219211313419329758158122901121331912955805802389110131190294578578248710812918829257657625851061271862905755752684105126184288573573278210312418328757157128801011221812855705702979100121179283568568307798119178282566566 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 611225481152305151267215285011823351710193183254115231516830421365811923251668652339641232335175776254268128233518518726447013123351851882645701302335185189264670129233518518102747701292335185181127487012923351851812274870129233517517132748691282325175171427486912823151651615264768127231516516162547681262305155151725466712623051551518254667126230514514192546671262305145142025466712623051551521254667126230515515222546671262305155152325466712623051551524254667126230515515252546671262305145142625466712622951451427244667125229514514282445661252295145142924456612522951351330244566125229513513

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 619410713019731259613062951081311983135981055397111133194310595863 4991141361973105947165100116141200310594602610111814420430959459471021201462073095945948102120146206309594594910112114520430859359310100120144203307592592111001201432013055905901298119141200304588588139711813919830258758714951171381963005855851594115136195299583583169211313419329758158117911121331912955805801889110131190294579579198810913018929357757720871081291882925765762186107128187291575575228510612718628957457423831051261842885735732482103124183287572572258110212318228657157126801011221812855695692779100121180283568568287799120178282567567297698119177281566566307596117176280565565 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 6130631934240952480913942881011241913065901108391105127188304589896494109132192305590739596113137196306590619698115141201306591591710011814420430759159181001191442043075925929101120144204308592592 1010112114420330759259211102122145203307592592121021231452033075925921310312414520430859259214103124145204308593593151041251462053095935931610512614720631059459417106127148207310595595181061281492073115965961910712814920831259759720108129150208312597597211071291502083125975972210712814920831259759723106127149207311596596241051261482063105955952510412514620530959459426103124145204308592592271021231442023065915912810012114220130559059029991201412003035885883097118139198302587587 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 61011341022165011194211134101216501963321335962124977874315379821149565254174110021049554965184410420949449475194510620949349387194510420849249297194410320749149110820431022064914911192144102206491491129224410220649149113102244102206491491141223441032074914911512234410320749249216132345103207492492 1714244510420849249218142546105208493493191525461052094944942015264710621049549521162748107211495495221728491082114964962318284910821249749724192950109212497497251929501092134984982620295110921349849827203051110213498498282130511102144984982921305111021449949930223052110214499499 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 6151638615426855312862516487155269554103335266881492655508404536890151264548694554709515426354858365471971582635475477547298159261546546854739815826154654695373971562605455451053739615525954454411527295154258542542125172941532565415411350719315125554054014497091150254539539154869901492535375371647688914825153653617466788147251535535184566871462505345341944658614524953453420446586145249533533214364851442485335332243648514424753253223426384143247531531

24416284142246531531254162831422455305302640618214124552952927396081140244529529283960811402435285282938598013924352752730375980138242527527 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 61113126149217331616134321151281502183336171082311813215421533161588441201351582183316167335123139164223332617618612414116822833361761771261441702303336186188126144170230333618618912614516922933361761710126146169228332617617111261461692283316166161212514616822633061561513124145166225329613613141221431652233276126121512114216322232561061016118140161219323608608171171381592183226066061811513615721632060460419113134155214318602602201111321542123166016012111013115221131459959922108129150209313597597231061271482073115955952410412514620530959459425102123144203307592592261001221432013055905902799120141200303588588289711813919830258658629951161371963005855853093115136194298583583 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 611671802022703856691393217518821127939367811113181195217278394679905418419922228239568075051862022272863956806806186203229290395679679718720523129139467867881862042292893936776779185204228288392676676101842042282873916756751118320422628538967467412181202224283387671671131792002222803846696691417619821927738166666615174195216275378663663161711922132723766606601716818921026937365765718165186207266370654654191621832042633676526522015918020126036464964921156177198257361646646221531741952543586436432315017119225135564064024147168189248352636636251441651862453496336332614116218324234663063027138159180239343628628281351561772363406256252913215417523333762262230130151172231335619619 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 61314467134249533121323245671352505349793334769130247531801 435507213324653066553652771362455305606365379140244529529737558114124452952983654801402435285289355579138242527527103555791372415265261135567813724152652612355678136240525525133556771362405255251435567713623952452415345677135239524524163456771352395245241734567713523952452418355677136239524524193556771362405245242035567713624052452421355677136240524524223556771362405245242335567713623952452424345677135239524524253455761352395245242634557613523952352327345576134238523523283354751342385235232933547513423852252230325475133237522522 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 6129426513224753112372314466134249533999334487013124753181743651741342475326785395579138248533571640578314324853353374260861462495335338426086145249533533942618614524953453410436386145249534534

1144648714625053453412456587146250535535134566871462505355351445668714625053553515456687146250535535164566871462505345341745668714625053553518456687146250535535194566881462505355352046678814725053553521466788147251535535224667881472505355352345678814625053553524456687146250534534254466871452495345342644658614524953353327436586144248533533284364851442485325322942638414324753253230426384143246531531 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 6112714016323034562913552125138161229343628109731261401622233396238994127142164225337622747512714316822733762163061271441702313356206207128146172232335619619812714617123133461961991261451702293336186181012614616922833261761711126146169228332616616121251461682273316156151312414516722632961461414123145166224328613613151221431642223266116111612014116222132460960917117138159218322607607 181151361572163206056051911313415521431860360320111132153212316601601211091301512103145985982210712814920831159659623104126147205309594594241021231442033075925922510012114220130559059026981191401993035875872796117138197301585585289411513619529958358329921131341932965815813090111132191295579579 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 61114371052195041249231639106221505100536204110221950382048234510621950367951026511102195045706122955115220504504713315711822050550581332571172205055059133257116220505505101333571162205045041114345711621950450412143557115219504504131435561152195045041414355611521950350315143556115219503503161334561142185035031714355611421850350318143556114218503503191535561152195035032016355611521950450421163657116219504504221836571162205045042318365711622050550524193657116220505505 252036581162205055052620375811622050550527213758116220505505282137581162205055052922375811622050550530233758116220505505 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 613548711382535371248235487113925353810053365071133249533820436517313424753167953652771362465305716385582142247531531736548014124352852883958831432465315319395882141245530530103454771362405255251130517413223652152112284971129233518518132647681272315165161424456612522951451415234465124228512512162143641222265115111721426312222651051018204162121225510510192041621212255095092020416212122550950921204162121225509509222041621212255095092320416212122450950924204162120224509509252041621202245095092620406112022450950927214061120224509509282140611202245085082922406112022450850830234061120223508508 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 612102232463144287131423220722024331042570911603204217239300417701959420021523829841169680351972132382974066916916193210236296401686686719020823429539768268281852042292893936776779182201225284388673673101781982212803846696691117419521727638066566512171192213272376661661131671882092683726576571416318520626436865365315160181202261365649649161561771982573616466461715317419525435864264218150171192251355639639191471681892483526366362014416518624534963363321141162183242346631631221381591802393436286282313515617723634062562524132154175233337622622251301511722313346196192612714816922833261661627124146167225329614614281221431642233276116112911914116222032460960930117138159218322607607

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 618254710023551912782825471002355191024310285096233517832 412335495233517687516385997233518577618426395234519519719446390234519519818436289234519519919456592234519519102148679623451951911235068992345195191224527099234519519132654701002345195191426557110023451951915265571100234519519162655711002345195191726557110023451951918265571100234519519192655711002345195192026557110023451951921265571100235519519222655711002355195192326557110023451951924265571100234519519252655711002345195192626557110023451851827265571100233518518282655711002335185182926557110023351751730265571100232517517 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 610414821964811177215138019547995032513741904757764261575188473644546197818747254265722821874724727592384187471471879238318647147197102383186471471108102483187471471 119112483187471471129112483187471471131013248318747247214111425831874724721512142584188472472161315268418847247217131527841884734731814172885189473473191517298518947447420151830861904744742116183286190475475221619338719147547523182034871914754752419213587191476476251922368719147647626202237871914764762720233887191475475282123408719147547529212441871914754753022244287191475475 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 612142041158306314822142041158347235831142246153361178541152550150361138252172952150352109664203155150338889752233571503227358623345915030561896243562150288526106253764150271453117253865150254393127253865150243344137263865150243303147263865150243268157264065150243243167264265150243243 177264565150243243187264765150243243197264965150243243208265265150243243218265465150243243229265665150243243239265965150243243249266165150243243251026646515024324326102666671502432432711266968150243243281126717015024324329112674721502432433012267673150243243 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 61142632531703183284215273455171357243731527365916637018374142838631633681419515294164162359112461531426616234591171633436716132875381533446916031163291533457116029353810153346731592764631115334673158259402121433457315825135213143245721572503101413324471157250274151331447115624924916123143711562492491712314571156249249181231487015624924919123151711562492492013315271156249249211332557115624924922133258711572502502313326071157250250 2413326371157250250251332657115725025026133268711572502502713327071157250250281332737115624924929133175731562492493013317775156249249 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 611132041157306314821132041157347235831142246152361178541152550150361138252172852150352109664203155150338889752232571503227358523345915030561896243562150288526106253764150271453117253765150254393127253865150243344137253865150243303147253865150243268157254065150243243167254265150243243177254565150243243187254765150243243197254965150243243208255265150243243218255465150243243229255665150243243239255965150243243249256165150243243251025646515024324326102566671502432432711256968150243243281125717015024324329112574721502432433012267673150243243

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 617587941152313333461272849011122837625813738695118225390194747285951202203881501571859712021837711866708697122217362959770879712221534479186987971232143256639698798125213306564106684961232103034851164829512220830142112638194121206299368136281931202062993241462809312020529829815628093120205298298166180921192052982981761799211920429729718607991118204297297196078911182032962962059789011720329629621587789117202295295225876891162012942942357758811520029329324567487114199292292255573861131982912912654728511219729029027537184111196289289285270831101952882882951698210919428728730506880108193286286 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 6161824451623063156271926471633482364382129531593621790 4922325715736113855102536591583521098611273862158339891712294064157323737812304066157306619912304268157288527101231437015627145311123143711562553941213314471156249345131331447115624930414133144711562492691513314471156249249161331447115624924917133245711562492491813324771157250250191432497215725025020143352721572502502114335573158251251221533567315825125123153359731582512512415336173158251251251533647315825125126153366731582512512715336973158251251281533717315825125129153374731582512513014337675158251251 3.6. 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 611131940157305314621131940157346235631132245152361178441142449149360138152162851149352109563193054149338889752132561493227358522335914930561795233561149288526106243663149271453 116243764149254393126243764149242344136253764149242303146253764149242268156254064149242242166254264149242242176254564149242242186254764149242242197254964149242242208255264149242242218255464149242242229255664149242242239255964149242242249256164150243243251025646515024324326102566671502432432711256968150243243281125717015024324329112574721502432433012267673150243243 3.7. 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 61010214417631532532010214417635824413110234917137318484113265416837214295216285816736211326218335916534891774213660164331757862437591633136359931425916229554010113442581612774651110334257161260403129324257160253353138314258159252310148314358158251275159314358158251251169314458156249249179314558156249249 1893248581552482481993251581552482482093252581552482482193255581562492492293258601552482482393260621552482482410326364154247247251032656515324624626103268671532462462711327069152245245281132737115224524529113275731512442443012327775151244244 3.8. 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 617991981192353303258278909711723435924513768998121228376186547589991242243771448574891001232223691152674901011252203569367739010012521834077587189100125216322651970889912621430755510698710012721330647811688699126211304415126685981252103033631365849612320930231914648295122207300300156381931212062992991661809212020529829817607991119204297297186078901182032962961959779011720229529520587689116201294294215776881152002932932256758711419929229223557386113198291291

24547285112197290290255371841111962892892652708211019528828827506981109194287287284968801071932862862948677910619228528530476680105191284284 3.9. 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 6152647192208314324725264709120735724333516472952023721845450647499199373143155064769919836411366506577101196350923750677710119533476484966771031943176429486677104192299547104765781051912844711147657810519028340912466577104189282358134564761041892823151445637610318828128115446375102188281281164362741021872802801743627410118627927918426173101186279279194261731001852782782042607310018527827821426072100185278278224160729918427727723415971991842772772440587198183276276253958709718327627626385769971822752752738567196181274274283756749518027327329365576941802732733036547994179272272 3.10. Króna Duration (in years)Credit quality step 0Credit quality step 1Credit quality step 2Credit quality step 3Credit quality step 4Credit quality step 5Credit quality step 618698105126242337339928698104125242370253738497105129235385191648397107131232383147958398109132231373117068410011113523035894778510211213723034078188510211313923032365598610311514223032355610861041171442303234781186104117144230323414128510411614422932236213841031151432283213211483102114142227320320158210111314022631931916811001121392253183181780991111382243173171879981101372233163161978971091362223153152077961081352203133132176941071342193123122274931051332183113112373921041312163093092472901021302153083082570891011282133063062668879912721230530527678598125210303303286584961242093023022964839512220730030030628193121206299299 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 6126384566182310319322739466618335223943263947711773661814 42539497417436614045254052751733571113626425377173343903727445478172327746826445580171310627926445582170292534102644568317027545911254456841692623991225435683168261349132443558216826130714244255821672602721523425481167260260162341538116625925917224153801662592591822415380165258258192240538016525825820224153801652582582122415580166259259222241578016525825823224060801652582582422406380165258258252140648016525825826214067791652582582721396979164257257282039717916425725729203975781642572573020387778163256256 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 61004231392973050201623140337228731192813535217364131232133353134651415351333441069624173813333186872620401333167198272142133299604947244513328351510492747133266443 11492948134250385124103247133234337135113448134227297145113748133226263156133947132225234166134146131224224176154449131224224186154650132225225197164852132225225207175154132225225218185357133226226229185658133226226239205860133226226249206062132225225251022636313222522526102265651342252252710236867135225225281124706913722522529112572711372252253012267573139225225

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 61395158791953093186239525879195351238933952608419036618114385262871873661403539536588187357111463955669018634490574057679218532874983957689318431163093957689518329453710395769961832774621138576996182275401123856699618127435113375668951812743101437556895180273274153655679417927227216355466931792722721735536693178271271 1834536593178271271193453659217727027020345265921772702702134526492177270270223352649117626926923325163911762692692432506390175268268253150658917526826826304968891742672672730487088173266266282947738717226526529284775861722652653027467786171264264 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 61122430511682973048215273455171338229131831396316935317414203444691693541351523374972171346107462338497416933387372744557917231872382744558017130260992846578417228551910294860871732694471131496289174267389123150629017526834113325063901752683001432516390176269269153251639117626926916325163901762692691732516391176269269183250639017526826819325063901752682682032506390175268268213250639017526826822315062901752682682331506289175268268 2431496289174267267253049648917426726726304866881732662662729486988173266266282947718717226526529284774861722652653028467686171264264 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 611426325317031132102152733541703532403315283660166367181641529396416436514035163142661643561112618344569164342901719364671164326745819374873164309626920384976164291533102039517816427445911213952791642573981221395279164257348132139527916425730714213952791642572711521405279164257257162139527916425725717213952791642572571821395279164257257192139527916425725720213952791642572572121395579164257257222039577916425725723203960781632562562420386178163256256251938647716225525526193766771622552552718376976162255255281836717616125425429173674751612542543017367675160253253 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 614860678820432133232506269902063602460352657397204373185745367771022023731437555708110420336411406577384108203350925758758611020333476585876871122033166439597688115203298547105977901172032964711159779011720329640912597790117202295357135877891162012943151457768811520129429415567587115200293293165674871141992922921755748611319929229218557386113198291291195473851121972902902053728411219729029021537184111196289289225271831101952882882351708210919428728724506981108194287287254968801071932862862648677910619228528527476678106191284284284665771051902832832946647610418928228230456379103188281281

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 617991981192353323447284961031242403782592385981071302373951969 4861001101342353961527589104115138237387121369110711814323837398679411012114523935681689511212314924033868699611412615224133458410971151281552413345031197116128155241334437129611512715524033338213951141261532393323361494113125152237330330159311112415123632932916911101221492353283281790108121148233326326188910711914723232532519871061181452313243242086104117144229322322218410311514222832132122831011141412263193192381100112139224317317247998110137223316316257896108136221314314267694107134219312312277493105132218311311287291103131216309309297189102129214307307306988100127213306306 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 618202647163309319021022295016635123883122533571633651808414273762162365140151630426516335611116173344691643439027193646711643277468193748731643096279203849761642925341020385178164275459 11203951781642583991220395178163256349132038507816325630714193750771622552721518374977162255255161836497616125425417173648761612542541817364875161254254191736507516125425420173652761612542542117365576161254254221736577616125425423173660761612542542417366375161254254251736657516125425426173568751602532532717357075160253253281635737516025325329163575741602532533016357775159252252 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 61891011081292453403295291103109130246363248039110411213624238018854911051151402403811464592107119142240372116369410912114524035994479511212214724034278289511212314924033365799511312415123933256010941121241512383314821193111123151236329418129111012214923532836613891081201482333263261488106119146231324324158610511714422932232216841031151422283213211783101114141226319319 188110011214022531831819809911113822431731720799811013722331631621789710913622231531522779610813522031331323769410713421931231224759310513321831131125739210413121731031026729110313021630930927718910212921430730728708810112821330630629698710012721230530530678698126211304304 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 613023143203414575523530283951021232393802614385981061302363931967487101111135236391151858910311513823738112026911071181422373679747931091201442383498058941111221472383316769941121241502383315751094113125152238331495119511312515323833142912951131261532383313751395114126153239332332149611412615423933233215961151271542403333331697116128155240333333179811612915624133433418991171301572423353351999118130158243336336201001181311582433363362110011813115824333633622991181301582433363362399117130157242335335

2498116129156241334334259611512715524033333326951141261532393323322794112125152237330330289211112315123632932929911091221492343273273089108120148233326326 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 610612331502922996206123315033222483161438144347170841616411423481325518194214134010546292045140327856721122461393127098211224813929659694112449138279508104122751137263438114122952137247380124123152137232333135123452137230294145133752137230260156133853138231232166134153138231231176154453139232232186154554139232232197164855140233233207175156141234234218185356142235235229185558142235235239205860143236236249206061143236236251022636314423723726102265651442372372710236867144237237281124706914523823829112572711452382383012267573145238238 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 614658658520231432402475965862033552423346596791198370183244659709419536914175466172951943601124647637498193346912747647499192330754847647510119231263494765761031912955391046647710419028346411456376103189282403124462751021872803531343617410118627931114416072991852782781540597198184277277163957709718227527517385769961812742741837566895181274274193655679518027327320365567941792722722135546694179272272223553669317827127123345365921782712712434526592177270270253351659117626926926325168901762692692732507090175268268283149738917426726729304975881742672673030487788173266266 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 6110912112714826535933942110122129150266372254731121251331562633891934 411312713716126239015025115130141165263382119661171331441682633699737119136146170264357807811913614717326435768091191371491752633565811011913715017726335650111119137150177262355436121181361491762613543821311613514717426035335314115133146173258351351151131311441712563493491611112914216925434734717109128140167252345345181071261381652503433431910512413616324934234220104122135162247340340211021201331602453383382210011913115824433733723981171291562423353352496115127155240333333259411312515323833133126931111241512363293292791109122149234327327288910812014723232532529871061181462313243243086104117144229322322 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 611621741812023184133526217118318921032742126213175188196220326421198641771912012253264191541517819320422832641912256179195206230325418996718019620723132541882481791962072333234166939178196208234322415591 101781962082353214145091117619520723432041344212174193205232318411411131721902032303154084081416918720022731240540515166184197224309402402161631821942213063993991716017919121830339639618157176188215301394394191541731852122983913912015117018221029538838821148167179207292385385221451641762042893823822314216117320028637937924139158170197283376376251361551671942803733732613315216419127737037027130149161188274367367281271461581862713643642912514315618326836136130122141153180265358358

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 6126394566182297304622739466718333822893274049721793531740427415176176354135252843547817634710766294556801753348757304757811753197258294657831743036109294758851732865201028475986172269448112847598617226538912284659861712643411327465885171264301142746588517026326715274558851702632631627455885170263263 17274558851702632631827455885170263263192746588517026326320274658851712642642127465885171264264222746588517126426423274659851702632632427456185170263263252645648517026326326264566841702632632726446984169262262282544718416926226229254474831692622623025437683168261261 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 61243643641803023111226384566182344233832840497217936017784294353771783611381531465780179353109863348598417934089373551628618032573983552638918030862293553659218029153010365567941802744571137556895181274397123756689618127434813375668961812743061437566896181274274153756689518127427416375668951812742741737566895181274274183756689618127427419385669961812742742038566996181274274213857699618127427422385669961812742742338566996181274274 2437566895181274274253755689518027327326365568941802732732736547094179272272283554739317927227229345375931782712713034527792177270270 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 611221341411622783733425212113313916027737725843120133141164271395196941191331431682683971531512013414616926838912196120136147171266376992712113714817226636082381201371481742653586939119137149176264357591101191381501772633565091111913715017726335644312118137149176261354387131171361481752603533531411613414717425935235215114132145172257350350161121301431702553483481710912814016825334634618107126138166251344344191051241361642493423422010312213416124734034021101120132159245338338229911713015724233533523971151281552403333332495113125153238331331259211112315023632932926901091211482343273272788107119146231324324288610511714422932232229841031151422273203203082101113140225318318 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 61091536153305314220101738154346235531122144151361178641142449150361138452172852150353109864203155151339891762333581513237378624346015130662096243663151289528107253764151272454117253865150255394127253865150243345136253764150243304146253864150243269156254064149242242166244264149242242176244564149242242186244764149242242197254964149242242208255265150243243218255565150243243229265665151244244239265966151244244249266166151244244251026646615124424426102666671512442442711266969151244244281126717115124424429112674731512442443012277675151244244

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 6130424970186305313923143497018734623533294251741813611785 42942537717836113845294355781773531099631475882177340892729465781174324738833506186177307621932506188176290529102746588517127345511234254821672603951221395279164257346131837497616225530514173547751602532701515344673159252252161432457215725025017133245711562492491812314771156249249191231497015524824820123152701552482482112315570155248248221231577015524824823123059701552482482412306170155248248251230647015524824826123066701552482482711306970155248248281130717115524824829113074731542472473012297675154247247 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 6120621822424536245636082202214221242358453274331972102192423494432107419320721724134243616505189204215239337430132061862022132373324251077718320021023432842189581791962072323234167549175193204231319412643 101711902022293154085541116718619822631140448112163182194222307400421131591781902183033963961415617418721429939239215152171183210295388388161491671802072923853851714516417620328938238218142161173200286379379191391581701972833763762013615516719428037337321133152164191277370370221301491611892743673672312814615818627136436424125143156183268361361251221401531802653583582611913815017726335635627117135148175260353353281141331451722583513512911213014317025534834830109128140167253346346 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 61014255016831232192014255016835224013117285516536618144120316016436514035323366616435611126627396816534290278314270165326746811344574165309626913374976165291533101439517716527445911154153781652583981216425479165258348131643558016525830714174455801652582721517445581165258258 161744568116525825817174456811652582581817445681165258258191744568116525825820174456811652582582117445681165258258221744578116525825823174460811652582582417446181165258258251744648116525825826174466811652582582717446981164257257281744718116425725729174474811642572573017447681163256256 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 610041313028829522016131283282215311816122343168341311181193431307514132111833610396241623118323845726192611730970082621291172935899472430117277503104927331172604331149283511824537712493137118230330134113439118215291145113641118211258156133843118211230166134145119212212176154347119212212186154550120213213197164851121213213207175154123214214217185255125214214 229185557126214214239205759128215215249206061129215215251021616313021521526102264651322152152710236666133215215281124696813421521529112571701352142143012257371137214214

Annex

ANNEX III Volatility adjustment to the relevant risk-free interest rate term structure CurrencyNational insurance marketVolatility adjustment (in bps)EuroAustria21EuroBelgium21EuroCyprus21EuroEstonia21EuroFinland21EuroFrance21EuroGermany21EuroGreece21EuroIreland21EuroItaly21EuroLatvia21EuroLithuania21EuroLuxembourg21EuroMalta21EuroNetherlands21EuroPortugal21EuroSlovakia21EuroSlovenia21EuroSpain21Czech korunaCzech Republic14Danish kroneDenmark25ForintHungary13KronaSweden-1EuroCroatia21LevBulgaria18Pound sterlingUnited Kingdom18Romanian leuRomania11ZlotyPoland12KrónaIceland50Norwegian kroneNorway24Swiss francLiechtenstein-3Swiss francSwitzerland-3Australian dollarAustralia6Canadian dollarCanada19Renminbi-yuanChina3Hong Kong dollarHong Kong3US dollarUnited States53YenJapan-2