Commission Implementing Regulation (EU) 2025/863of 8 May 2025laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 March 2025 until 29 June 2025 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)

Commission Implementing Regulation (EU) 2025/863 of 8 May 2025 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 March 2025 until 29 June 2025 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, ELI: http://data.europa.eu/eli/dir/2009/138/oj. , and in particular Article 77e(2), third subparagraph, 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 4 April 2025, the European Insurance and Occupational Pensions Authority provided the Commission with the technical information related to end of March 2025 market data. That information was published on 4 April 2025 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, ELI: http://data.europa.eu/eli/reg/2011/182/oj).

, 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 31 March 2025 until 29 June 2025.
2. For each relevant currency, the technical information used to calculate the best estimate in accordance with Article 77 of Directive 2009/138/EC, the matching adjustment in accordance with Article 77c of that Directive and the volatility adjustment in accordance with Article 77d of that Directive shall be the following: (a) the relevant risk-free interest rate term structures set out in Annex I; (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 31 March 2025. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 8 May 2025. 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 kroneForintKronaLev12,144 %3,440 %2,134 %6,353 %2,302 %2,094 %22,091 %3,359 %2,081 %6,575 %2,351 %2,041 %32,159 %3,380 %2,149 %6,767 %2,417 %2,109 %42,239 %3,422 %2,229 %6,908 %2,478 %2,189 %52,315 %3,470 %2,305 %7,007 %2,538 %2,265 %62,379 %3,521 %2,369 %7,080 %2,602 %2,329 %72,437 %3,573 %2,427 %7,129 %2,665 %2,387 %82,491 %3,624 %2,480 %7,166 %2,723 %2,440 %92,539 %3,672 %2,529 %7,185 %2,775 %2,489 %102,572 %3,718 %2,562 %7,199 %2,820 %2,521 %112,619 %3,761 %2,608 %7,213 %2,858 %2,568 %122,652 %3,800 %2,641 %7,226 %2,891 %2,601 %132,677 %3,834 %2,667 %7,239 %2,919 %2,626 %142,690 %3,861 %2,680 %7,255 %2,944 %2,639 %152,699 %3,881 %2,688 %7,266 %2,966 %2,648 %162,709 %3,894 %2,699 %7,259 %2,985 %2,658 %172,716 %3,902 %2,706 %7,235 %3,002 %2,666 %182,714 %3,905 %2,704 %7,199 %3,018 %2,664 %192,699 %3,905 %2,689 %7,153 %3,032 %2,649 %202,672 %3,902 %2,662 %7,100 %3,045 %2,622 %212,651 %3,897 %2,641 %7,042 %3,057 %2,601 %222,637 %3,891 %2,627 %6,981 %3,067 %2,588 %232,629 %3,883 %2,620 %6,917 %3,077 %2,581 %242,626 %3,874 %2,617 %6,853 %3,086 %2,579 %252,627 %3,865 %2,618 %6,788 %3,095 %2,580 %262,630 %3,855 %2,621 %6,724 %3,102 %2,585 %272,636 %3,845 %2,627 %6,660 %3,110 %2,592 %282,643 %3,834 %2,635 %6,598 %3,116 %2,600 %292,652 %3,824 %2,643 %6,536 %3,123 %2,610 %302,661 %3,813 %2,653 %6,477 %3,128 %2,620 %312,672 %3,803 %2,664 %6,419 %3,134 %2,632 %322,682 %3,793 %2,675 %6,363 %3,139 %2,643 %332,693 %3,782 %2,686 %6,308 %3,144 %2,655 % 342,705 %3,772 %2,697 %6,256 %3,148 %2,667 %352,716 %3,763 %2,709 %6,205 %3,153 %2,680 %362,727 %3,753 %2,720 %6,156 %3,157 %2,692 %372,738 %3,744 %2,731 %6,109 %3,161 %2,704 %382,749 %3,734 %2,743 %6,064 %3,164 %2,716 %392,760 %3,725 %2,754 %6,020 %3,168 %2,727 %402,771 %3,717 %2,765 %5,978 %3,171 %2,739 %412,781 %3,708 %2,775 %5,938 %3,174 %2,750 %422,792 %3,700 %2,786 %5,899 %3,177 %2,761 %432,802 %3,692 %2,796 %5,862 %3,180 %2,772 %442,811 %3,684 %2,805 %5,826 %3,183 %2,782 %452,821 %3,677 %2,815 %5,791 %3,185 %2,792 %462,830 %3,670 %2,824 %5,758 %3,188 %2,802 %472,839 %3,663 %2,833 %5,726 %3,190 %2,811 %482,848 %3,656 %2,842 %5,695 %3,193 %2,821 %492,856 %3,649 %2,851 %5,665 %3,195 %2,830 %502,864 %3,643 %2,859 %5,636 %3,197 %2,838 %512,872 %3,637 %2,867 %5,609 %3,199 %2,847 %522,880 %3,631 %2,875 %5,582 %3,201 %2,855 %532,887 %3,625 %2,882 %5,556 %3,203 %2,863 %542,894 %3,619 %2,890 %5,532 %3,204 %2,870 %552,901 %3,614 %2,897 %5,508 %3,206 %2,878 %562,908 %3,608 %2,904 %5,484 %3,208 %2,885 %572,915 %3,603 %2,910 %5,462 %3,209 %2,892 %582,921 %3,598 %2,917 %5,440 %3,211 %2,899 %592,927 %3,593 %2,923 %5,420 %3,213 %2,905 %602,933 %3,589 %2,929 %5,399 %3,214 %2,912 %612,939 %3,584 %2,935 %5,380 %3,215 %2,918 %622,945 %3,580 %2,941 %5,361 %3,217 %2,924 %632,950 %3,575 %2,946 %5,342 %3,218 %2,930 %642,956 %3,571 %2,952 %5,324 %3,219 %2,936 %652,961 %3,567 %2,957 %5,307 %3,221 %2,941 %662,966 %3,563 %2,962 %5,290 %3,222 %2,946 %672,971 %3,559 %2,967 %5,274 %3,223 %2,952 %682,976 %3,555 %2,972 %5,258 %3,224 %2,957 %692,980 %3,552 %2,977 %5,243 %3,225 %2,962 %702,985 %3,548 %2,981 %5,228 %3,226 %2,966 %

712,989 %3,545 %2,986 %5,213 %3,227 %2,971 %722,994 %3,541 %2,990 %5,199 %3,228 %2,976 %732,998 %3,538 %2,994 %5,186 %3,229 %2,980 %743,002 %3,535 %2,998 %5,172 %3,230 %2,984 %753,006 %3,532 %3,002 %5,159 %3,231 %2,988 %763,010 %3,529 %3,006 %5,147 %3,232 %2,992 %773,013 %3,526 %3,010 %5,134 %3,233 %2,996 %783,017 %3,523 %3,014 %5,122 %3,234 %3,000 %793,020 %3,520 %3,017 %5,111 %3,235 %3,004 %803,024 %3,517 %3,021 %5,099 %3,235 %3,008 %813,027 %3,515 %3,024 %5,088 %3,236 %3,011 %823,031 %3,512 %3,027 %5,077 %3,237 %3,015 %833,034 %3,510 %3,031 %5,066 %3,238 %3,018 %843,037 %3,507 %3,034 %5,056 %3,239 %3,022 %853,040 %3,505 %3,037 %5,046 %3,239 %3,025 %863,043 %3,502 %3,040 %5,036 %3,240 %3,028 %873,046 %3,500 %3,043 %5,026 %3,241 %3,031 %883,049 %3,498 %3,046 %5,017 %3,241 %3,034 %893,052 %3,496 %3,049 %5,008 %3,242 %3,037 %903,055 %3,493 %3,052 %4,999 %3,243 %3,040 %913,057 %3,491 %3,054 %4,990 %3,243 %3,043 %923,060 %3,489 %3,057 %4,981 %3,244 %3,046 %933,062 %3,487 %3,060 %4,973 %3,245 %3,049 %943,065 %3,485 %3,062 %4,965 %3,245 %3,051 %953,067 %3,483 %3,065 %4,957 %3,246 %3,054 %963,070 %3,481 %3,067 %4,949 %3,246 %3,056 %973,072 %3,479 %3,070 %4,941 %3,247 %3,059 %983,075 %3,478 %3,072 %4,933 %3,247 %3,061 %993,077 %3,476 %3,074 %4,926 %3,248 %3,064 %1003,079 %3,474 %3,076 %4,919 %3,248 %3,066 %1013,081 %3,472 %3,079 %4,912 %3,249 %3,068 %1023,083 %3,471 %3,081 %4,905 %3,249 %3,071 %1033,085 %3,469 %3,083 %4,898 %3,250 %3,073 %1043,088 %3,467 %3,085 %4,891 %3,250 %3,075 %1053,090 %3,466 %3,087 %4,884 %3,251 %3,077 %1063,092 %3,464 %3,089 %4,878 %3,251 %3,079 %1073,093 %3,463 %3,091 %4,872 %3,252 %3,081 % 1083,095 %3,461 %3,093 %4,865 %3,252 %3,083 %1093,097 %3,460 %3,095 %4,859 %3,253 %3,085 %1103,099 %3,458 %3,097 %4,853 %3,253 %3,087 %1113,101 %3,457 %3,099 %4,847 %3,254 %3,089 %1123,103 %3,455 %3,100 %4,841 %3,254 %3,091 %1133,104 %3,454 %3,102 %4,836 %3,254 %3,093 %1143,106 %3,453 %3,104 %4,830 %3,255 %3,095 %1153,108 %3,451 %3,106 %4,825 %3,255 %3,097 %1163,109 %3,450 %3,107 %4,819 %3,256 %3,098 %1173,111 %3,449 %3,109 %4,814 %3,256 %3,100 %1183,113 %3,447 %3,110 %4,809 %3,256 %3,102 %1193,114 %3,446 %3,112 %4,804 %3,257 %3,103 %1203,116 %3,445 %3,114 %4,799 %3,257 %3,105 %1213,117 %3,444 %3,115 %4,794 %3,257 %3,107 %1223,119 %3,443 %3,117 %4,789 %3,258 %3,108 %1233,120 %3,441 %3,118 %4,784 %3,258 %3,110 %1243,122 %3,440 %3,120 %4,779 %3,258 %3,111 %1253,123 %3,439 %3,121 %4,775 %3,259 %3,113 %1263,125 %3,438 %3,123 %4,770 %3,259 %3,114 %1273,126 %3,437 %3,124 %4,765 %3,259 %3,116 %1283,127 %3,436 %3,125 %4,761 %3,260 %3,117 %1293,129 %3,435 %3,127 %4,757 %3,260 %3,119 %1303,130 %3,434 %3,128 %4,752 %3,260 %3,120 %1313,131 %3,433 %3,129 %4,748 %3,261 %3,121 %1323,133 %3,432 %3,131 %4,744 %3,261 %3,123 %1333,134 %3,431 %3,132 %4,740 %3,261 %3,124 %1343,135 %3,430 %3,133 %4,736 %3,261 %3,125 %1353,136 %3,429 %3,134 %4,732 %3,262 %3,127 %1363,137 %3,428 %3,136 %4,728 %3,262 %3,128 %1373,139 %3,427 %3,137 %4,724 %3,262 %3,129 %1383,140 %3,426 %3,138 %4,720 %3,263 %3,130 %1393,141 %3,425 %3,139 %4,717 %3,263 %3,132 %1403,142 %3,424 %3,140 %4,713 %3,263 %3,133 %1413,143 %3,423 %3,141 %4,709 %3,263 %3,134 %1423,144 %3,423 %3,143 %4,706 %3,264 %3,135 %1433,145 %3,422 %3,144 %4,702 %3,264 %3,136 %1443,146 %3,421 %3,145 %4,699 %3,264 %3,137 %

1453,148 %3,420 %3,146 %4,695 %3,264 %3,139 %1463,149 %3,419 %3,147 %4,692 %3,265 %3,140 %1473,150 %3,418 %3,148 %4,688 %3,265 %3,141 %1483,151 %3,418 %3,149 %4,685 %3,265 %3,142 %1493,152 %3,417 %3,150 %4,682 %3,265 %3,143 %1503,153 %3,416 %3,151 %4,679 %3,266 %3,144 %Term to maturity (in years)Pound sterlingRomanian leuZlotyKrónaNorwegian kroneSwiss franc14,185 %6,566 %4,808 %7,989 %4,364 %0,117 %24,044 %6,768 %4,919 %7,504 %4,296 %0,121 %34,002 %6,954 %5,038 %7,213 %4,195 %0,186 %43,994 %7,097 %5,147 %6,982 %4,106 %0,267 %53,999 %7,215 %5,251 %6,806 %4,048 %0,343 %64,019 %7,303 %5,356 %6,676 %4,021 %0,411 %74,053 %7,365 %5,454 %6,585 %4,012 %0,473 %84,092 %7,409 %5,547 %6,524 %4,010 %0,532 %94,136 %7,426 %5,620 %6,471 %4,008 %0,588 %104,184 %7,428 %5,681 %6,408 %4,005 %0,644 %114,232 %7,403 %5,714 %6,336 %3,998 %0,700 %124,280 %7,354 %5,721 %6,258 %3,989 %0,755 %134,324 %7,288 %5,709 %6,178 %3,977 %0,808 %144,364 %7,209 %5,684 %6,097 %3,964 %0,859 %154,399 %7,122 %5,649 %6,015 %3,951 %0,908 %164,429 %7,030 %5,607 %5,934 %3,936 %0,956 %174,454 %6,935 %5,561 %5,855 %3,922 %1,001 %184,474 %6,838 %5,511 %5,777 %3,907 %1,044 %194,491 %6,740 %5,459 %5,702 %3,893 %1,085 %204,504 %6,644 %5,406 %5,629 %3,878 %1,124 %214,514 %6,549 %5,353 %5,558 %3,864 %1,161 %224,521 %6,455 %5,300 %5,490 %3,850 %1,196 %234,525 %6,364 %5,247 %5,424 %3,837 %1,230 %244,525 %6,276 %5,196 %5,361 %3,824 %1,262 %254,523 %6,190 %5,145 %5,300 %3,811 %1,293 %264,517 %6,108 %5,096 %5,242 %3,798 %1,322 %274,510 %6,028 %5,048 %5,186 %3,786 %1,350 % 284,500 %5,951 %5,001 %5,133 %3,775 %1,376 %294,488 %5,877 %4,956 %5,082 %3,763 %1,402 %304,474 %5,806 %4,913 %5,033 %3,752 %1,426 %314,460 %5,738 %4,871 %4,986 %3,742 %1,449 %324,444 %5,673 %4,831 %4,941 %3,731 %1,471 %334,427 %5,610 %4,792 %4,898 %3,721 %1,492 %344,408 %5,550 %4,755 %4,857 %3,712 %1,513 %354,389 %5,492 %4,719 %4,817 %3,703 %1,532 %364,367 %5,437 %4,684 %4,779 %3,694 %1,551 %374,345 %5,384 %4,651 %4,743 %3,685 %1,568 %384,321 %5,334 %4,619 %4,708 %3,677 %1,586 %394,295 %5,285 %4,588 %4,675 %3,669 %1,602 %404,268 %5,238 %4,559 %4,643 %3,661 %1,618 %414,239 %5,194 %4,530 %4,612 %3,653 %1,633 %424,210 %5,151 %4,503 %4,583 %3,646 %1,647 %434,180 %5,110 %4,477 %4,555 %3,639 %1,661 %444,150 %5,070 %4,452 %4,528 %3,632 %1,675 %454,121 %5,032 %4,427 %4,502 %3,626 %1,688 %464,092 %4,995 %4,404 %4,476 %3,619 %1,700 %474,064 %4,960 %4,381 %4,452 %3,613 %1,712 %484,038 %4,926 %4,360 %4,429 %3,607 %1,724 %494,013 %4,894 %4,339 %4,407 %3,602 %1,735 %503,990 %4,863 %4,319 %4,385 %3,596 %1,745 %513,968 %4,832 %4,299 %4,364 %3,591 %1,756 %523,948 %4,803 %4,280 %4,344 %3,586 %1,766 %533,929 %4,775 %4,262 %4,325 %3,581 %1,776 %543,912 %4,748 %4,245 %4,306 %3,576 %1,785 %553,895 %4,722 %4,228 %4,288 %3,571 %1,794 %563,880 %4,697 %4,212 %4,271 %3,566 %1,803 %573,866 %4,672 %4,196 %4,254 %3,562 %1,811 %583,853 %4,649 %4,181 %4,238 %3,558 %1,819 %593,840 %4,626 %4,166 %4,222 %3,553 %1,827 %603,828 %4,604 %4,151 %4,207 %3,549 %1,835 %613,817 %4,583 %4,138 %4,192 %3,545 %1,842 %623,806 %4,562 %4,124 %4,178 %3,542 %1,850 %633,796 %4,542 %4,111 %4,164 %3,538 %1,857 %643,786 %4,523 %4,099 %4,150 %3,534 %1,863 %

653,777 %4,504 %4,086 %4,137 %3,531 %1,870 %663,768 %4,485 %4,074 %4,125 %3,527 %1,876 %673,760 %4,468 %4,063 %4,112 %3,524 %1,883 %683,752 %4,451 %4,052 %4,100 %3,521 %1,889 %693,744 %4,434 %4,041 %4,089 %3,518 %1,895 %703,737 %4,418 %4,030 %4,078 %3,515 %1,900 %713,730 %4,402 %4,020 %4,067 %3,512 %1,906 %723,723 %4,386 %4,010 %4,056 %3,509 %1,911 %733,716 %4,372 %4,000 %4,046 %3,506 %1,917 %743,710 %4,357 %3,991 %4,036 %3,503 %1,922 %753,704 %4,343 %3,982 %4,026 %3,501 %1,927 %763,698 %4,329 %3,973 %4,016 %3,498 %1,932 %773,693 %4,316 %3,964 %4,007 %3,496 %1,936 %783,687 %4,303 %3,955 %3,998 %3,493 %1,941 %793,682 %4,290 %3,947 %3,989 %3,491 %1,945 %803,677 %4,277 %3,939 %3,980 %3,488 %1,950 %813,672 %4,265 %3,931 %3,972 %3,486 %1,954 %823,667 %4,253 %3,923 %3,964 %3,484 %1,958 %833,662 %4,242 %3,916 %3,956 %3,482 %1,962 %843,658 %4,231 %3,908 %3,948 %3,479 %1,966 %853,653 %4,220 %3,901 %3,940 %3,477 %1,970 %863,649 %4,209 %3,894 %3,933 %3,475 %1,974 %873,645 %4,198 %3,887 %3,925 %3,473 %1,978 %883,641 %4,188 %3,881 %3,918 %3,471 %1,981 %893,637 %4,178 %3,874 %3,911 %3,469 %1,985 %903,633 %4,168 %3,868 %3,905 %3,467 %1,989 %913,629 %4,159 %3,862 %3,898 %3,466 %1,992 %923,625 %4,149 %3,855 %3,891 %3,464 %1,995 %933,622 %4,140 %3,849 %3,885 %3,462 %1,999 %943,618 %4,131 %3,844 %3,879 %3,460 %2,002 %953,615 %4,123 %3,838 %3,873 %3,459 %2,005 %963,612 %4,114 %3,832 %3,867 %3,457 %2,008 %973,608 %4,106 %3,827 %3,861 %3,455 %2,011 %983,605 %4,097 %3,821 %3,855 %3,454 %2,014 %993,602 %4,089 %3,816 %3,849 %3,452 %2,017 %1003,599 %4,081 %3,811 %3,844 %3,451 %2,020 %1013,596 %4,073 %3,806 %3,839 %3,449 %2,022 % 1023,593 %4,066 %3,801 %3,833 %3,448 %2,025 %1033,590 %4,058 %3,796 %3,828 %3,446 %2,028 %1043,587 %4,051 %3,791 %3,823 %3,445 %2,030 %1053,585 %4,044 %3,787 %3,818 %3,444 %2,033 %1063,582 %4,037 %3,782 %3,813 %3,442 %2,035 %1073,579 %4,030 %3,777 %3,808 %3,441 %2,038 %1083,577 %4,023 %3,773 %3,804 %3,440 %2,040 %1093,574 %4,017 %3,769 %3,799 %3,438 %2,043 %1103,571 %4,010 %3,764 %3,794 %3,437 %2,045 %1113,569 %4,004 %3,760 %3,790 %3,436 %2,047 %1123,567 %3,997 %3,756 %3,786 %3,435 %2,050 %1133,564 %3,991 %3,752 %3,781 %3,433 %2,052 %1143,562 %3,985 %3,748 %3,777 %3,432 %2,054 %1153,560 %3,979 %3,744 %3,773 %3,431 %2,056 %1163,557 %3,973 %3,740 %3,769 %3,430 %2,058 %1173,555 %3,967 %3,737 %3,765 %3,429 %2,060 %1183,553 %3,962 %3,733 %3,761 %3,428 %2,062 %1193,551 %3,956 %3,729 %3,757 %3,427 %2,064 %1203,549 %3,951 %3,726 %3,753 %3,426 %2,066 %1213,547 %3,945 %3,722 %3,749 %3,425 %2,068 %1223,545 %3,940 %3,719 %3,746 %3,424 %2,070 %1233,543 %3,935 %3,715 %3,742 %3,423 %2,072 %1243,541 %3,930 %3,712 %3,738 %3,422 %2,074 %1253,539 %3,925 %3,709 %3,735 %3,421 %2,076 %1263,537 %3,920 %3,705 %3,731 %3,420 %2,077 %1273,535 %3,915 %3,702 %3,728 %3,419 %2,079 %1283,533 %3,910 %3,699 %3,725 %3,418 %2,081 %1293,531 %3,905 %3,696 %3,721 %3,417 %2,083 %1303,530 %3,900 %3,693 %3,718 %3,416 %2,084 %1313,528 %3,896 %3,690 %3,715 %3,415 %2,086 %1323,526 %3,891 %3,687 %3,712 %3,414 %2,087 %1333,524 %3,887 %3,684 %3,709 %3,413 %2,089 %1343,523 %3,882 %3,681 %3,706 %3,413 %2,091 %1353,521 %3,878 %3,678 %3,703 %3,412 %2,092 %1363,519 %3,874 %3,675 %3,700 %3,411 %2,094 %1373,518 %3,870 %3,673 %3,697 %3,410 %2,095 %1383,516 %3,866 %3,670 %3,694 %3,409 %2,097 %

1393,515 %3,861 %3,667 %3,691 %3,408 %2,098 %1403,513 %3,857 %3,665 %3,688 %3,408 %2,100 %1413,512 %3,853 %3,662 %3,686 %3,407 %2,101 %1423,510 %3,850 %3,660 %3,683 %3,406 %2,102 %1433,509 %3,846 %3,657 %3,680 %3,405 %2,104 %1443,507 %3,842 %3,655 %3,677 %3,405 %2,105 %1453,506 %3,838 %3,652 %3,675 %3,404 %2,107 %1463,504 %3,834 %3,650 %3,672 %3,403 %2,108 %1473,503 %3,831 %3,647 %3,670 %3,403 %2,109 %1483,502 %3,827 %3,645 %3,667 %3,402 %2,110 %1493,500 %3,824 %3,643 %3,665 %3,401 %2,112 %1503,499 %3,820 %3,640 %3,662 %3,401 %2,113 %Term to maturity (in years)Australian dollarCanadian dollarColombian pesoHong Kong dollarNew Taiwan dollarRenminbi-yuan13,901 %2,430 %9,112 %3,320 %0,993 %1,357 %23,738 %2,348 %9,471 %3,075 %1,049 %1,286 %33,729 %2,351 %9,925 %2,998 %1,098 %1,265 %43,765 %2,373 %10,371 %2,965 %1,139 %1,276 %53,834 %2,416 %10,831 %2,958 %1,174 %1,276 %63,925 %2,484 %11,255 %2,977 %1,205 %1,282 %74,014 %2,562 %11,621 %3,009 %1,231 %1,300 %84,098 %2,638 %11,948 %3,045 %1,255 %1,332 %94,174 %2,705 %12,240 %3,080 %1,274 %1,377 %104,239 %2,760 %12,499 %3,112 %1,291 %1,435 %114,300 %2,801 %12,670 %3,139 %1,320 %1,506 %124,356 %2,832 %12,756 %3,161 %1,359 %1,583 %134,402 %2,855 %12,776 %3,181 %1,405 %1,663 %144,439 %2,873 %12,745 %3,197 %1,454 %1,744 %154,469 %2,886 %12,671 %3,211 %1,505 %1,824 %164,493 %2,897 %12,565 %3,223 %1,557 %1,903 %174,511 %2,905 %12,434 %3,233 %1,608 %1,979 %184,522 %2,911 %12,282 %3,242 %1,659 %2,052 %194,528 %2,916 %12,115 %3,250 %1,708 %2,123 %204,526 %2,920 %11,938 %3,256 %1,756 %2,191 %214,518 %2,924 %11,753 %3,262 %1,802 %2,256 % 224,505 %2,927 %11,564 %3,267 %1,847 %2,318 %234,488 %2,929 %11,373 %3,272 %1,890 %2,377 %244,469 %2,932 %11,182 %3,276 %1,931 %2,433 %254,448 %2,935 %10,992 %3,279 %1,971 %2,487 %264,426 %2,938 %10,806 %3,283 %2,009 %2,538 %274,404 %2,941 %10,623 %3,285 %2,046 %2,587 %284,381 %2,944 %10,445 %3,288 %2,080 %2,633 %294,359 %2,947 %10,272 %3,290 %2,114 %2,678 %304,337 %2,951 %10,104 %3,292 %2,146 %2,720 %314,315 %2,955 %9,942 %3,294 %2,176 %2,760 %324,293 %2,960 %9,786 %3,296 %2,206 %2,799 %334,272 %2,964 %9,636 %3,297 %2,234 %2,836 %344,252 %2,969 %9,492 %3,298 %2,261 %2,871 %354,232 %2,974 %9,353 %3,299 %2,286 %2,904 %364,212 %2,979 %9,220 %3,300 %2,311 %2,937 %374,193 %2,984 %9,093 %3,301 %2,335 %2,967 %384,175 %2,989 %8,971 %3,302 %2,357 %2,997 %394,157 %2,994 %8,854 %3,303 %2,379 %3,025 %404,139 %2,999 %8,741 %3,304 %2,400 %3,052 %414,122 %3,003 %8,634 %3,304 %2,420 %3,078 %424,106 %3,008 %8,531 %3,305 %2,439 %3,103 %434,090 %3,013 %8,432 %3,305 %2,458 %3,127 %444,075 %3,018 %8,337 %3,306 %2,476 %3,150 %454,060 %3,022 %8,246 %3,306 %2,493 %3,172 %464,045 %3,027 %8,159 %3,306 %2,510 %3,193 %474,031 %3,031 %8,075 %3,307 %2,525 %3,214 %484,018 %3,036 %7,994 %3,307 %2,541 %3,233 %494,004 %3,040 %7,917 %3,307 %2,556 %3,252 %503,992 %3,044 %7,842 %3,307 %2,570 %3,271 %513,979 %3,048 %7,771 %3,308 %2,584 %3,288 %523,967 %3,052 %7,702 %3,308 %2,597 %3,305 %533,955 %3,056 %7,635 %3,308 %2,610 %3,322 %543,944 %3,060 %7,571 %3,308 %2,622 %3,337 %553,933 %3,064 %7,509 %3,308 %2,634 %3,353 %563,922 %3,067 %7,450 %3,308 %2,646 %3,367 %573,912 %3,071 %7,392 %3,308 %2,657 %3,382 %583,902 %3,074 %7,337 %3,308 %2,668 %3,396 %

593,892 %3,078 %7,283 %3,308 %2,678 %3,409 %603,883 %3,081 %7,231 %3,308 %2,688 %3,422 %613,874 %3,084 %7,181 %3,308 %2,698 %3,434 %623,865 %3,088 %7,132 %3,308 %2,708 %3,447 %633,856 %3,091 %7,085 %3,308 %2,717 %3,458 %643,848 %3,094 %7,039 %3,308 %2,726 %3,470 %653,840 %3,097 %6,995 %3,308 %2,735 %3,481 %663,832 %3,099 %6,952 %3,308 %2,743 %3,492 %673,824 %3,102 %6,911 %3,308 %2,751 %3,502 %683,816 %3,105 %6,870 %3,308 %2,759 %3,512 %693,809 %3,108 %6,831 %3,308 %2,767 %3,522 %703,802 %3,110 %6,793 %3,308 %2,774 %3,532 %713,795 %3,113 %6,756 %3,308 %2,782 %3,541 %723,788 %3,115 %6,720 %3,308 %2,789 %3,550 %733,782 %3,118 %6,686 %3,308 %2,796 %3,559 %743,775 %3,120 %6,652 %3,308 %2,803 %3,568 %753,769 %3,122 %6,619 %3,308 %2,809 %3,576 %763,763 %3,125 %6,586 %3,308 %2,816 %3,584 %773,757 %3,127 %6,555 %3,308 %2,822 %3,592 %783,751 %3,129 %6,525 %3,308 %2,828 %3,600 %793,745 %3,131 %6,495 %3,308 %2,834 %3,607 %803,740 %3,133 %6,466 %3,308 %2,840 %3,615 %813,734 %3,135 %6,438 %3,308 %2,845 %3,622 %823,729 %3,137 %6,410 %3,308 %2,851 %3,629 %833,724 %3,139 %6,383 %3,308 %2,856 %3,636 %843,719 %3,141 %6,357 %3,308 %2,862 %3,643 %853,714 %3,143 %6,331 %3,308 %2,867 %3,649 %863,709 %3,144 %6,306 %3,308 %2,872 %3,655 %873,705 %3,146 %6,282 %3,308 %2,877 %3,662 %883,700 %3,148 %6,258 %3,307 %2,881 %3,668 %893,696 %3,150 %6,234 %3,307 %2,886 %3,674 %903,691 %3,151 %6,212 %3,307 %2,891 %3,680 %913,687 %3,153 %6,189 %3,307 %2,895 %3,685 %923,683 %3,154 %6,168 %3,307 %2,900 %3,691 %933,679 %3,156 %6,146 %3,307 %2,904 %3,696 %943,675 %3,157 %6,125 %3,307 %2,908 %3,702 %953,671 %3,159 %6,105 %3,307 %2,912 %3,707 % 963,667 %3,160 %6,085 %3,307 %2,916 %3,712 %973,663 %3,162 %6,065 %3,307 %2,920 %3,717 %983,659 %3,163 %6,046 %3,307 %2,924 %3,722 %993,656 %3,165 %6,027 %3,307 %2,928 %3,727 %1003,652 %3,166 %6,009 %3,307 %2,931 %3,731 %1013,649 %3,167 %5,991 %3,307 %2,935 %3,736 %1023,645 %3,169 %5,973 %3,307 %2,939 %3,741 %1033,642 %3,170 %5,956 %3,307 %2,942 %3,745 %1043,639 %3,171 %5,939 %3,307 %2,946 %3,749 %1053,635 %3,172 %5,922 %3,307 %2,949 %3,754 %1063,632 %3,173 %5,906 %3,306 %2,952 %3,758 %1073,629 %3,175 %5,889 %3,306 %2,956 %3,762 %1083,626 %3,176 %5,874 %3,306 %2,959 %3,766 %1093,623 %3,177 %5,858 %3,306 %2,962 %3,770 %1103,620 %3,178 %5,843 %3,306 %2,965 %3,774 %1113,617 %3,179 %5,828 %3,306 %2,968 %3,778 %1123,614 %3,180 %5,813 %3,306 %2,971 %3,782 %1133,612 %3,181 %5,799 %3,306 %2,974 %3,785 %1143,609 %3,182 %5,785 %3,306 %2,977 %3,789 %1153,606 %3,183 %5,771 %3,306 %2,979 %3,792 %1163,604 %3,184 %5,757 %3,306 %2,982 %3,796 %1173,601 %3,185 %5,744 %3,306 %2,985 %3,799 %1183,598 %3,186 %5,731 %3,306 %2,988 %3,803 %1193,596 %3,187 %5,718 %3,306 %2,990 %3,806 %1203,593 %3,188 %5,705 %3,306 %2,993 %3,809 %1213,591 %3,189 %5,693 %3,306 %2,995 %3,813 %1223,589 %3,190 %5,680 %3,306 %2,998 %3,816 %1233,586 %3,191 %5,668 %3,306 %3,000 %3,819 %1243,584 %3,192 %5,656 %3,306 %3,003 %3,822 %1253,582 %3,193 %5,645 %3,306 %3,005 %3,825 %1263,579 %3,193 %5,633 %3,306 %3,007 %3,828 %1273,577 %3,194 %5,622 %3,306 %3,010 %3,831 %1283,575 %3,195 %5,610 %3,305 %3,012 %3,834 %1293,573 %3,196 %5,599 %3,305 %3,014 %3,837 %1303,571 %3,197 %5,589 %3,305 %3,016 %3,839 %1313,569 %3,198 %5,578 %3,305 %3,019 %3,842 %1323,567 %3,198 %5,567 %3,305 %3,021 %3,845 %

1333,565 %3,199 %5,557 %3,305 %3,023 %3,848 %1343,563 %3,200 %5,547 %3,305 %3,025 %3,850 %1353,561 %3,201 %5,537 %3,305 %3,027 %3,853 %1363,559 %3,201 %5,527 %3,305 %3,029 %3,855 %1373,557 %3,202 %5,517 %3,305 %3,031 %3,858 %1383,555 %3,203 %5,508 %3,305 %3,033 %3,860 %1393,553 %3,203 %5,498 %3,305 %3,035 %3,863 %1403,551 %3,204 %5,489 %3,305 %3,037 %3,865 %1413,550 %3,205 %5,480 %3,305 %3,038 %3,867 %1423,548 %3,205 %5,471 %3,305 %3,040 %3,870 %1433,546 %3,206 %5,462 %3,305 %3,042 %3,872 %1443,544 %3,207 %5,453 %3,305 %3,044 %3,874 %1453,543 %3,207 %5,444 %3,305 %3,046 %3,877 %1463,541 %3,208 %5,436 %3,305 %3,047 %3,879 %1473,539 %3,209 %5,427 %3,305 %3,049 %3,881 %1483,538 %3,209 %5,419 %3,305 %3,051 %3,883 %1493,536 %3,210 %5,410 %3,305 %3,053 %3,885 %1503,535 %3,210 %5,402 %3,305 %3,054 %3,887 %Term to maturity (in years)US dollarYen13,974 %0,689 %23,716 %0,839 %33,643 %0,929 %43,633 %0,987 %53,645 %1,035 %63,669 %1,084 %73,696 %1,138 %83,723 %1,194 %93,750 %1,252 %103,777 %1,315 %113,806 %1,376 %123,834 %1,436 %133,859 %1,496 %143,882 %1,556 %153,902 %1,615 %163,917 %1,674 % 173,929 %1,731 %183,935 %1,783 %193,938 %1,830 %203,935 %1,869 %213,928 %1,902 %223,917 %1,929 %233,903 %1,951 %243,886 %1,971 %253,866 %1,989 %263,843 %2,005 %273,820 %2,021 %283,796 %2,037 %293,773 %2,053 %303,751 %2,069 %313,731 %2,087 %323,713 %2,105 %333,696 %2,124 %343,680 %2,143 %353,666 %2,163 %363,652 %2,182 %373,640 %2,201 %383,628 %2,220 %393,617 %2,238 %403,607 %2,257 %413,598 %2,275 %423,589 %2,292 %433,580 %2,309 %443,572 %2,326 %453,565 %2,342 %463,558 %2,358 %473,551 %2,374 %483,545 %2,389 %493,539 %2,403 %503,533 %2,418 %513,528 %2,432 %523,523 %2,445 %533,518 %2,458 %543,513 %2,471 % 553,509 %2,483 %563,505 %2,495 %573,501 %2,507 %583,497 %2,518 %593,493 %2,529 %603,489 %2,540 %613,486 %2,550 %623,483 %2,560 %633,479 %2,570 %643,476 %2,579 %653,473 %2,589 %663,471 %2,598 %673,468 %2,606 %683,465 %2,615 %693,463 %2,623 %703,460 %2,631 %713,458 %2,639 %723,455 %2,647 %733,453 %2,654 %743,451 %2,661 %753,449 %2,668 %763,447 %2,675 %773,445 %2,682 %783,443 %2,689 %793,441 %2,695 %803,439 %2,701 %813,437 %2,707 %823,436 %2,713 %833,434 %2,719 %843,432 %2,725 %853,431 %2,730 %863,429 %2,736 %873,428 %2,741 %883,426 %2,746 %893,425 %2,751 %903,423 %2,756 %913,422 %2,761 %923,421 %2,766 % 933,419 %2,771 %943,418 %2,775 %953,417 %2,780 %963,415 %2,784 %973,414 %2,788 %983,413 %2,792 %993,412 %2,796 %1003,411 %2,800 %1013,410 %2,804 %1023,409 %2,808 %1033,408 %2,812 %1043,406 %2,816 %1053,405 %2,819 %1063,404 %2,823 %1073,403 %2,827 %1083,403 %2,830 %1093,402 %2,833 %1103,401 %2,837 %1113,400 %2,840 %1123,399 %2,843 %1133,398 %2,846 %1143,397 %2,849 %1153,396 %2,852 %1163,395 %2,855 %1173,395 %2,858 %1183,394 %2,861 %1193,393 %2,864 %1203,392 %2,867 %1213,391 %2,870 %1223,391 %2,872 %1233,390 %2,875 %1243,389 %2,878 %1253,389 %2,880 %1263,388 %2,883 %1273,387 %2,885 %1283,386 %2,888 %1293,386 %2,890 %1303,385 %2,893 % 1313,384 %2,895 %1323,384 %2,897 %1333,383 %2,899 %1343,383 %2,902 %1353,382 %2,904 %1363,381 %2,906 %1373,381 %2,908 %1383,380 %2,910 %1393,380 %2,912 %1403,379 %2,914 %1413,378 %2,916 %1423,378 %2,918 %1433,377 %2,920 %1443,377 %2,922 %1453,376 %2,924 %1463,376 %2,926 %1473,375 %2,928 %1483,375 %2,930 %1493,374 %2,932 %1503,374 %2,933 %

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)AustriaBelgiumBulgariaCroatiaCzechiaCyprusDenmark10026501902003350330300385038040141623905024663430603496545071452684708255461047093755611450103757612450Duration (in years)EstoniaFinlandFranceGermanyGreeceHungaryIreland100003224122000020241730000181419410001594205200014742163000145422740001434238501014732597120149125107130151426Duration (in years)ItalyLatviaLithuaniaLuxembourgMaltaNetherlandsPoland1633012042137901704 3181012019044211214021045231416022046251518023047271720024048291821025049311923126041032202412704Duration (in years)PortugalRomaniaSlovakiaSloveniaSpainSwedenUnited Kingdom1198913300232141216900337161420120043917162414005421817281600644191931180074620203220008462222342100944232235230010442123352400Duration (in years)IcelandLiechtensteinNorwaySwitzerlandAustraliaCanadaChina150000002500000135000002450000035500000365000004750000048500000795000005105000005 Duration (in years)ColombiaHong KongJapanTaiwanUnited States11200402170040326004043200405330040636004073800408360040934004010360140
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 6161940105218488118626194010521848896437214210021548579249244510321448465951026501062144845566112853111214484484712305511321448448481331561122144844849133256112214484484101333561122144844841114345611221448448412143556112214484484131535561122144844841415355611221448448415153556112214484484161635561122144844841717355611221448448418183556112214484484191935561122144844842019355611221448448421213556112214484484 222235561122144844842323355611221448448424243556112214484484252435561122144844842625355611221448448427263556112214484484282736561122144844842927365611221448448430283656112214484484 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 611932541182325011210220335511923350298332135561142294998074223759116228497672523396311922749756662340651232264964967244267124225495495823426612322549449492342661222244944941023426512122449349311234365121223493493122343641202224924921322436411922249249214224363119221491491152242631192214914911621426311822149049017214263118221490490182142631182214904901921426311822149149120224263119221491491212243631192214914912222436411922149149123234364119221491491 24244364119221491491252543631192214914912625436311922149149127264363119221491491282743631192214914912928426311922149149130294263118221491491

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 616194010421848811862619401042184889643721421002154857924924451032144846595102650106214484556611285311021448448471230551132144844848123155112214484484913325511121448448410133356111214484484111434561112144844841214345611121448448413143556111214484484141535561112144844841515355611121448448416163556111214484484171735561112144844841818355611121448448419193556111214484484201935561112144844842121355611121448448422223556111214484484232335561112144844842424355611121448448425243556111214484484 2625355611121448448427263556111214484484282735561112144844842927355611221448448430283556112214484484 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 617891113177291560126427588110174288557103037993114172287556848478931151732845547075789411817428255259667895120177280550550777951201782795495498769511917627854854897695118174277547547107393116171274544544117292114169272542542127191113168271541541137191112168270540540147091112167270540540157091112167270539539167091111167269539539177090111167269539539186990111166268538538196889110165268538538206889109165267537537216788109164267537537226787108164266536536236686107163265535535246585106162264534534256484105161263533533266383104160262532532276282103159261531531 286181102158260530530296080101156259529529305979100155258528528 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 6110234410822249211892112446110224493967314284910622149179541530521102214916625173357113221491558618356011722149149171937621202214904908193762118220490490919386111722049049010193861117220489489111939621172194894891220406211722048948913204162117220489489142041621172204904901521416211822049049016214162118220490490172142621182204904901821426311822149049019214263118221491491202243631192214914912122436411922249249222234364120222492492232344641202224924922424446412022249249225244464120222492492262544641202224924922726446412022249249228274364120222492492 2928436412022249249230284364119222492492 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 61518401042174871186251840104217487963362041992144847924823441022134836595925491052134835566102753110213483483712295511221348348381230551112134834839123155111213483483101232551112134834831113335511121348348312133455111213483483131434551112134834831414355511121348348315153555111213483483161635551112134834831717355511121348348318183555111213483483191935551112134834832019355511121348348321213555111213483483222235551112134834832323355511121348348324243555111213483483252435551112134834832625355511121348348327263555111213483483282735551112134834832927355511121348348330283555111213483483

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 61724501342375071224272450134237507993382651123234503815410295311623250267851231551082315015716143459103230500500716366097229498498818385992228497497920446287227497497102044608522649649611194359862254954951219436087224494494131943608822449449414194360882234934931519436088222492492161944608822149149117194460882214904901819446088220490490192044608822049049020214460882204904902122446088220490490222244608822049049023234460882204894892424446088219489489252544608821848848826264460882184884882726446088217487487282744608821748748729284460882164864863029446088216485485 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 618194116180294563126728194115180293563103338296117175289559851482971181762875577095819712117728555559868198123180284554554781981231812825525528799712217928055055097796120176279548548107796119175277547547117696118174276546546127595117172275545545137494115171273543543147393114170272542542157192113168271541541167091112167270540540176990111166269539539186989110165268538538196888109165267537537206788108164266536536216687107163265535535226586106162264534534236485105161263533533246383104160262532532256182103158261531531266081102157260530530275980101156259528528285879991552575275272957789815425652652630567797153255525525 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 6155688915426753712352556889154267537100635670911492645338274577294151262532689557739715326153158165774991562605305307577510015825952952985675991562585275279557498154256526526105574971532555255251154759715225552452412547596152254524524135474951512535235231453749515025352252215537494150252522522165273931492515215211751729314825152152118517292148250520520195171921482505205202050719214725052052021507191147249519519225070911472495195192349709014624851851824486990145248518518254868891452475175172647688814424651651627466788143245515515284566871422455155152945658614224451451430446585141243513513 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 61911041261903035731294290103125189303573104739010412518329856885749010512718429556571159010613018629456459869110813319029356356379110913419229356356389111013419129356256299111013419029256256210921111341902925625621192112134189292562562129111213318929156156113901111321872905605601489110131186289559559158810913018528855755716871081291842875565561786107128183286555555188510612718228555455419841051261812835535532083104124180282552552218210312317928155155122811011221782805505502379100121176278548548247898119175277547547257697118173276545545267595116172274544544277394115170273542542287293113169271541541297091112167270539539306990110166268538538

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 61304365129243512122723144661302445139973324667125240509818432476912723850868053349731292375075726345076133236506506734527713423550550583352761332355055059335275132234504504103352751312335035031132537513023350350312325374130232502502133253741292315015011432527312923150150115315273128230500500163151721272305005001730517212723050050018305172127229499499193051711272294994992030517212723049949921305172127230499499223051721272294994992330517112722949949924305171127229499499253050711262294994992629507112622949849827295070126228498498282949701262284984982928497012522849749730294969125227497497 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 610421851994681150215228620046993532524821974677684462785196466639548328819646653966103693196466466771338951964664668813389519646646698143894196466466101015389419646646611111739951974674671212173894196466466131318399419746746714141839941974664661515173893196465465161616379319546546517161637931954654651817173793195465465191817389319646546520191838941964664662120183894196466466222119389419646646623221938941964664662423203894196466466252421389419646646626252238941964664662725233893196466466282623389319646646629272438931964664663028243893196465465 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 61425577141255524121824356771412555259893445879137252521812445608113925052067654662851422495195706466388145249519519747649014724851851884664891462475175179456488144247517517104565881442465165161145658814324551551512456587142245515515134565861422445145141444658614124451451415446585141243513513164364851402435135131743648414024251251218436384140242512512194263841392425115112042638313924151151121426283139241511511224162831382415105102341618213824051051024406181137239509509253960811362395085082639598013523850850827385979135237507507283758781342365065062936577813323650550530365677132235505505 2.14. 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 61193153117231501119221932541182325019683213556114229499795423385911722849866152440641202284985576254267125228498498726446912722849849882645691262284984989274669126228498498102747701262284984981128487012622849849812284970126228498498132949701262284984981429507012622849849815295070126228498498162949701262284984981729497012622849849818294970126228498498192949701262284984982029497012622849849821294970126228498498222849701252284984982328496912522749749724274869124227497497252748681242264964962627476812322649649627264767123225495495282746671232254954952927466712222549449430284666122224494494

2.15. 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 618497119183297566131529010312518930257210743941081291873015718874961111321903015717425991151391953035736286102119144201305574574710412214720530557557581051241482053075775779106126149205308578578101071271502063085785781110812815020630857857812107128149205307577577131071271482043065765761410512614720230557557515104125145201303573573161031231442003025725721710112214319830157057018100121141197299569569199811914019529856856820971181381942965665662195116137192295565565229411513519129356356323921131331892915615612490111132187290559559258810913018528855855826871071281842865565562785106126182284554554288310412518028355255229821021231792815515513080101121177279549549 2.16. 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 61132647112225495120821528501142284979793193354112226496803421365811522749766852440631202274975636254267124228498498726446912722849849882745701262284984989274669126228498498102747701252284984981128487012522849849812284870125227497497132748691252274974971427486812422649649615274768124226496496162647671232254954951726476712322549549518264667123225495495192646671232254954952026476712322549549521264767123225495495222647671232254954952326476712322549549524264667123225495495252646671222254954952625466712222549449427264666122224494494282746661222244944942928456612222449449430284566121224494494 2.17. 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 6109319520947911662110319620947994832123391206476779441436932054746485416409620447454666174310020347347377194410220347247288194310020247247291019429920147147110101942982014704701111204298200470470121221439820047047013132243982014714711414224399201471471151523439920147147116162344992024714711717244410020247247218172445101203473473191825461012044744742019264710220547447421202747103205475475222228481042064764762323284910420747647624232949105207477477252429501052074774772625295010520847847827263050106208478478282630501062084784782927305110620947847830283051106209479479 2.18. 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 61284163127240510117222942641282425119523314566124239508782433486912723850865053450741302385085486355177134237507507735537813623750750783453771342365065069345377133235505505103453761322355045041134547613223450450412345476131234503503133454751312335035031434547513123350350315345475130233503503163454751312335035031734547513123350350318345575131233503503193455751312335035032034557613123450450421345576131234504504223455761312345045042334557613123450350324345575131233503503253455751312335035032634547513123350350327335475130233502502283354741302325025022933537413023250250230325374129232502502

2.19. 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 61724469623050012202724469623050098939284993228498811412335392228498675516385895229499568618416293229499499719446289229499499818436288230499499919446491229499499102147669522949949911235068972294994991224526998229499499132654709822949949914265470982294994991526557098229499499162655709822949949917265570982294994991826557098229499499192655709822949949920265570982294994992126557098230499499222655709823049949923265570982294994992426557098229499499252655709822949949926265570982294984982726557098228498498282755709822849849829285570982284974973029557098227497497 2.20. 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 61041276190459116021511751894589453251270185454777446147218345364654718741824525456672178182452465778238118245245288823801824514519992379182451451101011247918245245211111124801824524521212122480182452452131313248018245245214141325801834524521515142581183453453161614258118345345317171626811844544541817162682184454454191817278218545545520191829831854554552120182983186456456222219308418645645623231931841864564562423213284186456456252422338418645645626252234841864564562726233584186456456282623378418645645629272438841864564563028253984186456456 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 611132040152294312121132040152336234231142245148352177841152549146353137952172851146345109464203054146333888762232561463177348623345814630161796243561146284525107253763146267451117253764146251392127263864146237343137263864146237301147263864146237267157263964146237237167264164146237237177264464146237237187264664146237237197264964146237237208265064146237237218265364146237237229265664146237237239265864146237237249266164146237237251026626414623723726102665641462372372710266766146237237281126696814623723729112672701462372373012277472146237237 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 611527335316630031872152834541673422391315283659162358181541529396215935914075153041641593511116616324266158339905717334467157323748816344469156306628916344571156289535101634467215527246011163446721552563991216344672154245349131533457115424530714153345711532442721514334571153244244161432447015224324317143245701522432431814324670152243243191432497015324424420143352711532442442115335471153244244221533577115324424423153358711532442442415336171153244244251533637115324424426153366711532442442714336871153244244281433717115324424429143373711532442443014327673153244244 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 611132040152294312021132040152336234131142245148352177841152549146353137852172851146345109464193054146333888752232561463177348623335814630161796243561146284525107253763146267451117253763146251392127253764146237342137253764146237301147253764146237267157253964146237237167254164146237237177254464146237237187254664146237237197254964146237237208255064146237237218255364146237237229255664146237237239255864146237237249256164146237237251025626414623723726102565641462372372710256766146237237281125696814623723729112672701462372373012277472146237237

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 617386921122253173337271838910922235825153738694116220376191347185951182163781484570859611921437011786708697120212357956770879712121134079087087971222103236639698798124209305564106785971232062974851165839512120429542012648294120203294367136382941202022933231463819311920229329315638193119201293293166281931192012922921762819311920129229218628092118200291291196179911182002912912061799111719929029021607890116199290290225978901161982892892358778911519728828824577688114196287287255675871131952862862655748611219428528527547385111193284284285371841101922832832952708210919128228230516981108190281281 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 6151724441562953129261925451583372351372028511543531785482232551533541384592435581533461098611263761153334891712293963152318737812294064152302619912304167152285527101230426815126845311133143691512523931213314369151242344131331436915224330314133143691522432681513324470152243243161332447015224324317143244701522432431814324670152243243191432497115324424420153352711532442442115335371154245245221534567215424524523153458721542452452416346172154245245251634637215424524526153466721542452452715346872154245245281534717215424524529153473721542452453015337572154245245 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 610121939151294311820121939151336234031132144147352177641142448145353137852162750145345109463193053145332887752131551453177348522335714530161695233460145284524106243662145267451116243763145251391126253763145236342136253763145236301146253763145236267156253963145236237166254163145236236176254463145236236186254663145236236197254963145236236208255063145236236218255363145236236229255663145236236239255863145236236249256163145236236251025626314523623626102565641452362362710256766145236236281125696814523623629112672701452362363012277472145236236 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 610102144171303322520102144171346241831112348167362183441132654164362142151162957163354112762193359162341914742237601603267558625386015930963499314259159291539101134435915827446411113343581572584021210324359156247352139324359156247310149324460155246274159324460154245245169324460153244244179324560152243243189324860152243243199325060152243243209325260152243243219325460152243243229325760152243243239326061151243243249326262151242242251032656415024124126103267661502412412711327068149240240281132727014924024029113274721482392393012327774148239239 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 61778995115228320334827688951152273592523375889611922237719194748898122219379148957488991222173711182674891001242163589597749010012421434179387289100125212324665971891001252113065661070881001262093004861169879912620829942212688698124207298368136785971232052963241465849612220429529515648294120203294294166381931192022932931762809211820129229218617992118200291291196079911171992902902059789011619828928921597789115197288288225776881141962872872356758711319528628624557486112194285285255472841101932842842653718310919228328327527082108190281281285169811071892802802950688010618827927930496779105187278278

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 61506269892013063257250626989201350245035063719419736718624506373971943681444550647598193361114765065761001923489317506777101191332770849677710218931564694966781031882975501048667810418728047311486678104186278411124765771041862773591346657710318527631614466476102185276279154564761021842752751645637510118327427417446274101183274274184462741001822732731943627410018227327320436173991822732732143617399181272272224261739918127227223426072981802712712441597197180271271254059719717927027026405870961782692692739577095177268268283856729417726826829375675941762672673037557893175266266 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 61869810512523733034222869810412523736425603849710512823138019374839610613022737914965839710813122637011846839911013322535695878410111113522533979088410211213722532166398510211413922431556310851031151412243154831185103115141224315419128410211514122331436613831011141402223133211482100112138221312312158199111137220311311168098110136218309309177997109135217308308187896108134216307307197795107133215306306207694106132214305305217493105131213304304227391104130212303303237290102128210301301247089101127209300300256987991252072982982667869812420629729727668496122204295295286483951212032942942963819311920229329330618092118200291291 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 612638446417730432342263945651783472428326394769173363184042539497317036314245254051741693551129626425376168341915727435477167326756826445479167308634926445581166291539102644568216527446311264456821652574021225445682164255351132543558116325430914244355811632542731524425480162253253162341548016225325317234153791622532531823415379161252252192341537916125225220234153791612522522123415479161252252222341577916125225223234159791612522522422416179161252252252240637916125225226224066781602512512722406878160251251282140717816025125129213973771602512513021397677159250250 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 6100421133286301920162113432622653118271303411720413113112834213345141333128335105962416361283238597251938128308711827214112829259793724431282765081049264512825943711492847129244380124103146128229332134113346129220292145123546128220259156133845128219230166144145127218218176154246127218218186154549127218218197174750127218218207174953128219219217195254128219219229195456128219219239205757128219219249215960128219219251022616212821921926102363631292192192710246665130219219281124686713121921929112570691322192193011267370134219219

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 613850567618930232102385057771893442407338515982185360182643751618518236114155385264861813531123639546589181341911740566690180325754839566792179308633939576894179291539103957699517827446311385769951772684021238566895177268352133856689417626731014375567931762672741537556793175266266163654669217526626617365466921742652651835546692174265265193553659117326426420355365911732642642134536591173264264223452649017226426423335264901722632632433516389171262262253250658817126226226314967881702612612730497087169260260283048728616825925929294774851672582583028467785167258258 3.14. 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 611426325316529631352152733531663372352315283659162353178441629396316035413835173142651603461097618344468160333890719364670160318736820374872160302618920384975160285526102139517716026845311213951781602523931221405278160251344132140527816025130214214052781602512681521405278160251251162140527816025125117214052781602512511821405278160251251192140527816025125120214052781602512512121405378160251251222139567716025125123213958771592502502420386176159250250252038637615824924926193766761582492492719376775157248248281837707515724824829183673741562472473017367574156247247 3.15. 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 61809298118231325348128597104124236373263038710010813123439320074881021121362333961562592106117140235389124469511012114523637710127971141241472373618398991161261512393447069100118129155240331602101011191311572403315191110111913115724033145012100119131157239330394139911813015623832934714981161281542373283281597115127153235326326169511412615223432532517941121241502323233231892111123149231322322199110912114723032132120901081201462283193192188106118144227318318228610511714322531631623851031151412233143142483101113139221313313258199111137220311311267998110136218309309277896108134216307307287694106132214305305297492105131213304304307391103129211302302 3.16. 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 61820274715930031802112329491623412382312253456159357180541428386115935713985163142651593491109618334468160336899720364670160320743820374872160304624920384975160287531102139517716027045611213951771602533961221395177159250346132039517715925030514203850761582492701519385076158249249161937497515724824817183749751572482481818374975157248248191837497515724824820183752751572482482119375375157248248221937567515724824823183758751572482482418376175157248248251836637515724824826183666741572482482718366874156247247281736717415624724729173673741562472473017357573156247247

3.17. 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 610410311432893063204113114333123003151336139346174641515391363471354517184113633910746292043135327871721121451343127208211214613429560593112448133279515104112749132262443114122950132246384124123150132231336135123450133224296145133651133224262156133851133224233166144151134225225176154352134225225186154553135226226197174853136227227207175054136228228218195355137228228229195457138229229239205758139230230249215960139230230251022626213923023026102364641402312312710246766140231231281125696714023123129112672691402312313011277471141232232 3.18. 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 612335426217429130812243743631763322311325384669172347175342539497317034813585264152751703401077627435477169327874728455579169312722828455580168296606927455682167279516102745578316626344411274557841662573851227455783166257337132745578316525629714264557831652562631526445683165256256162644578316525625617264557831652562561826455783165256256192745578316525625620274557831662572572127455783166257257222745578316625725723274557831652572572427456083165256256252645628316525625626264565831652562562726446782165256256282644698216425525529254472821642552553025437481164255255 3.19. 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 61014254916430232142014254916434424073117285416136018254220315916036114135323366516135311216627396716133990979314270161324751811354673161307631913385076161290536101440517716127346111154153781612564001216425479161252350131744558016125230814174555801612522721518455680161252252161845568016125225217184556801612522521818455680161252252191845568016125225220184556801612522522118455680161252252221845578016125225223184558801612522522418456180161252252251845638016125225226184566801602522522718456880160251251281845718016025125129184573801592502503018457580159250250 3.20. 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 6100411124288304820161312332922913118151183451740413111811534613495141320114338107162416231143268697261926114311719827212711429560493724301142785141049273211426244211492934114246384124103137114231336135113439114217296145123641114205262156133843115206233166144145115206208176154346116207207186154549117207207197174850119208208207175053121208208218195354122209209229195457125209209239205758126209209249215960127209209251022626212920920926102364641302092092710246766132209209281125696713320920929112672691342092093011267471134209209

Annex

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

CurrencyNational insurance marketVolatility adjustment (in bps)EuroAustria22EuroBelgium22EuroCroatia22EuroCyprus22EuroEstonia22EuroFinland22EuroFrance22EuroGermany22EuroGreece22EuroIreland22EuroItaly22EuroLatvia22EuroLithuania22EuroLuxembourg22EuroMalta22EuroNetherlands22EuroPortugal22EuroSlovakia22EuroSlovenia22EuroSpain22Czech korunaCzechia17Danish kroneDenmark24ForintHungary9KronaSweden5LevBulgaria13Pound sterlingUnited Kingdom40Romanian leuRomania4ZlotyPoland13KrónaIceland46Norwegian kroneNorway42Swiss francLiechtenstein– 4Swiss francSwitzerland– 4Australian dollarAustralia28Canadian dollarCanada16 Renminbi-yuanChina1Hong Kong dollarHong Kong7US dollarUnited States47YenJapan12