Commission Implementing Regulation (EU) 2025/1794of 8 September 2025laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 June 2025 until 29 September 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) 2025/1794 of 8 September 2025 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 June 2025 until 29 September 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 July 2025, the European Insurance and Occupational Pensions Authority provided the Commission with the technical information related to end of June 2025 market data. That information was published on 4 July 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 30 June 2025 until 29 September 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 30 June 2025. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 8 September 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 kroneForintKronaLev11,902 %3,390 %1,892 %6,007 %1,726 %1,852 %21,903 %3,421 %1,893 %6,117 %1,790 %1,853 %31,995 %3,462 %1,985 %6,245 %1,879 %1,945 %42,091 %3,499 %2,081 %6,359 %1,974 %2,041 %52,170 %3,541 %2,160 %6,477 %2,068 %2,120 %62,253 %3,591 %2,243 %6,589 %2,160 %2,202 %72,331 %3,645 %2,321 %6,697 %2,246 %2,281 %82,403 %3,698 %2,393 %6,803 %2,325 %2,353 %92,469 %3,746 %2,459 %6,894 %2,396 %2,419 %102,520 %3,789 %2,510 %6,977 %2,461 %2,470 %112,571 %3,826 %2,561 %7,054 %2,520 %2,521 %122,629 %3,857 %2,618 %7,122 %2,573 %2,578 %132,667 %3,882 %2,657 %7,181 %2,621 %2,616 %142,696 %3,901 %2,686 %7,233 %2,664 %2,645 %152,717 %3,914 %2,707 %7,270 %2,702 %2,666 %162,730 %3,922 %2,720 %7,283 %2,737 %2,679 %172,737 %3,925 %2,727 %7,275 %2,768 %2,686 %182,741 %3,924 %2,731 %7,250 %2,796 %2,690 %192,745 %3,920 %2,735 %7,214 %2,822 %2,694 %202,749 %3,915 %2,739 %7,168 %2,845 %2,698 %212,755 %3,907 %2,744 %7,115 %2,866 %2,704 %222,761 %3,899 %2,751 %7,058 %2,886 %2,712 %232,769 %3,890 %2,759 %6,997 %2,904 %2,720 %242,778 %3,880 %2,768 %6,934 %2,920 %2,730 %252,787 %3,869 %2,778 %6,871 %2,935 %2,740 %262,796 %3,858 %2,787 %6,806 %2,949 %2,750 %272,806 %3,847 %2,797 %6,742 %2,962 %2,761 %282,816 %3,836 %2,807 %6,679 %2,974 %2,772 %292,825 %3,825 %2,817 %6,617 %2,985 %2,783 %302,835 %3,814 %2,827 %6,556 %2,996 %2,793 %312,845 %3,804 %2,837 %6,497 %3,005 %2,804 %322,854 %3,793 %2,846 %6,440 %3,015 %2,814 % 332,864 %3,782 %2,856 %6,384 %3,023 %2,825 %342,873 %3,772 %2,865 %6,330 %3,031 %2,835 %352,882 %3,762 %2,874 %6,278 %3,039 %2,845 %362,890 %3,752 %2,883 %6,227 %3,046 %2,854 %372,899 %3,743 %2,892 %6,179 %3,053 %2,864 %382,907 %3,734 %2,900 %6,132 %3,060 %2,873 %392,915 %3,725 %2,909 %6,087 %3,066 %2,881 %402,923 %3,716 %2,917 %6,043 %3,072 %2,890 %412,931 %3,707 %2,924 %6,001 %3,077 %2,898 %422,938 %3,699 %2,932 %5,961 %3,082 %2,907 %432,945 %3,691 %2,939 %5,922 %3,087 %2,914 %442,952 %3,683 %2,946 %5,885 %3,092 %2,922 %452,959 %3,676 %2,953 %5,849 %3,097 %2,929 %462,966 %3,669 %2,960 %5,815 %3,101 %2,936 %472,972 %3,662 %2,966 %5,782 %3,106 %2,943 %482,978 %3,655 %2,972 %5,750 %3,110 %2,950 %492,984 %3,648 %2,978 %5,719 %3,113 %2,957 %502,990 %3,642 %2,984 %5,689 %3,117 %2,963 %512,995 %3,636 %2,990 %5,660 %3,121 %2,969 %523,001 %3,630 %2,996 %5,633 %3,124 %2,975 %533,006 %3,624 %3,001 %5,606 %3,128 %2,981 %543,011 %3,618 %3,006 %5,580 %3,131 %2,986 %553,016 %3,613 %3,011 %5,555 %3,134 %2,992 %563,021 %3,607 %3,016 %5,531 %3,137 %2,997 %573,025 %3,602 %3,021 %5,508 %3,140 %3,002 %583,030 %3,597 %3,025 %5,486 %3,142 %3,007 %593,034 %3,592 %3,030 %5,464 %3,145 %3,011 %603,038 %3,588 %3,034 %5,443 %3,148 %3,016 %613,043 %3,583 %3,038 %5,423 %3,150 %3,021 %623,047 %3,579 %3,042 %5,403 %3,153 %3,025 %633,051 %3,574 %3,046 %5,384 %3,155 %3,029 %643,054 %3,570 %3,050 %5,365 %3,157 %3,033 %653,058 %3,566 %3,054 %5,348 %3,159 %3,037 %663,062 %3,562 %3,057 %5,330 %3,161 %3,041 %673,065 %3,558 %3,061 %5,313 %3,164 %3,045 %

683,068 %3,555 %3,064 %5,297 %3,166 %3,049 %693,072 %3,551 %3,068 %5,281 %3,168 %3,052 %703,075 %3,547 %3,071 %5,265 %3,169 %3,056 %713,078 %3,544 %3,074 %5,250 %3,171 %3,059 %723,081 %3,541 %3,077 %5,236 %3,173 %3,062 %733,084 %3,537 %3,080 %5,222 %3,175 %3,066 %743,087 %3,534 %3,083 %5,208 %3,176 %3,069 %753,090 %3,531 %3,086 %5,194 %3,178 %3,072 %763,092 %3,528 %3,089 %5,181 %3,180 %3,075 %773,095 %3,525 %3,092 %5,168 %3,181 %3,078 %783,098 %3,522 %3,094 %5,156 %3,183 %3,080 %793,100 %3,520 %3,097 %5,144 %3,184 %3,083 %803,103 %3,517 %3,099 %5,132 %3,186 %3,086 %813,105 %3,514 %3,102 %5,120 %3,187 %3,088 %823,107 %3,512 %3,104 %5,109 %3,188 %3,091 %833,110 %3,509 %3,106 %5,098 %3,190 %3,094 %843,112 %3,507 %3,109 %5,087 %3,191 %3,096 %853,114 %3,504 %3,111 %5,077 %3,192 %3,098 %863,116 %3,502 %3,113 %5,067 %3,194 %3,101 %873,118 %3,499 %3,115 %5,057 %3,195 %3,103 %883,120 %3,497 %3,117 %5,047 %3,196 %3,105 %893,122 %3,495 %3,119 %5,037 %3,197 %3,107 %903,124 %3,493 %3,121 %5,028 %3,198 %3,110 %913,126 %3,491 %3,123 %5,019 %3,200 %3,112 %923,128 %3,489 %3,125 %5,010 %3,201 %3,114 %933,130 %3,487 %3,127 %5,001 %3,202 %3,116 %943,132 %3,485 %3,129 %4,993 %3,203 %3,118 %953,134 %3,483 %3,131 %4,984 %3,204 %3,120 %963,135 %3,481 %3,133 %4,976 %3,205 %3,121 %973,137 %3,479 %3,134 %4,968 %3,206 %3,123 %983,139 %3,477 %3,136 %4,960 %3,207 %3,125 %993,140 %3,475 %3,138 %4,952 %3,208 %3,127 %1003,142 %3,474 %3,139 %4,945 %3,209 %3,129 %1013,144 %3,472 %3,141 %4,937 %3,209 %3,130 %1023,145 %3,470 %3,142 %4,930 %3,210 %3,132 % 1033,147 %3,469 %3,144 %4,923 %3,211 %3,134 %1043,148 %3,467 %3,145 %4,916 %3,212 %3,135 %1053,149 %3,465 %3,147 %4,909 %3,213 %3,137 %1063,151 %3,464 %3,148 %4,903 %3,214 %3,138 %1073,152 %3,462 %3,150 %4,896 %3,215 %3,140 %1083,154 %3,461 %3,151 %4,889 %3,215 %3,141 %1093,155 %3,459 %3,153 %4,883 %3,216 %3,143 %1103,156 %3,458 %3,154 %4,877 %3,217 %3,144 %1113,158 %3,456 %3,155 %4,871 %3,218 %3,145 %1123,159 %3,455 %3,156 %4,865 %3,218 %3,147 %1133,160 %3,454 %3,158 %4,859 %3,219 %3,148 %1143,161 %3,452 %3,159 %4,853 %3,220 %3,150 %1153,163 %3,451 %3,160 %4,847 %3,220 %3,151 %1163,164 %3,450 %3,161 %4,842 %3,221 %3,152 %1173,165 %3,448 %3,163 %4,836 %3,222 %3,153 %1183,166 %3,447 %3,164 %4,831 %3,223 %3,155 %1193,167 %3,446 %3,165 %4,826 %3,223 %3,156 %1203,168 %3,445 %3,166 %4,820 %3,224 %3,157 %1213,169 %3,443 %3,167 %4,815 %3,224 %3,158 %1223,170 %3,442 %3,168 %4,810 %3,225 %3,159 %1233,171 %3,441 %3,169 %4,805 %3,226 %3,161 %1243,172 %3,440 %3,170 %4,800 %3,226 %3,162 %1253,174 %3,439 %3,171 %4,795 %3,227 %3,163 %1263,175 %3,438 %3,172 %4,791 %3,227 %3,164 %1273,176 %3,437 %3,173 %4,786 %3,228 %3,165 %1283,176 %3,436 %3,174 %4,781 %3,229 %3,166 %1293,177 %3,435 %3,175 %4,777 %3,229 %3,167 %1303,178 %3,434 %3,176 %4,772 %3,230 %3,168 %1313,179 %3,432 %3,177 %4,768 %3,230 %3,169 %1323,180 %3,431 %3,178 %4,764 %3,231 %3,170 %1333,181 %3,430 %3,179 %4,760 %3,231 %3,171 %1343,182 %3,430 %3,180 %4,755 %3,232 %3,172 %1353,183 %3,429 %3,181 %4,751 %3,232 %3,173 %1363,184 %3,428 %3,182 %4,747 %3,233 %3,174 %1373,185 %3,427 %3,183 %4,743 %3,233 %3,175 %

1383,185 %3,426 %3,183 %4,739 %3,234 %3,176 %1393,186 %3,425 %3,184 %4,735 %3,234 %3,177 %1403,187 %3,424 %3,185 %4,731 %3,235 %3,177 %1413,188 %3,423 %3,186 %4,728 %3,235 %3,178 %1423,189 %3,422 %3,187 %4,724 %3,236 %3,179 %1433,189 %3,421 %3,188 %4,720 %3,236 %3,180 %1443,190 %3,421 %3,188 %4,717 %3,236 %3,181 %1453,191 %3,420 %3,189 %4,713 %3,237 %3,182 %1463,192 %3,419 %3,190 %4,710 %3,237 %3,183 %1473,192 %3,418 %3,191 %4,706 %3,238 %3,183 %1483,193 %3,417 %3,191 %4,703 %3,238 %3,184 %1493,194 %3,416 %3,192 %4,699 %3,239 %3,185 %1503,195 %3,416 %3,193 %4,696 %3,239 %3,186 %Term to maturity (in years)Pound sterlingRomanian leuZlotyKrónaNorwegian kroneSwiss franc13,798 %7,024 %4,287 %7,650 %3,809 %–0,148 %23,617 %7,184 %4,432 %7,494 %3,764 %–0,131 %33,592 %7,300 %4,549 %7,370 %3,700 %–0,050 %43,616 %7,361 %4,680 %7,254 %3,649 %0,049 %53,663 %7,396 %4,833 %7,158 %3,623 %0,145 %63,727 %7,404 %4,990 %7,080 %3,623 %0,234 %73,801 %7,388 %5,141 %7,015 %3,636 %0,316 %83,880 %7,359 %5,281 %6,959 %3,652 %0,393 %93,959 %7,306 %5,395 %6,899 %3,668 %0,466 %104,036 %7,243 %5,487 %6,827 %3,680 %0,536 %114,112 %7,167 %5,544 %6,744 %3,688 %0,602 %124,185 %7,080 %5,570 %6,656 %3,691 %0,666 %134,252 %6,986 %5,575 %6,565 %3,691 %0,727 %144,312 %6,889 %5,563 %6,472 %3,690 %0,785 %154,365 %6,789 %5,539 %6,379 %3,687 %0,839 %164,411 %6,690 %5,507 %6,286 %3,682 %0,891 %174,451 %6,590 %5,469 %6,196 %3,677 %0,941 %184,485 %6,492 %5,426 %6,107 %3,671 %0,987 % 194,514 %6,396 %5,380 %6,021 %3,665 %1,031 %204,538 %6,303 %5,333 %5,937 %3,659 %1,073 %214,558 %6,212 %5,284 %5,857 %3,652 %1,113 %224,573 %6,124 %5,235 %5,779 %3,645 %1,151 %234,585 %6,040 %5,186 %5,704 %3,638 %1,187 %244,592 %5,958 %5,138 %5,632 %3,631 %1,221 %254,596 %5,879 %5,090 %5,563 %3,625 %1,253 %264,597 %5,804 %5,043 %5,496 %3,618 %1,284 %274,594 %5,731 %4,998 %5,433 %3,611 %1,313 %284,588 %5,662 %4,953 %5,372 %3,605 %1,341 %294,580 %5,595 %4,911 %5,313 %3,598 %1,368 %304,569 %5,531 %4,869 %5,258 %3,592 %1,393 %314,556 %5,470 %4,829 %5,204 %3,586 %1,417 %324,541 %5,412 %4,790 %5,153 %3,580 %1,441 %334,524 %5,356 %4,752 %5,104 %3,574 %1,463 %344,505 %5,302 %4,716 %5,057 %3,568 %1,484 %354,484 %5,251 %4,682 %5,012 %3,563 %1,504 %364,462 %5,202 %4,648 %4,969 %3,557 %1,523 %374,438 %5,155 %4,616 %4,928 %3,552 %1,542 %384,413 %5,109 %4,585 %4,889 %3,547 %1,560 %394,387 %5,066 %4,555 %4,851 %3,542 %1,577 %404,359 %5,025 %4,527 %4,815 %3,537 %1,593 %414,329 %4,985 %4,499 %4,780 %3,533 %1,609 %424,300 %4,947 %4,473 %4,747 %3,528 %1,624 %434,269 %4,910 %4,447 %4,715 %3,524 %1,639 %444,239 %4,875 %4,423 %4,684 %3,519 %1,652 %454,210 %4,841 %4,399 %4,654 %3,515 %1,666 %464,181 %4,809 %4,376 %4,626 %3,511 %1,679 %474,153 %4,778 %4,354 %4,599 %3,508 %1,691 %484,126 %4,748 %4,333 %4,572 %3,504 %1,703 %494,101 %4,719 %4,313 %4,547 %3,500 %1,715 %504,077 %4,691 %4,293 %4,523 %3,497 %1,726 %514,054 %4,664 %4,274 %4,499 %3,493 %1,737 %524,034 %4,638 %4,256 %4,477 %3,490 %1,747 % 534,014 %4,613 %4,238 %4,455 %3,487 %1,757 %543,996 %4,589 %4,221 %4,434 %3,483 %1,767 %553,979 %4,566 %4,205 %4,413 %3,480 %1,776 %563,962 %4,544 %4,189 %4,394 %3,477 %1,785 %573,947 %4,522 %4,173 %4,375 %3,475 %1,794 %583,933 %4,501 %4,159 %4,356 %3,472 %1,802 %593,919 %4,481 %4,144 %4,338 %3,469 %1,811 %603,906 %4,461 %4,130 %4,321 %3,466 %1,819 %613,894 %4,442 %4,117 %4,305 %3,464 %1,826 %623,882 %4,424 %4,104 %4,288 %3,461 %1,834 %633,871 %4,406 %4,091 %4,273 %3,459 %1,841 %643,860 %4,389 %4,079 %4,258 %3,457 %1,848 %653,850 %4,372 %4,067 %4,243 %3,454 %1,855 %663,840 %4,356 %4,055 %4,229 %3,452 %1,862 %673,831 %4,340 %4,044 %4,215 %3,450 %1,868 %683,822 %4,325 %4,033 %4,201 %3,448 %1,874 %693,813 %4,310 %4,022 %4,188 %3,446 %1,880 %703,805 %4,295 %4,012 %4,176 %3,444 %1,886 %713,797 %4,281 %4,002 %4,163 %3,442 %1,892 %723,789 %4,268 %3,992 %4,151 %3,440 %1,898 %733,782 %4,254 %3,983 %4,140 %3,438 %1,903 %743,775 %4,242 %3,974 %4,128 %3,436 %1,908 %753,768 %4,229 %3,965 %4,117 %3,434 %1,914 %763,761 %4,217 %3,956 %4,106 %3,433 %1,919 %773,755 %4,205 %3,947 %4,096 %3,431 %1,924 %783,749 %4,193 %3,939 %4,086 %3,429 %1,928 %793,743 %4,182 %3,931 %4,076 %3,428 %1,933 %803,737 %4,171 %3,923 %4,066 %3,426 %1,938 %813,731 %4,160 %3,915 %4,056 %3,425 %1,942 %823,726 %4,149 %3,908 %4,047 %3,423 %1,946 %833,720 %4,139 %3,900 %4,038 %3,422 %1,951 %843,715 %4,129 %3,893 %4,029 %3,420 %1,955 %853,710 %4,119 %3,886 %4,021 %3,419 %1,959 %863,705 %4,110 %3,880 %4,012 %3,417 %1,963 %873,700 %4,100 %3,873 %4,004 %3,416 %1,967 %

883,695 %4,091 %3,866 %3,996 %3,415 %1,970 %893,691 %4,082 %3,860 %3,988 %3,413 %1,974 %903,686 %4,074 %3,854 %3,981 %3,412 %1,978 %913,682 %4,065 %3,848 %3,973 %3,411 %1,981 %923,678 %4,057 %3,842 %3,966 %3,410 %1,985 %933,674 %4,049 %3,836 %3,959 %3,409 %1,988 %943,669 %4,041 %3,830 %3,952 %3,407 %1,991 %953,665 %4,033 %3,824 %3,945 %3,406 %1,995 %963,662 %4,025 %3,819 %3,938 %3,405 %1,998 %973,658 %4,018 %3,814 %3,931 %3,404 %2,001 %983,654 %4,010 %3,808 %3,925 %3,403 %2,004 %993,650 %4,003 %3,803 %3,919 %3,402 %2,007 %1003,647 %3,996 %3,798 %3,912 %3,401 %2,010 %1013,643 %3,989 %3,793 %3,906 %3,400 %2,013 %1023,640 %3,982 %3,788 %3,900 %3,399 %2,015 %1033,637 %3,976 %3,784 %3,895 %3,398 %2,018 %1043,633 %3,969 %3,779 %3,889 %3,397 %2,021 %1053,630 %3,963 %3,774 %3,883 %3,396 %2,024 %1063,627 %3,957 %3,770 %3,878 %3,395 %2,026 %1073,624 %3,950 %3,766 %3,872 %3,394 %2,029 %1083,621 %3,944 %3,761 %3,867 %3,394 %2,031 %1093,618 %3,938 %3,757 %3,862 %3,393 %2,034 %1103,615 %3,933 %3,753 %3,857 %3,392 %2,036 %1113,612 %3,927 %3,749 %3,852 %3,391 %2,038 %1123,609 %3,921 %3,745 %3,847 %3,390 %2,041 %1133,607 %3,916 %3,741 %3,842 %3,389 %2,043 %1143,604 %3,910 %3,737 %3,837 %3,389 %2,045 %1153,601 %3,905 %3,733 %3,832 %3,388 %2,048 %1163,599 %3,900 %3,729 %3,828 %3,387 %2,050 %1173,596 %3,895 %3,726 %3,823 %3,386 %2,052 %1183,594 %3,890 %3,722 %3,819 %3,386 %2,054 %1193,591 %3,885 %3,719 %3,814 %3,385 %2,056 %1203,589 %3,880 %3,715 %3,810 %3,384 %2,058 %1213,586 %3,875 %3,712 %3,806 %3,384 %2,060 % 1223,584 %3,870 %3,708 %3,802 %3,383 %2,062 %1233,582 %3,866 %3,705 %3,798 %3,382 %2,064 %1243,579 %3,861 %3,702 %3,794 %3,382 %2,066 %1253,577 %3,856 %3,698 %3,790 %3,381 %2,068 %1263,575 %3,852 %3,695 %3,786 %3,380 %2,070 %1273,573 %3,848 %3,692 %3,782 %3,380 %2,071 %1283,571 %3,843 %3,689 %3,778 %3,379 %2,073 %1293,568 %3,839 %3,686 %3,774 %3,378 %2,075 %1303,566 %3,835 %3,683 %3,771 %3,378 %2,077 %1313,564 %3,831 %3,680 %3,767 %3,377 %2,078 %1323,562 %3,827 %3,677 %3,764 %3,377 %2,080 %1333,560 %3,823 %3,674 %3,760 %3,376 %2,082 %1343,558 %3,819 %3,672 %3,757 %3,375 %2,083 %1353,557 %3,815 %3,669 %3,753 %3,375 %2,085 %1363,555 %3,811 %3,666 %3,750 %3,374 %2,087 %1373,553 %3,808 %3,663 %3,747 %3,374 %2,088 %1383,551 %3,804 %3,661 %3,743 %3,373 %2,090 %1393,549 %3,800 %3,658 %3,740 %3,373 %2,091 %1403,547 %3,797 %3,656 %3,737 %3,372 %2,093 %1413,546 %3,793 %3,653 %3,734 %3,372 %2,094 %1423,544 %3,790 %3,651 %3,731 %3,371 %2,096 %1433,542 %3,786 %3,648 %3,728 %3,371 %2,097 %1443,540 %3,783 %3,646 %3,725 %3,370 %2,098 %1453,539 %3,780 %3,643 %3,722 %3,370 %2,100 %1463,537 %3,776 %3,641 %3,719 %3,369 %2,101 %1473,536 %3,773 %3,639 %3,716 %3,369 %2,102 %1483,534 %3,770 %3,636 %3,713 %3,368 %2,104 %1493,532 %3,767 %3,634 %3,711 %3,368 %2,105 %1503,531 %3,764 %3,632 %3,708 %3,367 %2,106 %Term to maturity (in years)Australian dollarCanadian dollarColombian pesoHong Kong dollarNew Taiwan dollarRenminbi-yuan13,371 %2,518 %7,904 %2,218 %0,905 %1,195 %23,243 %2,482 %9,124 %2,239 %0,941 %1,139 %33,278 %2,525 %10,041 %2,254 %0,976 %1,135 %

43,364 %2,576 %10,695 %2,277 %1,003 %1,140 %53,469 %2,639 %11,160 %2,318 %1,028 %1,150 %63,580 %2,722 %11,501 %2,376 %1,050 %1,145 %73,699 %2,811 %11,795 %2,441 %1,070 %1,140 %83,808 %2,896 %12,029 %2,507 %1,088 %1,147 %93,906 %2,972 %12,239 %2,569 %1,106 %1,171 %103,991 %3,034 %12,433 %2,624 %1,121 %1,214 %114,063 %3,082 %12,550 %2,674 %1,150 %1,276 %124,126 %3,119 %12,593 %2,717 %1,191 %1,350 %134,179 %3,148 %12,578 %2,755 %1,240 %1,431 %144,224 %3,170 %12,518 %2,789 %1,293 %1,514 %154,263 %3,188 %12,423 %2,818 %1,349 %1,599 %164,297 %3,201 %12,299 %2,845 %1,405 %1,682 %174,324 %3,211 %12,155 %2,868 %1,461 %1,764 %184,346 %3,219 %11,994 %2,889 %1,516 %1,843 %194,360 %3,226 %11,821 %2,908 %1,570 %1,920 %204,367 %3,230 %11,640 %2,925 %1,623 %1,994 %214,367 %3,234 %11,455 %2,941 %1,673 %2,065 %224,360 %3,237 %11,266 %2,955 %1,722 %2,132 %234,350 %3,239 %11,077 %2,968 %1,769 %2,197 %244,336 %3,240 %10,890 %2,981 %1,814 %2,259 %254,321 %3,241 %10,704 %2,992 %1,858 %2,318 %264,304 %3,242 %10,523 %3,002 %1,899 %2,374 %274,287 %3,242 %10,346 %3,012 %1,939 %2,428 %284,269 %3,243 %10,173 %3,021 %1,977 %2,479 %294,250 %3,243 %10,006 %3,030 %2,014 %2,528 %304,232 %3,243 %9,845 %3,038 %2,048 %2,574 %314,214 %3,244 %9,690 %3,045 %2,082 %2,619 %324,196 %3,244 %9,540 %3,052 %2,114 %2,661 %334,178 %3,245 %9,396 %3,059 %2,144 %2,702 %344,160 %3,245 %9,258 %3,066 %2,174 %2,741 %354,143 %3,246 %9,125 %3,072 %2,202 %2,778 %364,126 %3,246 %8,998 %3,077 %2,229 %2,813 %374,109 %3,247 %8,876 %3,083 %2,254 %2,847 % 384,093 %3,247 %8,759 %3,088 %2,279 %2,879 %394,078 %3,248 %8,648 %3,093 %2,303 %2,911 %404,062 %3,249 %8,540 %3,098 %2,325 %2,940 %414,047 %3,249 %8,438 %3,102 %2,347 %2,969 %424,033 %3,250 %8,339 %3,107 %2,368 %2,996 %434,019 %3,250 %8,245 %3,111 %2,388 %3,023 %444,005 %3,251 %8,154 %3,115 %2,408 %3,048 %453,991 %3,252 %8,067 %3,118 %2,426 %3,072 %463,978 %3,252 %7,984 %3,122 %2,444 %3,095 %473,966 %3,253 %7,904 %3,126 %2,462 %3,118 %483,954 %3,253 %7,827 %3,129 %2,478 %3,140 %493,942 %3,254 %7,753 %3,132 %2,494 %3,160 %503,930 %3,254 %7,682 %3,135 %2,510 %3,180 %513,919 %3,255 %7,613 %3,138 %2,525 %3,200 %523,908 %3,256 %7,547 %3,141 %2,539 %3,218 %533,898 %3,256 %7,484 %3,144 %2,553 %3,236 %543,887 %3,257 %7,423 %3,147 %2,566 %3,254 %553,877 %3,257 %7,364 %3,150 %2,579 %3,271 %563,868 %3,258 %7,307 %3,152 %2,592 %3,287 %573,858 %3,258 %7,252 %3,155 %2,604 %3,303 %583,849 %3,259 %7,199 %3,157 %2,616 %3,318 %593,840 %3,259 %7,147 %3,159 %2,627 %3,332 %603,832 %3,260 %7,098 %3,161 %2,638 %3,347 %613,824 %3,260 %7,050 %3,164 %2,649 %3,360 %623,815 %3,261 %7,003 %3,166 %2,659 %3,374 %633,808 %3,261 %6,958 %3,168 %2,669 %3,387 %643,800 %3,262 %6,915 %3,170 %2,679 %3,399 %653,792 %3,262 %6,873 %3,172 %2,688 %3,411 %663,785 %3,263 %6,832 %3,174 %2,697 %3,423 %673,778 %3,263 %6,792 %3,175 %2,706 %3,435 %683,771 %3,264 %6,753 %3,177 %2,715 %3,446 %693,765 %3,264 %6,716 %3,179 %2,723 %3,457 %703,758 %3,264 %6,680 %3,181 %2,731 %3,467 %713,752 %3,265 %6,644 %3,182 %2,739 %3,477 %

723,746 %3,265 %6,610 %3,184 %2,747 %3,487 %733,740 %3,266 %6,577 %3,185 %2,755 %3,497 %743,734 %3,266 %6,544 %3,187 %2,762 %3,507 %753,728 %3,266 %6,513 %3,188 %2,769 %3,516 %763,723 %3,267 %6,482 %3,190 %2,776 %3,525 %773,717 %3,267 %6,452 %3,191 %2,783 %3,533 %783,712 %3,268 %6,423 %3,192 %2,789 %3,542 %793,707 %3,268 %6,394 %3,194 %2,796 %3,550 %803,702 %3,268 %6,367 %3,195 %2,802 %3,558 %813,697 %3,269 %6,340 %3,196 %2,808 %3,566 %823,692 %3,269 %6,313 %3,198 %2,814 %3,574 %833,687 %3,269 %6,288 %3,199 %2,820 %3,581 %843,683 %3,270 %6,262 %3,200 %2,826 %3,589 %853,678 %3,270 %6,238 %3,201 %2,831 %3,596 %863,674 %3,270 %6,214 %3,202 %2,837 %3,603 %873,670 %3,271 %6,191 %3,203 %2,842 %3,610 %883,665 %3,271 %6,168 %3,204 %2,847 %3,616 %893,661 %3,271 %6,146 %3,205 %2,852 %3,623 %903,657 %3,272 %6,124 %3,207 %2,857 %3,629 %913,653 %3,272 %6,102 %3,208 %2,862 %3,636 %923,649 %3,272 %6,082 %3,209 %2,867 %3,642 %933,646 %3,272 %6,061 %3,209 %2,871 %3,648 %943,642 %3,273 %6,041 %3,210 %2,876 %3,653 %953,638 %3,273 %6,022 %3,211 %2,880 %3,659 %963,635 %3,273 %6,002 %3,212 %2,885 %3,665 %973,632 %3,273 %5,984 %3,213 %2,889 %3,670 %983,628 %3,274 %5,965 %3,214 %2,893 %3,676 %993,625 %3,274 %5,947 %3,215 %2,897 %3,681 %1003,622 %3,274 %5,930 %3,216 %2,901 %3,686 %1013,618 %3,274 %5,912 %3,217 %2,905 %3,691 %1023,615 %3,275 %5,896 %3,217 %2,909 %3,696 %1033,612 %3,275 %5,879 %3,218 %2,913 %3,701 %1043,609 %3,275 %5,863 %3,219 %2,917 %3,706 %1053,606 %3,275 %5,847 %3,220 %2,920 %3,711 % 1063,603 %3,276 %5,831 %3,220 %2,924 %3,715 %1073,601 %3,276 %5,816 %3,221 %2,927 %3,720 %1083,598 %3,276 %5,801 %3,222 %2,931 %3,724 %1093,595 %3,276 %5,786 %3,223 %2,934 %3,728 %1103,592 %3,276 %5,771 %3,223 %2,937 %3,733 %1113,590 %3,277 %5,757 %3,224 %2,941 %3,737 %1123,587 %3,277 %5,743 %3,225 %2,944 %3,741 %1133,585 %3,277 %5,729 %3,225 %2,947 %3,745 %1143,582 %3,277 %5,716 %3,226 %2,950 %3,749 %1153,580 %3,277 %5,703 %3,227 %2,953 %3,753 %1163,577 %3,278 %5,689 %3,227 %2,956 %3,757 %1173,575 %3,278 %5,677 %3,228 %2,959 %3,761 %1183,572 %3,278 %5,664 %3,229 %2,962 %3,764 %1193,570 %3,278 %5,652 %3,229 %2,965 %3,768 %1203,568 %3,278 %5,639 %3,230 %2,968 %3,772 %1213,566 %3,279 %5,628 %3,230 %2,970 %3,775 %1223,564 %3,279 %5,616 %3,231 %2,973 %3,779 %1233,561 %3,279 %5,604 %3,231 %2,976 %3,782 %1243,559 %3,279 %5,593 %3,232 %2,978 %3,785 %1253,557 %3,279 %5,582 %3,232 %2,981 %3,789 %1263,555 %3,279 %5,570 %3,233 %2,983 %3,792 %1273,553 %3,280 %5,560 %3,234 %2,986 %3,795 %1283,551 %3,280 %5,549 %3,234 %2,988 %3,798 %1293,549 %3,280 %5,538 %3,235 %2,991 %3,801 %1303,547 %3,280 %5,528 %3,235 %2,993 %3,805 %1313,545 %3,280 %5,518 %3,236 %2,996 %3,808 %1323,544 %3,280 %5,508 %3,236 %2,998 %3,810 %1333,542 %3,280 %5,498 %3,237 %3,000 %3,813 %1343,540 %3,281 %5,488 %3,237 %3,002 %3,816 %1353,538 %3,281 %5,479 %3,237 %3,005 %3,819 %1363,536 %3,281 %5,469 %3,238 %3,007 %3,822 %1373,535 %3,281 %5,460 %3,238 %3,009 %3,825 %1383,533 %3,281 %5,451 %3,239 %3,011 %3,827 %1393,531 %3,281 %5,442 %3,239 %3,013 %3,830 %

1403,530 %3,281 %5,433 %3,240 %3,015 %3,833 %1413,528 %3,282 %5,424 %3,240 %3,017 %3,835 %1423,526 %3,282 %5,415 %3,241 %3,019 %3,838 %1433,525 %3,282 %5,407 %3,241 %3,021 %3,840 %1443,523 %3,282 %5,398 %3,241 %3,023 %3,843 %1453,522 %3,282 %5,390 %3,242 %3,025 %3,845 %1463,520 %3,282 %5,382 %3,242 %3,027 %3,848 %1473,519 %3,282 %5,374 %3,243 %3,029 %3,850 %1483,517 %3,282 %5,366 %3,243 %3,030 %3,853 %1493,516 %3,283 %5,358 %3,243 %3,032 %3,855 %1503,514 %3,283 %5,350 %3,244 %3,034 %3,857 %Term to maturity (in years)US dollarYen13,872 %0,609 %23,490 %0,729 %33,401 %0,802 %43,396 %0,858 %53,430 %0,908 %63,485 %0,961 %73,545 %1,021 %83,605 %1,085 %93,664 %1,154 %103,722 %1,229 %113,778 %1,307 %123,831 %1,388 %133,878 %1,471 %143,920 %1,554 %153,955 %1,638 %163,985 %1,720 %174,008 %1,799 %184,025 %1,874 %194,037 %1,943 %204,044 %2,005 % 214,045 %2,061 %224,042 %2,110 %234,035 %2,153 %244,024 %2,193 %254,010 %2,229 %263,994 %2,261 %273,976 %2,291 %283,958 %2,319 %293,939 %2,345 %303,921 %2,369 %313,904 %2,392 %323,887 %2,413 %333,872 %2,434 %343,857 %2,454 %353,843 %2,472 %363,830 %2,490 %373,817 %2,507 %383,805 %2,523 %393,794 %2,538 %403,783 %2,553 %413,772 %2,567 %423,762 %2,581 %433,752 %2,594 %443,743 %2,607 %453,734 %2,619 %463,725 %2,630 %473,717 %2,641 %483,709 %2,652 %493,701 %2,663 %503,694 %2,673 %513,687 %2,682 %523,680 %2,692 %533,673 %2,701 %543,667 %2,709 %553,661 %2,718 % 563,655 %2,726 %573,649 %2,734 %583,643 %2,741 %593,638 %2,749 %603,632 %2,756 %613,627 %2,763 %623,622 %2,770 %633,617 %2,776 %643,612 %2,783 %653,608 %2,789 %663,603 %2,795 %673,599 %2,801 %683,595 %2,806 %693,591 %2,812 %703,587 %2,817 %713,583 %2,822 %723,579 %2,828 %733,575 %2,833 %743,572 %2,837 %753,568 %2,842 %763,565 %2,847 %773,561 %2,851 %783,558 %2,856 %793,555 %2,860 %803,552 %2,864 %813,549 %2,868 %823,546 %2,872 %833,543 %2,876 %843,540 %2,880 %853,537 %2,883 %863,535 %2,887 %873,532 %2,891 %883,529 %2,894 %893,527 %2,897 %903,524 %2,901 % 913,522 %2,904 %923,519 %2,907 %933,517 %2,910 %943,515 %2,913 %953,513 %2,916 %963,510 %2,919 %973,508 %2,922 %983,506 %2,925 %993,504 %2,928 %1003,502 %2,930 %1013,500 %2,933 %1023,498 %2,936 %1033,496 %2,938 %1043,494 %2,941 %1053,493 %2,943 %1063,491 %2,946 %1073,489 %2,948 %1083,487 %2,950 %1093,486 %2,953 %1103,484 %2,955 %1113,482 %2,957 %1123,481 %2,959 %1133,479 %2,961 %1143,477 %2,963 %1153,476 %2,965 %1163,474 %2,967 %1173,473 %2,969 %1183,471 %2,971 %1193,470 %2,973 %1203,469 %2,975 %1213,467 %2,977 %1223,466 %2,979 %1233,465 %2,981 %1243,463 %2,982 %1253,462 %2,984 % 1263,461 %2,986 %1273,459 %2,988 %1283,458 %2,989 %1293,457 %2,991 %1303,456 %2,992 %1313,454 %2,994 %1323,453 %2,996 %1333,452 %2,997 %1343,451 %2,999 %1353,450 %3,000 %1363,449 %3,002 %1373,448 %3,003 %1383,447 %3,004 %1393,446 %3,006 %1403,445 %3,007 %1413,444 %3,009 %1423,443 %3,010 %1433,442 %3,011 %1443,441 %3,013 %1453,440 %3,014 %1463,439 %3,015 %1473,438 %3,016 %1483,437 %3,018 %1493,436 %3,019 %1503,435 %3,020 %

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)AustriaBelgiumBulgariaCroatiaCzechiaCyprusDenmark10025501902003350320300385037040141623905024563420603486545071452684708265361047093755611450103757712450Duration (in years)EstoniaFinlandFranceGermanyGreeceHungaryIreland100003184112000020041630000179419410001584205200014642163000144422740001424238601014632497120148125107130150425Duration (in years)ItalyLatviaLithuaniaLuxembourgMaltaNetherlandsPoland1623012042137901704 3171012019044211214020045231416022046251518023047271720024048291821025049311922126041032202412704Duration (in years)PortugalRomaniaSlovakiaSloveniaSpainSwedenUnited Kingdom1198913300232141216900337161420120043817162414005411817271600644191931180074620203220008462222342100944232235220010442123352400Duration (in years)IcelandLiechtensteinNorwaySwitzerlandAustraliaCanadaChina150000002500000135000002450000035500000365000004750000048500000795000005105000005 Duration (in years)ColombiaHong KongJapanTaiwanUnited States11200402170040326004043200405330040636004073700408360040933004010350140
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 61619401042174851182261940104217485961372142100214481790492445102213481658510265010621348155561128531102134814817133055112213481481813315511221348148191332551112134814811013335611121348148111143456111213481481121435561112134814811315355611121348148114153556111213481481151535561112134814811616355611121348148117173556111213481481181835561112134814811919355611121348148120193556111213481481 21213556111213481481222235561112134814812323355611121348148124243556111213481481252435561112134814812625355611121348148127263556111213481481282736561112134814812927365611121348148130283656111213481481 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 611932541172314981209220335511823249998332235561142284968084223759116227494672523396311822649456762340651222254934937244267124224492492823426612222449149192342661212234914911023436512122349049011234365120222490490122343641202214894891322436411922148948914224363119220488488152243631182204884881621426311822048748717214263118220487487182142631182204874871922426311822048748720224363118220488488 21224363119220488488222243641192214884882323436411922148848824244364119221488488252543641192204884882625436311922048848827264363118220488488282743631182204884882928436311822048848830294263118220488488

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 6161940104217485118226194010421748596137214299214481790492445102213481658510265010521348055461128531102134804807123055112213480480812315511221348048091332551112134804801013335611121348048011143456111213480480121434561112134804801314355611121348048014153556111213480480151535561112134804801616355611121348048017173556111213480480181835561112134804801919355611121348048020193556111213480480 21213556111213480480222235561112134804802323355611121348048024243556111213480480252435561112134804802625355611121348048027263556111213480480282735561112134804802927355611121348048030283556111213480480 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 617891113176289557125727588110173287554102437993114171285553842478931151722835507025789411817328154859267895120176279547547777951201772785455458769511917527754454497695118174276544544107393116171273541541117292114169271539539127192113168270538538137191112167269537537147191112167269537537157191112167269536536167091111166268536536177091111166268536536186990111166268535535196989110165267535535206889110165266534534 216888109164266534534226788108163265533533236687107162264532532246586106161263531531256485105160262530530266384104159261529529276283103158260528528286182102157259527527296081101156258526526305980100155257525525 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 611023441082214881179211244610922249095931427481062204887884153052109220487656517335711222048755461835601172204874877193762119219487487819376211821948748791938611172194864861019386111721848648611193961117218486486122040611172184864861320416211721948648614204162117219486486152141621172194874871621416211721948748717214262117219487487182142631182194874871922426311822048848820224363118220488488 21234364119221488488222344641192214894892323446411922148948924244464119221489489252444641192214894892625446411922148948927264464119221489489282744641192214894892927436411922148948930284364119221488488 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 615183910321648411812518391032164849603620419921348178948234410121248065759254910521248055461027521092124804807122954112212480480812305511121248048091231551102124804801012325511021248048011133355110212480480121334551102124804801314345511021248048014143555110212480480151535551102124804801616355511021248048017173555110212480480181835551102124804801918355511021248048020193555110212480480 21213555110212480480222235551102124804802323355511021248048024243555110212480480252435551102124804802625355511021248048027263555110212480480282735551102124804802927355511021248048030283555110212480480

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 6172450133236504121727245013323650498738265112223350081041029531152314996745123155107230498568614345910222949649671636609722849549581838599222749449492044628722649349310204460852254934931119435986224492492121943608822349149113194360882234904901419436088222490490151944608822148948916194460882204884881719446088220487487181944608821948748719204460882194874872021446088220487487 2122446088220487487222244608821948748723234460882194864862424446088218486486252544608821848548526264460882174854852726446088216484484282744608821648448429284460882154834833029446088215483483 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 618194116179293560127628194115179292560104038296117174288556856482971181752865547125829812117728455260068198123180283551551781991241812815495498799712217827954754797897120176278545545107796119175277544544117696118173275543543127596117172274542542137495116171272540540147394114169271539539157292113168270538538167191112167269537537177090111166268536536186989110165267535535196889109164266534534206788108163265533533 2166871071622645325322265861061612635315312364851051602625305302463841041592615295292562821031582605285282661811021572595265262759801011562585255252858791001552565245242957789815425552352330567797152254522522 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 6155688915326653412252556889153266534998356709114826353082145772931502615296845577397153260528577657749915625952652675775100157258525525856759915525752452495574981542555235231055749715225452252211557597152254521521125475961512535215211354749515025252052014537495150252519519155374941492515195191652739314825051851817527293148250518518185172921482495175171951719214724951751720517192147249516516 21507191147248516516225070911462485165162349709014624751551524486990145247514514254869891442465145142647688814324551351327466788143244512512284666871422445115112945668614124351151130446585140242510510 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 61911041251893025701288291103125189302569104639010412518329756485849010512718429456271359010613018629356160069110813318929256056079110913419129256056089111013419029155955999111013418929155955910911111341892915595591191112134189291558558129111113318829055755713901111321872895565561489110131186288555555158810912918528655455416871081281842855535531786107127182284552552188510612618128355155119841051251802825505502083104124179281549549 218210212317828054854822801011221772795465462379100120175277545545247898119174276543543257697117172274542542267595116171273540540277394114169271539539287292113168270538538297091111167268536536306990110165267535535

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 613043651282425091217231446612924251098933246671242395068124334769126237504675533497312923650456863450761322355035037345277134234502502833527613223450150193352751312335015011033527513023250050011335375130232499499123253741292314994991332537312923049849814325273128230498498153152721282294974971631517212722949749717305172127229496496183051721272284964961930517112722849649620305172127228496496 21305172127229496496223051721272284964962330517112622849649624305171126228496496253050711262284964962629507112622849549527295070125227495495282949701252274954952928497012522749449430284969124226494494 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 61032184198465114521522851984669313252481196463765446278419546363754832881954635376610359219546346377123795195463463881338941954634639814389319546346310101538931954634631111173994196464464121217389319546346313131839941964634631414183894195463463151517389319446246216161637921944614611716163792194462462181717379219446246219181737931944624622019183893195463463 2120183893195463463222119389319546346323221938931954634632423203893195463463252421389319546346326252238931954634632725233893195462462282623389319546246229272438931954624623028243893195462462 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 614255771402535211209243557714125452198134458791362505188064456081138249517671546618514124851656664663881452485155157476489147247515515846648914524651451494564881442465135131045658814324551351311456587143244512512124565871422445115111345658614124351151114456586141243510510154465851402425105101643648514024250950917436484139241509509184363841392415095091942638413924050850820426383139240508508 21426383138240508508224162831382405075072341628213723950750724406181136238506506253960811362385055052639598013523750550527385979134236504504283758781332355035032936577813323550250230365677132234502502 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 611932531172304971193219325411723149897032135561142284967974233859116227495663524406412022749555962542671242274954957264469126227495495826456912622749549592746691252274954951027477012522749549511284870125227495495122849701252274954951329497012522749549514294970125227495495152950701252274954951629497012522749549517294970125227495495182949701252274954951929497012522749549520294970125227495495 21294970125227495495222849701252274944942328496912422649449424284869124226493493252748681232254934932627476812322549249227264767122224492492282746671222244924922928466712222349149130284666121223491491

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 618598119183296563129229010312518830256910663941081291863015688854961111331903015687425100116140195303571628610311914420130457257271051221472053055735738106124149205306574574910712615020630757557510108128151206308576576111091291512063085755751210812915020530757557513107128149204306573573141061271482033045725721510512614620130357157116103124145200302569569171021231431983005685681810112114219729956756719991201411962975655652098119139194296564564 2196117138193294562562229511513619129356056023931141341892915595592491112132187289557557258911013018628755555526871081291842865535532786106127182284552552288410512518028255055029821031231792805485483081101122177279546546 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 611326471112244921188215285011322749496631933531112254937934213658115226493660524406311922649455662542671242274954957274469126227495495827456912622749549592746691252274954951027477012522749549511284870125227494494122848691252264944941327486912422649449414274868123225493493152747681232254934931626476712222449249217264767122224492492182646671222244924921926466712222449249220264767122224492492 21264767122224492492222647671222244924922326476712222449249224264767122224492492252646671222244924922625466712222449149127264666122223491491282746661212234914912927456612122349149130284566121223490490 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 61093194208475116421103195208476946321233912054727784414369320347164754164095203470545661742992024704707719441012014694698819431002014684689919429820046846810101942981994674671111204298199467467121221429819946746713132243982004674671414224398200468468151523439820046846816162344992014684681717244499201469469181724451002024704701918254610120347047020192647102204471471 21202747103204472472222128481032054734732323284910420647347324232949104206474474252429491052064744742625295010520747447427263050105207475475282630501052074754752927305110620747547530283051106208475475 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 612841621262395071169229426312724050895033145661232375057804324769126237504649534507312923650454663451761332365045047355378135235503503834537713323450250293453761322345015011034537613123350150111345476131233500500123454751302325005001334547513023250050014335475130232499499153354751302324994991633547513023249949917335475130232499499183454751302325005001934557513023250050020345575131232500500 21345576131232500500223455761312325005002334557513123250050024345575130232500500253454751302325005002634547513023249949927335474130231499499283354741292314994992933537412923149949930325374129231498498

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 6172446962294971218272446962294979863928499322749580941233539222749567251638589522849656761841629322849649671944628922849649681843628822949649691945649122849649610214766942284964961123506897228496496122452699822849649613265470982284964961426557098228496496152655709822849649616265570982284964961726557098228496496182655709822849649619265570982284964962026557098228496496 2126557098229496496222655709822949649623265570982284964962426557098228496496252655709822849649626265570982284954952726557098227495495282755709822749549529285570982264944943029557098226494494 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 6104127518945611592151174188455943325126918445177544614711824506455471874181449544667217818144946477823801814484488882379181448448999237918144844810101124791814494491111112479181449449121212247918144944913131324801814494491414132580182449449151514258018245045016161425801824504501717162681183450450181716268118345145119181727821844524522019182983184452452 2120182983185453453222219308318545345323231931841854534532423213284186453453252422338418645345326252234841864534532726233584185453453282623378318545345329272438831854534533028253983185453453 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 611132040152293310921132040152335233431142245147351177241152549145352137553172851145344109164203054145332886762232561453177328623345814530061596243561145284524107253763145267451117253763145251391127263864145236342137263864145236301147263864145236267157263964145236237167264164145236236177264464145236236187264664145236236197264964145236236 208265064145236236218265364145236236229265664145236236239265864145236236249266164145236236251026626414523623626102665651452362362710266767145236236281126696814523623629112672701452362363012277472145236236 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 6115273353165300318421628345416634323923152836591623591816415293962159360140851530416415835211176163243661583399067173344671573237498173444691563076299163445711562895351016344672155272460111634477215425639912163446721542453491315344671153244307141533457115324427215153345711532432431614324470152243243171432457015224324318143246701522432431914334970152243243 20153352711532432432115335471153244244221533577115324424423153358711532442442415336171153244244251533637115324424426153366711532442442715336871153244244281533717115324324329153373711522432433014337673152243243 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 611132040151293310821132040151335233331142245147351177241152549145352137452172851145344109164193054145332886752232561453177328623335814530061596243561145284524107253762145267450117253763145251391127253863145236342137263863145236301147263863145236266157263963145236237167264163145236236177264463145236236187264663145236236197264963145236236

208265063145236236218265363145236236229265663145236236239265863145236236249266163145236236251026626314523623626102665651452362362710266767145236236281126696814523623629112672701452362363012277472145236236 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 61738692112224316331927183891092213562498373859411621937418994718595118215375147357085961192133671169670869712021235494977087971212103387858708797122209321659969879812420830356110678597123205296482116583951212032944191264829512020229336613648294120202292322146382941202012922921563829411920129229216638193119201292292176381931192002912911862809211820029129119618092118199290290 2061799111719929029021607991116198289289226078901161972882882359778911519728728724587688114196286286255775871131952852852656748611219428428427557385111193283283285472841101912822822952718310919028128130517082108189280280 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 61517244415529331002619254515733423293720285115435017694822325515235113725924355815234410896112637611523318847122939621523167318122940641523006149123041671512835231012304268151267450111331436915125139112133143691512423421313314369151242301141331436915124226615133244691512422421613324469151242242171432447015224224218143246701522432431914334970152243243 20153350711532442442115345371153244244221534567215324424423163458721542442442416346172154244244251634627215424424426163465721542442442716346772153244244281534707215324424429153472711532442443015347572153244244 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 610121939151293310620121939151335233231132144147351177141142448144352137452162750144344109063193053144332885752131551443167328522335714430061595233460144283523106243662144267450116243762144251391126253763144235342137253763144235301147253763144235266157253963144235237167254163144235235177254463144235235187254663144235235197254963144235235 208255063144235235218255363144235235229255663144235235239255863145235235249256163145235235251025626314523523526102565651452352352710256767145235235281125696814523523529112672701452352353012277472145235235 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 610102144171302320520102144171344240231112348166360182241132654163360141251162957162352112062193359161340909742237601603247518625386015930763199314259158290537101134435915727346211113343591572574011210334359156247351139324359155246309149324460155245273159324460154245245169324560153244244179324560152243243189324860152243243199324960152242242 209325260152243243219325460152243243229325760152242242239326060151242242249326262151241241251032656415024124126103267661492402402711327068149240240281132727014823923929113274721482392393012327774147238238

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 617789951152273203371276889511522736225403768897119222379193147588981222193801497574891001222173721187674901011242153589627749010112421434279587289100125212324667971891001262103065661070881001262093004861169881001262082984221268879912420629736813678597123205296323146684961222042942941564839512120229329316638294119201292292176281931192002912911861809211819929029019617991117199289289 2060789011619828828821597789115197288288225876881141962872872357758711319528528524567486112193284284255473851111922832832653728410919128228227527082108190281281285169811071892802802950688010618827927930496779105187278278 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 615062698920130432302506269892013482431350637194196364184745063739719436614335506475981923581138650657610019134692475067771011903307658506777102189313643949667810318829654710486678104187279471114866781041862774091247667810418527635713476577103185275314144664761021842752781546647610218427427416456375101183274274174463751001822732731844627410018227327319436274100181272272 20436274991812722722143617399181272272224261739918027127123426072981802712712441597197179270270254059719717826926926405870961782682682739577095177268268283857729417626726729385675941752662663037557793175266266 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 61869810512523732934042869810412523636325563849710512823038019374839610613022738014995839710813122637211876839911013322535796178410111113522434179388410211213722432366598510211413922431556510851031151412243144851185103115141223314420128410211414022231336713831011131392213123221482100112138220311311158199111137219310310168098110136218309309177997109135217308308187896108134216306306197795107133215305305 207694106132214304304217493105131212303303227391103129211302302237290102128210300300247089101126208299299256987991252072982982667869812320529629627668496122204295295286483951202022932932963819311920129229230618092118199290290 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 6126384464176302320522739456517734424073263947691723601825425394973169361141352640517416835211206264253761683399087274454771673247508274454791663076309264455811652895361026445682165272461112644568216425640012254456821632543491325435581163254307142443558016225327215244254801622532531623425479161252252172341537916125225218234153791612522521923415379161252252 20234153791612522522123415479161252252222341577916125225223234158791612522522423416179161251251252241637816025125126224066781602512512722406878160250250282140717815925025029213973771592502503021397577159250250

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 6100320132284300620162113332522563118271293401713413113112734113285141333127334105562416361273228567251938128307708827214012829159593724431282755071049264512725943611492846128243379124103145127228331134113346128219292145123546128219258156133845127218230166144044126217217176154246126217217186154549126217217197174750127218218 207174952127218218217195254128218218229195456128219219239205757128218218249215860128218218251022616212821821826102363631282182182710246665130218218281124686713121821829112570691322182183011267370134218218 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 6138505676188300318323850567718834223873385059811843581812437516185181359140553852638618135111166395465891803399057405666901793237498395667911793076299395768931782905361039576995177273461113957699517726840012385669941762673501338566894176266308143756689317526627315375567931752652651636546692174265265173654669217426426418355466911732642641935536591173264264 20355365911732642642135536591172263263223452649017226326323335264901712622622433516389171262262253250648817026126126315066871692602602731496887168259259283048718616825925929294774851672582583028477784166257257 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 6114263353164296314021527335316533823563152836591623541789416293963160355138751731426515934711016183444681593348937203646701593197398203748721593036219203849751592865281021395177159269454112139517715925339412214052781592503451321405278159250304142140527815925026915224052781592502501621405277159250250172140527815925025018214052771592502501921405277159250250 20214052781592502502121405377159250250222139567715925025023213958771592492492420396176158249249252038637615824824826193866751572482482719376875157248248281837717415624724729183673741562472473018367574156246246 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 6180929911923032334182869810412423637126073881011091322343931999489103113136233397156059210711814123539012436951111221452373781011798114124148238362838899116127152239344705910111813015524033160010102120132157240331517111021201321582403314491210112013215823933039213100119131156238329345149911712915523732832815981161281542363263261696114126152234325325179511312515123332432418931121241502313223221992110122148230321321 209110912114722831931921891071191452273183182287106118143225316316238510411614222331431424841021141402223123122582100112138220311311268098110136218309309277897109134216307307287795107133215305305297593105131213304304307392104129211302302

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 618202747159295312521123294916133723463132534561593521781414283861158353138051631426415934510956183344681593338887203646701593177358203748721593016179203849751592845251021395176159268452112139517715925139212213951771592503431320395176158249302142038507615824926715193850751572482481619374975157247247171937497515624724718183749751562472471918374974156247247 20193750751572472472119375375157247247221937567515724724723193758751572472472418376175156247247251837637415624724726183666741562472472718366774156247247281836707415624624629173673741552462463017357573155246246 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 610410301422893059204113114333022963151336138346174341615391363461351517184113533910726292043134326869721121441343117198211214613329560393112448132278513104112649132262441114122850132246383124123150132230335135123450132223295145133650132223261156133851133223232166144151133224224176154352134224224186154552134225225197174853135226226 207175054136227227218195255137228228229195457137228228239205758138229229249215960138229229251022626213923023026102364641392302302710246765139230230281125696714023023029112672691402312313011267471140231231 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 6123354262174290307322436436317533123053253846681713471748425394972169347135552640527416933910756274253771683278717284455781683117208274555801672956059274556821662785141027455783166262442112745578316525638412274557831652553361326455783164255296142644568216425526215264456821642552551626445682164255255172645568216425525518264557831642552551927455783165255255 20274557831652562562127455783165256256222745578316525625623274557831652562562427456083165255255252645628316425525526264464821642552552726446782164255255282644698216425425429254472811632542543025437481163254254 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 610142549164302320920142549164343239931172854161359181842203159160359140953233665160351111766273967161339906793142701613237498113546731613066299133850761612895351015405277161272460111541537816125640012164354791612523491317445580161252308141845568016125227215184556801612522521618455680160251251171845568016125125118184556801612512511918455680161251251 20184556801612522522118455680161252252221845578016125225223184559801612522522418456180161251251251845648016025125126184566801602512512718456880160250250281845718015925025029184573801592502503018457680159249249 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 6100411123288304420161312232922873118151173451737413111811434513475141320114338106962416231133258677261926113311717827212711329460393724301132785131049263211326244111492934113246383124103137114231335135113439114216295145123641114205262156133843114205233166144145115205208176154346115206206186154549117207207197174851119207207

207175053121208208218195354123208208229195457125208208239205758126209209249216060127209209251022626212920920926102364641302092092710246766132209209281125696713320920929112672691342082083011277471135208208

Annex

ANNEX III Volatility adjustment to the relevant risk-free interest rate term structure CurrencyNational insurance marketVolatility adjustment (in bps)EuroAustria20EuroBelgium20EuroCroatia20EuroCyprus20EuroEstonia20EuroFinland20EuroFrance20EuroGermany20EuroGreece20EuroIreland20EuroItaly20EuroLatvia20EuroLithuania20EuroLuxembourg20EuroMalta20EuroNetherlands20EuroPortugal20EuroSlovakia20EuroSlovenia20EuroSpain20Czech korunaCzechia14Danish kroneDenmark25ForintHungary8KronaSweden1LevBulgaria15Pound sterlingUnited Kingdom37Romanian leuRomania5ZlotyPoland11KrónaIceland49Norwegian kroneNorway35Swiss francLiechtenstein–4Swiss francSwitzerland–4Australian dollarAustralia24Canadian dollarCanada22 Renminbi-yuanChina–1Hong Kong dollarHong Kong3US dollarUnited States48YenJapan14