Commission Implementing Regulation (EU) 2025/2312of 17 November 2025laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 September 2025 until 30 December 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) 2025/2312 of 17 November 2025 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 30 September 2025 until 30 December 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 6 October 2025, the European Insurance and Occupational Pensions Authority provided the Commission with the technical information related to end of September 2025 market data. That information was published on 6 October 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 September 2025 until 30 December 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 September 2025. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 17 November 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 kroneForintKronaLev12,023 %3,490 %2,013 %6,069 %1,862 %1,973 %22,060 %3,602 %2,050 %6,168 %1,948 %2,010 %32,141 %3,705 %2,131 %6,245 %2,066 %2,091 %42,218 %3,774 %2,208 %6,337 %2,171 %2,168 %52,290 %3,831 %2,280 %6,425 %2,266 %2,239 %62,359 %3,887 %2,349 %6,506 %2,358 %2,308 %72,425 %3,943 %2,415 %6,588 %2,443 %2,375 %82,488 %3,996 %2,478 %6,655 %2,520 %2,438 %92,549 %4,048 %2,539 %6,718 %2,588 %2,498 %102,605 %4,096 %2,594 %6,780 %2,647 %2,554 %112,658 %4,141 %2,647 %6,838 %2,697 %2,607 %122,704 %4,182 %2,694 %6,893 %2,741 %2,654 %132,746 %4,216 %2,736 %6,949 %2,779 %2,696 %142,783 %4,242 %2,773 %6,997 %2,813 %2,732 %152,811 %4,259 %2,801 %7,042 %2,843 %2,760 %162,831 %4,268 %2,821 %7,067 %2,870 %2,780 %172,845 %4,270 %2,835 %7,069 %2,894 %2,794 %182,855 %4,267 %2,845 %7,054 %2,915 %2,803 %192,863 %4,259 %2,852 %7,026 %2,935 %2,811 %202,870 %4,248 %2,860 %6,989 %2,952 %2,819 %212,877 %4,235 %2,867 %6,944 %2,968 %2,827 %222,885 %4,220 %2,875 %6,893 %2,983 %2,835 %232,893 %4,204 %2,883 %6,839 %2,997 %2,844 %242,901 %4,187 %2,892 %6,782 %3,009 %2,853 %252,909 %4,169 %2,900 %6,724 %3,020 %2,862 %262,917 %4,151 %2,908 %6,665 %3,031 %2,871 %272,926 %4,133 %2,916 %6,606 %3,041 %2,880 %282,933 %4,115 %2,925 %6,548 %3,050 %2,889 %292,941 %4,097 %2,933 %6,490 %3,059 %2,898 %302,949 %4,079 %2,940 %6,433 %3,067 %2,906 %312,956 %4,062 %2,948 %6,378 %3,074 %2,915 %322,964 %4,045 %2,956 %6,324 %3,081 %2,923 %332,971 %4,028 %2,963 %6,272 %3,088 %2,931 %342,978 %4,012 %2,970 %6,221 %3,094 %2,939 %352,985 %3,996 %2,977 %6,172 %3,100 %2,947 %

362,991 %3,980 %2,984 %6,124 %3,105 %2,954 %372,998 %3,965 %2,990 %6,078 %3,111 %2,961 %383,004 %3,951 %2,997 %6,034 %3,116 %2,968 %393,010 %3,937 %3,003 %5,991 %3,120 %2,975 %403,016 %3,923 %3,009 %5,950 %3,125 %2,982 %413,021 %3,910 %3,015 %5,911 %3,129 %2,988 %423,027 %3,897 %3,020 %5,873 %3,133 %2,994 %433,032 %3,885 %3,026 %5,836 %3,137 %3,000 %443,037 %3,873 %3,031 %5,801 %3,141 %3,006 %453,042 %3,861 %3,036 %5,767 %3,144 %3,012 %463,047 %3,850 %3,041 %5,734 %3,148 %3,017 %473,052 %3,839 %3,046 %5,703 %3,151 %3,023 %483,057 %3,829 %3,051 %5,672 %3,154 %3,028 %493,061 %3,819 %3,055 %5,643 %3,157 %3,033 %503,065 %3,809 %3,060 %5,615 %3,160 %3,038 %513,069 %3,800 %3,064 %5,588 %3,163 %3,042 %523,073 %3,790 %3,068 %5,562 %3,165 %3,047 %533,077 %3,782 %3,072 %5,536 %3,168 %3,051 %543,081 %3,773 %3,076 %5,512 %3,170 %3,056 %553,085 %3,765 %3,080 %5,488 %3,173 %3,060 %563,088 %3,757 %3,083 %5,465 %3,175 %3,064 %573,092 %3,749 %3,087 %5,443 %3,177 %3,068 %583,095 %3,741 %3,090 %5,422 %3,179 %3,071 %593,099 %3,734 %3,094 %5,401 %3,181 %3,075 %603,102 %3,727 %3,097 %5,382 %3,183 %3,079 %613,105 %3,720 %3,100 %5,362 %3,185 %3,082 %623,108 %3,714 %3,103 %5,343 %3,187 %3,085 %633,111 %3,707 %3,106 %5,325 %3,189 %3,089 %643,114 %3,701 %3,109 %5,308 %3,190 %3,092 %653,116 %3,695 %3,112 %5,291 %3,192 %3,095 %663,119 %3,689 %3,115 %5,274 %3,194 %3,098 %673,122 %3,683 %3,117 %5,258 %3,195 %3,101 %683,124 %3,678 %3,120 %5,243 %3,197 %3,104 %693,127 %3,672 %3,123 %5,227 %3,198 %3,107 %703,129 %3,667 %3,125 %5,213 %3,200 %3,109 % 713,131 %3,662 %3,127 %5,198 %3,201 %3,112 %723,134 %3,657 %3,130 %5,185 %3,203 %3,114 %733,136 %3,652 %3,132 %5,171 %3,204 %3,117 %743,138 %3,647 %3,134 %5,158 %3,205 %3,119 %753,140 %3,643 %3,136 %5,145 %3,207 %3,122 %763,142 %3,638 %3,139 %5,133 %3,208 %3,124 %773,144 %3,634 %3,141 %5,120 %3,209 %3,126 %783,146 %3,629 %3,143 %5,109 %3,210 %3,128 %793,148 %3,625 %3,145 %5,097 %3,211 %3,131 %803,150 %3,621 %3,146 %5,086 %3,212 %3,133 %813,152 %3,617 %3,148 %5,075 %3,213 %3,135 %823,154 %3,613 %3,150 %5,064 %3,215 %3,137 %833,155 %3,610 %3,152 %5,054 %3,216 %3,139 %843,157 %3,606 %3,154 %5,043 %3,217 %3,141 %853,159 %3,602 %3,155 %5,034 %3,218 %3,142 %863,160 %3,599 %3,157 %5,024 %3,218 %3,144 %873,162 %3,595 %3,159 %5,014 %3,219 %3,146 %883,163 %3,592 %3,160 %5,005 %3,220 %3,148 %893,165 %3,589 %3,162 %4,996 %3,221 %3,149 %903,166 %3,586 %3,163 %4,987 %3,222 %3,151 %913,168 %3,582 %3,165 %4,978 %3,223 %3,153 %923,169 %3,579 %3,166 %4,970 %3,224 %3,154 %933,171 %3,576 %3,168 %4,962 %3,225 %3,156 %943,172 %3,573 %3,169 %4,953 %3,225 %3,157 %953,173 %3,571 %3,171 %4,945 %3,226 %3,159 %963,175 %3,568 %3,172 %4,938 %3,227 %3,160 %973,176 %3,565 %3,173 %4,930 %3,228 %3,162 %983,177 %3,562 %3,174 %4,923 %3,228 %3,163 %993,179 %3,560 %3,176 %4,915 %3,229 %3,165 %1003,180 %3,557 %3,177 %4,908 %3,230 %3,166 %1013,181 %3,554 %3,178 %4,901 %3,231 %3,167 %1023,182 %3,552 %3,179 %4,894 %3,231 %3,169 %1033,183 %3,550 %3,181 %4,887 %3,232 %3,170 %1043,184 %3,547 %3,182 %4,881 %3,233 %3,171 %1053,185 %3,545 %3,183 %4,874 %3,233 %3,172 %

1063,187 %3,542 %3,184 %4,868 %3,234 %3,174 %1073,188 %3,540 %3,185 %4,862 %3,234 %3,175 %1083,189 %3,538 %3,186 %4,855 %3,235 %3,176 %1093,190 %3,536 %3,187 %4,849 %3,236 %3,177 %1103,191 %3,534 %3,188 %4,844 %3,236 %3,178 %1113,192 %3,532 %3,189 %4,838 %3,237 %3,179 %1123,193 %3,529 %3,190 %4,832 %3,237 %3,180 %1133,194 %3,527 %3,191 %4,826 %3,238 %3,181 %1143,194 %3,525 %3,192 %4,821 %3,239 %3,182 %1153,195 %3,523 %3,193 %4,815 %3,239 %3,183 %1163,196 %3,522 %3,194 %4,810 %3,240 %3,184 %1173,197 %3,520 %3,195 %4,805 %3,240 %3,185 %1183,198 %3,518 %3,196 %4,800 %3,241 %3,186 %1193,199 %3,516 %3,197 %4,795 %3,241 %3,187 %1203,200 %3,514 %3,197 %4,790 %3,242 %3,188 %1213,201 %3,512 %3,198 %4,785 %3,242 %3,189 %1223,201 %3,511 %3,199 %4,780 %3,243 %3,190 %1233,202 %3,509 %3,200 %4,775 %3,243 %3,191 %1243,203 %3,507 %3,201 %4,771 %3,243 %3,192 %1253,204 %3,506 %3,202 %4,766 %3,244 %3,193 %1263,205 %3,504 %3,202 %4,762 %3,244 %3,194 %1273,205 %3,502 %3,203 %4,757 %3,245 %3,194 %1283,206 %3,501 %3,204 %4,753 %3,245 %3,195 %1293,207 %3,499 %3,205 %4,748 %3,246 %3,196 %1303,207 %3,498 %3,205 %4,744 %3,246 %3,197 %1313,208 %3,496 %3,206 %4,740 %3,246 %3,198 %1323,209 %3,495 %3,207 %4,736 %3,247 %3,198 %1333,210 %3,493 %3,207 %4,732 %3,247 %3,199 %1343,210 %3,492 %3,208 %4,728 %3,248 %3,200 %1353,211 %3,490 %3,209 %4,724 %3,248 %3,201 %1363,212 %3,489 %3,210 %4,720 %3,248 %3,201 %1373,212 %3,488 %3,210 %4,716 %3,249 %3,202 %1383,213 %3,486 %3,211 %4,713 %3,249 %3,203 %1393,213 %3,485 %3,211 %4,709 %3,250 %3,204 %1403,214 %3,484 %3,212 %4,705 %3,250 %3,204 %1413,215 %3,482 %3,213 %4,702 %3,250 %3,205 % 1423,215 %3,481 %3,213 %4,698 %3,251 %3,206 %1433,216 %3,480 %3,214 %4,695 %3,251 %3,206 %1443,216 %3,478 %3,215 %4,691 %3,251 %3,207 %1453,217 %3,477 %3,215 %4,688 %3,252 %3,208 %1463,218 %3,476 %3,216 %4,684 %3,252 %3,208 %1473,218 %3,475 %3,216 %4,681 %3,252 %3,209 %1483,219 %3,474 %3,217 %4,678 %3,253 %3,209 %1493,219 %3,472 %3,217 %4,675 %3,253 %3,210 %1503,220 %3,471 %3,218 %4,672 %3,253 %3,211 %Term to maturity (in years)Pound sterlingRomanian leuZlotyKrónaNorwegian kroneSwiss franc13,866 %6,814 %3,757 %7,297 %4,081 %–0,085 %23,773 %7,016 %4,149 %7,167 %4,051 %–0,065 %33,774 %7,110 %4,378 %7,029 %4,008 %–0,000 %43,801 %7,182 %4,591 %6,936 %3,974 %0,075 %53,849 %7,220 %4,785 %6,864 %3,956 %0,146 %63,905 %7,232 %4,958 %6,807 %3,955 %0,210 %73,977 %7,227 %5,115 %6,761 %3,962 %0,270 %84,053 %7,197 %5,243 %6,723 %3,971 %0,328 %94,128 %7,156 %5,349 %6,679 %3,978 %0,386 %104,205 %7,111 %5,436 %6,621 %3,981 %0,445 %114,281 %7,050 %5,489 %6,551 %3,978 %0,505 %124,353 %6,976 %5,514 %6,473 %3,972 %0,564 %134,420 %6,893 %5,517 %6,391 %3,964 %0,623 %144,482 %6,805 %5,504 %6,307 %3,953 %0,680 %154,537 %6,713 %5,481 %6,222 %3,941 %0,735 %164,586 %6,619 %5,449 %6,137 %3,929 %0,788 %174,628 %6,525 %5,411 %6,052 %3,915 %0,838 %184,666 %6,432 %5,369 %5,970 %3,902 %0,887 %194,697 %6,340 %5,324 %5,889 %3,888 %0,933 %204,725 %6,250 %5,278 %5,811 %3,875 %0,977 %214,747 %6,163 %5,230 %5,735 %3,861 %1,019 %224,766 %6,078 %5,183 %5,662 %3,848 %1,059 %234,780 %5,995 %5,135 %5,591 %3,835 %1,098 %244,791 %5,916 %5,088 %5,523 %3,822 %1,134 %254,798 %5,839 %5,041 %5,458 %3,809 %1,169 %

264,801 %5,765 %4,996 %5,395 %3,797 %1,202 %274,802 %5,695 %4,952 %5,335 %3,785 %1,233 %284,799 %5,627 %4,909 %5,277 %3,774 %1,263 %294,794 %5,561 %4,867 %5,222 %3,763 %1,292 %304,787 %5,499 %4,827 %5,169 %3,752 %1,319 %314,777 %5,439 %4,787 %5,118 %3,741 %1,346 %324,765 %5,381 %4,750 %5,070 %3,731 %1,371 %334,751 %5,326 %4,713 %5,023 %3,721 %1,395 %344,735 %5,274 %4,678 %4,979 %3,712 %1,417 %354,717 %5,223 %4,645 %4,936 %3,702 %1,439 %364,698 %5,175 %4,612 %4,895 %3,694 %1,460 %374,676 %5,129 %4,581 %4,856 %3,685 %1,480 %384,652 %5,084 %4,551 %4,818 %3,677 %1,500 %394,627 %5,042 %4,522 %4,782 %3,669 %1,518 %404,600 %5,001 %4,494 %4,748 %3,661 %1,536 %414,572 %4,962 %4,467 %4,715 %3,653 %1,553 %424,542 %4,924 %4,441 %4,683 %3,646 %1,569 %434,511 %4,888 %4,417 %4,652 %3,639 %1,585 %444,481 %4,854 %4,393 %4,623 %3,632 %1,600 %454,450 %4,820 %4,370 %4,595 %3,626 %1,615 %464,420 %4,788 %4,348 %4,568 %3,620 %1,629 %474,391 %4,758 %4,326 %4,542 %3,613 %1,642 %484,362 %4,728 %4,306 %4,517 %3,608 %1,655 %494,335 %4,700 %4,286 %4,492 %3,602 %1,667 %504,309 %4,672 %4,267 %4,469 %3,596 %1,680 %514,284 %4,646 %4,248 %4,447 %3,591 %1,691 %524,261 %4,620 %4,231 %4,425 %3,586 %1,702 %534,239 %4,596 %4,213 %4,404 %3,581 %1,713 %544,218 %4,572 %4,197 %4,384 %3,576 %1,724 %554,198 %4,549 %4,181 %4,365 %3,571 %1,734 %564,179 %4,527 %4,165 %4,346 %3,567 %1,744 %574,161 %4,506 %4,150 %4,328 %3,562 %1,753 %584,143 %4,485 %4,136 %4,310 %3,558 %1,762 %594,127 %4,465 %4,122 %4,293 %3,554 %1,771 %604,111 %4,446 %4,108 %4,277 %3,550 %1,780 %614,096 %4,427 %4,095 %4,261 %3,546 %1,788 % 624,082 %4,409 %4,082 %4,245 %3,542 %1,796 %634,068 %4,391 %4,070 %4,230 %3,538 %1,804 %644,054 %4,374 %4,058 %4,216 %3,534 %1,812 %654,041 %4,358 %4,047 %4,202 %3,531 %1,819 %664,029 %4,342 %4,035 %4,188 %3,528 %1,826 %674,017 %4,326 %4,024 %4,175 %3,524 %1,833 %684,006 %4,311 %4,014 %4,162 %3,521 %1,840 %693,995 %4,296 %4,003 %4,150 %3,518 %1,847 %703,984 %4,282 %3,993 %4,137 %3,515 %1,853 %713,973 %4,268 %3,984 %4,126 %3,512 %1,859 %723,963 %4,255 %3,974 %4,114 %3,509 %1,865 %733,954 %4,242 %3,965 %4,103 %3,506 %1,871 %743,944 %4,229 %3,956 %4,092 %3,503 %1,877 %753,935 %4,216 %3,947 %4,082 %3,501 %1,883 %763,927 %4,204 %3,939 %4,071 %3,498 %1,888 %773,918 %4,193 %3,930 %4,061 %3,496 %1,893 %783,910 %4,181 %3,922 %4,051 %3,493 %1,899 %793,902 %4,170 %3,914 %4,042 %3,491 %1,904 %803,894 %4,159 %3,907 %4,033 %3,488 %1,909 %813,886 %4,148 %3,899 %4,024 %3,486 %1,913 %823,879 %4,138 %3,892 %4,015 %3,484 %1,918 %833,871 %4,128 %3,885 %4,006 %3,482 %1,923 %843,864 %4,118 %3,878 %3,998 %3,479 %1,927 %853,858 %4,108 %3,871 %3,989 %3,477 %1,931 %863,851 %4,099 %3,864 %3,981 %3,475 %1,936 %873,844 %4,090 %3,858 %3,974 %3,473 %1,940 %883,838 %4,081 %3,851 %3,966 %3,471 %1,944 %893,832 %4,072 %3,845 %3,958 %3,469 %1,948 %903,826 %4,063 %3,839 %3,951 %3,468 %1,952 %913,820 %4,055 %3,833 %3,944 %3,466 %1,956 %923,814 %4,047 %3,827 %3,937 %3,464 %1,959 %933,809 %4,039 %3,822 %3,930 %3,462 %1,963 %943,803 %4,031 %3,816 %3,923 %3,460 %1,967 %953,798 %4,023 %3,811 %3,917 %3,459 %1,970 %963,792 %4,015 %3,805 %3,910 %3,457 %1,974 %973,787 %4,008 %3,800 %3,904 %3,455 %1,977 %

983,782 %4,001 %3,795 %3,898 %3,454 %1,980 %993,777 %3,994 %3,790 %3,892 %3,452 %1,983 %1003,772 %3,987 %3,785 %3,886 %3,451 %1,987 %1013,768 %3,980 %3,780 %3,880 %3,449 %1,990 %1023,763 %3,973 %3,776 %3,874 %3,448 %1,993 %1033,759 %3,967 %3,771 %3,869 %3,446 %1,996 %1043,754 %3,960 %3,766 %3,863 %3,445 %1,999 %1053,750 %3,954 %3,762 %3,858 %3,444 %2,001 %1063,745 %3,948 %3,758 %3,853 %3,442 %2,004 %1073,741 %3,942 %3,753 %3,847 %3,441 %2,007 %1083,737 %3,936 %3,749 %3,842 %3,440 %2,010 %1093,733 %3,930 %3,745 %3,837 %3,438 %2,012 %1103,729 %3,924 %3,741 %3,832 %3,437 %2,015 %1113,725 %3,918 %3,737 %3,828 %3,436 %2,018 %1123,721 %3,913 %3,733 %3,823 %3,435 %2,020 %1133,718 %3,907 %3,729 %3,818 %3,433 %2,023 %1143,714 %3,902 %3,725 %3,814 %3,432 %2,025 %1153,710 %3,897 %3,722 %3,809 %3,431 %2,027 %1163,707 %3,892 %3,718 %3,805 %3,430 %2,030 %1173,703 %3,887 %3,714 %3,800 %3,429 %2,032 %1183,700 %3,882 %3,711 %3,796 %3,428 %2,034 %1193,696 %3,877 %3,708 %3,792 %3,427 %2,037 %1203,693 %3,872 %3,704 %3,788 %3,426 %2,039 %1213,690 %3,867 %3,701 %3,784 %3,425 %2,041 %1223,687 %3,863 %3,697 %3,780 %3,424 %2,043 %1233,684 %3,858 %3,694 %3,776 %3,423 %2,045 %1243,680 %3,853 %3,691 %3,772 %3,422 %2,047 %1253,677 %3,849 %3,688 %3,768 %3,421 %2,049 %1263,674 %3,845 %3,685 %3,765 %3,420 %2,051 %1273,671 %3,840 %3,682 %3,761 %3,419 %2,053 %1283,668 %3,836 %3,679 %3,757 %3,418 %2,055 %1293,666 %3,832 %3,676 %3,754 %3,417 %2,057 %1303,663 %3,828 %3,673 %3,750 %3,416 %2,059 %1313,660 %3,824 %3,670 %3,747 %3,415 %2,061 %1323,657 %3,820 %3,667 %3,743 %3,414 %2,062 %1333,655 %3,816 %3,665 %3,740 %3,413 %2,064 % 1343,652 %3,812 %3,662 %3,737 %3,413 %2,066 %1353,649 %3,808 %3,659 %3,734 %3,412 %2,068 %1363,647 %3,804 %3,656 %3,730 %3,411 %2,069 %1373,644 %3,801 %3,654 %3,727 %3,410 %2,071 %1383,642 %3,797 %3,651 %3,724 %3,409 %2,073 %1393,639 %3,794 %3,649 %3,721 %3,409 %2,074 %1403,637 %3,790 %3,646 %3,718 %3,408 %2,076 %1413,634 %3,787 %3,644 %3,715 %3,407 %2,078 %1423,632 %3,783 %3,641 %3,712 %3,406 %2,079 %1433,630 %3,780 %3,639 %3,709 %3,405 %2,081 %1443,627 %3,776 %3,637 %3,706 %3,405 %2,082 %1453,625 %3,773 %3,634 %3,704 %3,404 %2,084 %1463,623 %3,770 %3,632 %3,701 %3,403 %2,085 %1473,621 %3,767 %3,630 %3,698 %3,403 %2,087 %1483,619 %3,763 %3,628 %3,695 %3,402 %2,088 %1493,616 %3,760 %3,625 %3,693 %3,401 %2,090 %1503,614 %3,757 %3,623 %3,690 %3,401 %2,091 %Term to maturity (in years)Australian dollarCanadian dollarColombian pesoHong Kong dollarNew Taiwan dollarRenminbi-yuan13,574 %2,323 %7,772 %2,910 %0,864 %1,226 %23,571 %2,344 %8,979 %2,673 %0,896 %1,236 %33,629 %2,403 %9,801 %2,622 %0,921 %1,266 %43,693 %2,466 %10,336 %2,625 %0,944 %1,297 %53,780 %2,543 %10,693 %2,656 %0,968 %1,328 %63,861 %2,629 %10,916 %2,709 %0,990 %1,343 %73,957 %2,715 %11,085 %2,773 %1,012 %1,356 %84,053 %2,795 %11,232 %2,838 %1,031 %1,375 %94,139 %2,867 %11,371 %2,900 %1,049 %1,408 %104,211 %2,929 %11,515 %2,957 %1,066 %1,455 %114,276 %2,979 %11,597 %3,006 %1,097 %1,517 %124,334 %3,022 %11,615 %3,050 %1,141 %1,588 %134,384 %3,057 %11,583 %3,088 %1,192 %1,663 %144,427 %3,088 %11,513 %3,120 %1,247 %1,741 %154,465 %3,114 %11,413 %3,148 %1,304 %1,819 %

164,499 %3,137 %11,291 %3,172 %1,363 %1,896 %174,528 %3,156 %11,153 %3,192 %1,420 %1,971 %184,552 %3,174 %11,002 %3,209 %1,477 %2,043 %194,569 %3,189 %10,843 %3,223 %1,533 %2,113 %204,579 %3,203 %10,678 %3,236 %1,587 %2,181 %214,582 %3,215 %10,511 %3,246 %1,639 %2,245 %224,579 %3,226 %10,342 %3,256 %1,689 %2,307 %234,572 %3,236 %10,174 %3,264 %1,737 %2,366 %244,562 %3,245 %10,009 %3,270 %1,784 %2,422 %254,550 %3,253 %9,846 %3,277 %1,828 %2,476 %264,537 %3,260 %9,687 %3,282 %1,870 %2,527 %274,523 %3,266 %9,532 %3,286 %1,911 %2,576 %284,508 %3,272 %9,382 %3,290 %1,950 %2,623 %294,492 %3,277 %9,237 %3,294 %1,987 %2,667 %304,474 %3,281 %9,097 %3,297 %2,023 %2,710 %314,456 %3,285 %8,962 %3,300 %2,057 %2,750 %324,438 %3,289 %8,832 %3,302 %2,090 %2,789 %334,418 %3,292 %8,708 %3,304 %2,121 %2,826 %344,399 %3,295 %8,588 %3,306 %2,151 %2,862 %354,379 %3,298 %8,474 %3,308 %2,180 %2,895 %364,360 %3,300 %8,364 %3,309 %2,207 %2,928 %374,340 %3,302 %8,258 %3,310 %2,233 %2,959 %384,321 %3,304 %8,157 %3,311 %2,259 %2,988 %394,301 %3,305 %8,061 %3,312 %2,283 %3,017 %404,283 %3,307 %7,968 %3,313 %2,306 %3,044 %414,264 %3,308 %7,879 %3,314 %2,328 %3,070 %424,246 %3,309 %7,794 %3,314 %2,350 %3,095 %434,228 %3,310 %7,713 %3,315 %2,370 %3,119 %444,211 %3,311 %7,634 %3,315 %2,390 %3,142 %454,194 %3,312 %7,559 %3,315 %2,409 %3,165 %464,177 %3,313 %7,487 %3,316 %2,427 %3,186 %474,161 %3,313 %7,418 %3,316 %2,445 %3,207 %484,145 %3,314 %7,351 %3,316 %2,462 %3,226 %494,130 %3,314 %7,287 %3,316 %2,478 %3,246 %504,115 %3,315 %7,225 %3,316 %2,494 %3,264 %514,100 %3,315 %7,166 %3,316 %2,509 %3,282 % 524,086 %3,315 %7,109 %3,316 %2,524 %3,299 %534,073 %3,316 %7,054 %3,316 %2,538 %3,315 %544,059 %3,316 %7,001 %3,316 %2,552 %3,331 %554,047 %3,316 %6,950 %3,316 %2,565 %3,347 %564,034 %3,316 %6,900 %3,316 %2,578 %3,362 %574,022 %3,316 %6,853 %3,316 %2,590 %3,376 %584,010 %3,316 %6,807 %3,316 %2,602 %3,390 %593,999 %3,316 %6,762 %3,316 %2,614 %3,403 %603,987 %3,316 %6,719 %3,316 %2,625 %3,416 %613,977 %3,317 %6,678 %3,316 %2,636 %3,429 %623,966 %3,317 %6,637 %3,316 %2,646 %3,441 %633,956 %3,317 %6,598 %3,316 %2,657 %3,453 %643,946 %3,316 %6,560 %3,316 %2,667 %3,465 %653,936 %3,316 %6,524 %3,315 %2,676 %3,476 %663,927 %3,316 %6,488 %3,315 %2,686 %3,487 %673,918 %3,316 %6,454 %3,315 %2,695 %3,497 %683,909 %3,316 %6,420 %3,315 %2,703 %3,507 %693,900 %3,316 %6,388 %3,315 %2,712 %3,517 %703,892 %3,316 %6,356 %3,315 %2,720 %3,527 %713,883 %3,316 %6,326 %3,315 %2,728 %3,536 %723,875 %3,316 %6,296 %3,315 %2,736 %3,546 %733,868 %3,316 %6,267 %3,314 %2,744 %3,554 %743,860 %3,316 %6,239 %3,314 %2,751 %3,563 %753,853 %3,316 %6,211 %3,314 %2,759 %3,572 %763,845 %3,316 %6,185 %3,314 %2,766 %3,580 %773,838 %3,315 %6,159 %3,314 %2,773 %3,588 %783,831 %3,315 %6,133 %3,314 %2,779 %3,596 %793,825 %3,315 %6,109 %3,314 %2,786 %3,603 %803,818 %3,315 %6,085 %3,313 %2,792 %3,611 %813,812 %3,315 %6,061 %3,313 %2,799 %3,618 %823,806 %3,315 %6,038 %3,313 %2,805 %3,625 %833,800 %3,315 %6,016 %3,313 %2,811 %3,632 %843,794 %3,315 %5,994 %3,313 %2,816 %3,639 %853,788 %3,315 %5,973 %3,313 %2,822 %3,645 %863,782 %3,314 %5,952 %3,313 %2,828 %3,652 %873,777 %3,314 %5,932 %3,313 %2,833 %3,658 %

883,771 %3,314 %5,912 %3,312 %2,838 %3,664 %893,766 %3,314 %5,893 %3,312 %2,843 %3,670 %903,761 %3,314 %5,874 %3,312 %2,848 %3,676 %913,756 %3,314 %5,855 %3,312 %2,853 %3,682 %923,751 %3,314 %5,837 %3,312 %2,858 %3,687 %933,746 %3,314 %5,819 %3,312 %2,863 %3,693 %943,741 %3,313 %5,802 %3,312 %2,868 %3,698 %953,736 %3,313 %5,785 %3,312 %2,872 %3,703 %963,732 %3,313 %5,768 %3,311 %2,877 %3,709 %973,727 %3,313 %5,752 %3,311 %2,881 %3,714 %983,723 %3,313 %5,736 %3,311 %2,885 %3,719 %993,719 %3,313 %5,720 %3,311 %2,889 %3,723 %1003,715 %3,313 %5,705 %3,311 %2,894 %3,728 %1013,711 %3,313 %5,690 %3,311 %2,898 %3,733 %1023,707 %3,313 %5,675 %3,311 %2,901 %3,737 %1033,703 %3,312 %5,661 %3,311 %2,905 %3,742 %1043,699 %3,312 %5,647 %3,311 %2,909 %3,746 %1053,695 %3,312 %5,633 %3,311 %2,913 %3,751 %1063,691 %3,312 %5,619 %3,310 %2,916 %3,755 %1073,687 %3,312 %5,606 %3,310 %2,920 %3,759 %1083,684 %3,312 %5,593 %3,310 %2,924 %3,763 %1093,680 %3,312 %5,580 %3,310 %2,927 %3,767 %1103,677 %3,312 %5,567 %3,310 %2,930 %3,771 %1113,674 %3,312 %5,555 %3,310 %2,934 %3,775 %1123,670 %3,312 %5,543 %3,310 %2,937 %3,779 %1133,667 %3,311 %5,531 %3,310 %2,940 %3,782 %1143,664 %3,311 %5,519 %3,310 %2,943 %3,786 %1153,661 %3,311 %5,507 %3,310 %2,946 %3,790 %1163,657 %3,311 %5,496 %3,310 %2,949 %3,793 %1173,654 %3,311 %5,485 %3,309 %2,952 %3,797 %1183,651 %3,311 %5,474 %3,309 %2,955 %3,800 %1193,648 %3,311 %5,463 %3,309 %2,958 %3,803 %1203,645 %3,311 %5,453 %3,309 %2,961 %3,807 %1213,643 %3,311 %5,442 %3,309 %2,964 %3,810 %1223,640 %3,311 %5,432 %3,309 %2,967 %3,813 %1233,637 %3,311 %5,422 %3,309 %2,969 %3,816 % 1243,634 %3,310 %5,412 %3,309 %2,972 %3,819 %1253,632 %3,310 %5,402 %3,309 %2,975 %3,822 %1263,629 %3,310 %5,393 %3,309 %2,977 %3,825 %1273,626 %3,310 %5,383 %3,309 %2,980 %3,828 %1283,624 %3,310 %5,374 %3,309 %2,982 %3,831 %1293,621 %3,310 %5,365 %3,309 %2,985 %3,834 %1303,619 %3,310 %5,356 %3,309 %2,987 %3,837 %1313,616 %3,310 %5,347 %3,308 %2,990 %3,840 %1323,614 %3,310 %5,338 %3,308 %2,992 %3,842 %1333,612 %3,310 %5,330 %3,308 %2,994 %3,845 %1343,609 %3,310 %5,321 %3,308 %2,996 %3,848 %1353,607 %3,310 %5,313 %3,308 %2,999 %3,850 %1363,605 %3,310 %5,305 %3,308 %3,001 %3,853 %1373,603 %3,309 %5,296 %3,308 %3,003 %3,855 %1383,600 %3,309 %5,288 %3,308 %3,005 %3,858 %1393,598 %3,309 %5,281 %3,308 %3,007 %3,860 %1403,596 %3,309 %5,273 %3,308 %3,009 %3,863 %1413,594 %3,309 %5,265 %3,308 %3,012 %3,865 %1423,592 %3,309 %5,258 %3,308 %3,014 %3,867 %1433,590 %3,309 %5,250 %3,308 %3,016 %3,870 %1443,588 %3,309 %5,243 %3,308 %3,018 %3,872 %1453,586 %3,309 %5,236 %3,308 %3,019 %3,874 %1463,584 %3,309 %5,228 %3,308 %3,021 %3,877 %1473,582 %3,309 %5,221 %3,308 %3,023 %3,879 %1483,580 %3,309 %5,215 %3,308 %3,025 %3,881 %1493,578 %3,309 %5,208 %3,307 %3,027 %3,883 %1503,576 %3,309 %5,201 %3,307 %3,029 %3,885 %Term to maturity (in years)US dollarYen13,641 %0,782 %23,394 %0,960 %33,345 %1,065 %43,357 %1,139 %53,394 %1,199 %63,448 %1,256 % 73,508 %1,318 %83,570 %1,381 %93,631 %1,446 %103,693 %1,517 %113,754 %1,590 %123,812 %1,666 %133,864 %1,744 %143,911 %1,823 %153,951 %1,903 %163,985 %1,981 %174,013 %2,058 %184,034 %2,131 %194,050 %2,199 %204,060 %2,262 %214,065 %2,320 %224,066 %2,372 %234,062 %2,419 %244,055 %2,462 %254,045 %2,502 %264,032 %2,538 %274,017 %2,572 %284,000 %2,602 %293,984 %2,630 %303,968 %2,656 %313,952 %2,680 %323,937 %2,701 %333,922 %2,722 %343,908 %2,740 %353,894 %2,757 %363,881 %2,773 %373,869 %2,788 %383,857 %2,802 %393,845 %2,815 %403,833 %2,827 %413,823 %2,838 %423,812 %2,849 %433,802 %2,859 %

443,792 %2,868 %453,783 %2,877 %463,773 %2,886 %473,765 %2,894 %483,756 %2,901 %493,748 %2,908 %503,740 %2,915 %513,732 %2,921 %523,724 %2,928 %533,717 %2,933 %543,710 %2,939 %553,703 %2,944 %563,696 %2,949 %573,690 %2,954 %583,683 %2,959 %593,677 %2,963 %603,671 %2,968 %613,666 %2,972 %623,660 %2,976 %633,655 %2,980 %643,649 %2,983 %653,644 %2,987 %663,639 %2,990 %673,634 %2,994 %683,630 %2,997 %693,625 %3,000 %703,620 %3,003 %713,616 %3,006 %723,612 %3,009 %733,608 %3,012 %743,604 %3,014 %753,600 %3,017 %763,596 %3,019 %773,592 %3,022 %783,588 %3,024 %793,585 %3,026 %803,581 %3,029 % 813,578 %3,031 %823,574 %3,033 %833,571 %3,035 %843,568 %3,037 %853,565 %3,039 %863,562 %3,041 %873,559 %3,043 %883,556 %3,044 %893,553 %3,046 %903,550 %3,048 %913,548 %3,050 %923,545 %3,051 %933,542 %3,053 %943,540 %3,055 %953,537 %3,056 %963,535 %3,058 %973,532 %3,059 %983,530 %3,061 %993,528 %3,062 %1003,525 %3,063 %1013,523 %3,065 %1023,521 %3,066 %1033,519 %3,067 %1043,517 %3,069 %1053,515 %3,070 %1063,513 %3,071 %1073,511 %3,072 %1083,509 %3,074 %1093,507 %3,075 %1103,505 %3,076 %1113,503 %3,077 %1123,501 %3,078 %1133,500 %3,079 %1143,498 %3,080 %1153,496 %3,081 %1163,494 %3,082 %1173,493 %3,083 %1183,491 %3,084 % 1193,490 %3,085 %1203,488 %3,086 %1213,486 %3,087 %1223,485 %3,088 %1233,483 %3,089 %1243,482 %3,090 %1253,480 %3,091 %1263,479 %3,092 %1273,478 %3,092 %1283,476 %3,093 %1293,475 %3,094 %1303,473 %3,095 %1313,472 %3,096 %1323,471 %3,097 %1333,470 %3,097 %1343,468 %3,098 %1353,467 %3,099 %1363,466 %3,100 %1373,465 %3,100 %1383,463 %3,101 %1393,462 %3,102 %1403,461 %3,102 %1413,460 %3,103 %1423,459 %3,104 %1433,458 %3,105 %1443,457 %3,105 %1453,456 %3,106 %1463,454 %3,106 %1473,453 %3,107 %1483,452 %3,108 %1493,451 %3,108 %1503,450 %3,109 %

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)AustriaBelgiumBulgariaCroatiaCzechiaCyprusDenmark10025501902003350320300385037040141623905024563420603486545071451684608265361047093755611450103856712450Duration (in years)EstoniaFinlandFranceGermanyGreeceHungaryIreland100003154112000019841630000177418410001564205200014442163000143422740001414238601014532497130147125108140149425Duration (in years)ItalyLatviaLithuaniaLuxembourgMaltaNetherlandsPoland1523012042137901704317101201904 4211214020045231416022046251518023047271720024048291821025049311922126041032202412604Duration (in years)PortugalRomaniaSlovakiaSloveniaSpainSwedenUnited Kingdom1188913300232141216900336161420120043817162414005411817271600644191930180074520203220008452122342100944222234220010442123352400Duration (in years)IcelandLiechtensteinNorwaySwitzerlandAustraliaCanadaChina150000002500000135000002450000035500000365000004750000048500000795000005105000005

Duration (in years)ColombiaHong KongJapanTaiwanUnited States11200402170040325004043200405330040635004073700408350040933004010350140 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 6161940103216481118426194010321648196337214299213478792492445102212477659510265010521247755661128531092124774777133055112212477477813315511121247747791332551102124774771013335611021247747711143456110212477477121435561102124774771315355611021247747714153556110212477477151535561102124774771616355611021247747717173556110212477477181835561102124774771919355611021247747720193556110212477477 21213556110212477477222235561102124774772323355611021247747724243556110212477477252435561102124774772625355611021247747727263556110212477477282735561102124774772927355611021247747730283556110212477477 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 61203354117230495121122033551182304969863223656113227492811423375911522649167552339631182254905696244065122224489489724426712322348948982342661222234884889234266121222488488102343651202214874871123436512022148648612234364119220486486132343641192204854851422436311821948548515224363118219485485162242631172194844841722426311721948448418224263117219484484192242631172194844842022436311821948548521224363118219485485 222243641182194854852323436411821948548524244364118219485485252543641182194854852626436311821948548527264363118219485485282743631182194854852928436311821948448430294363118219484484 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 6161940103216481118426194010321648196337214299212478792492345101212477659510265010521147755661128531092114774777123055112211477477812315511121147747791332551102114774771013335511021147747711143456110211477477121434561102114774771314355611021147747714153556110211477477151535561102114774771616355611021147747717173556110211477477181835561102114774771919355611021147747720193556110211477477212135561102114774772222355611021147747723233556110211477477 24243556110211477477252435561102124774772625355611021247747727263556110212477477282735561102124774772927355611021247747730283556110212477477 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 617891112175288553125827588109172285551102537993113170284549842478931151712815477025789411817327954559267895119176278544544777951201772765425428769511917527654154197695118173275540540107393116171272537537117292114169270535535127192113168269534534137192112167268534534147192112167268533533157191112166268533533167091111166267533533177091111166267533533187090111165267532532196990110165266531531206889110164265531531216889109164265530530226788108163264530530236687107162263529529246586106161262528528256485105160261527527

266384104159260526526276283103158259525525286182102157258523523296081101156257522522305980100155256521521 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 61922441072194851181211244510822148696131327481052194847914153052108218484658517335611221848455561835601162184844847193762118218484484819376111721848348391938611162174834831019386111621748348311193961116217483483122040611162174834831320416111621748348314204162116217483483152141621162184834831621416211621848348317214262117218483483182142621172184844841922426311721948448420224363118219485485212343641182194854852223436411922048548523234464119220485485242444641192204854852524446411922048548526254464119220485485 27264464119220485485282743641192204854852927436411822048548530284364118219485485 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 61518391022154801183251839102215480962362041982124777914823441012114766585925491042114765556102752108211476476712295411121147647681230541102114764769123154110211476476101232551092114764761113335511021147647612133455110211476476131434551102114764761414355511021147647615153555110211476476161635551102114764761717345511021147647618183455110211476476191934551102114764762019355511021147647621213555110211476476222235551102114764762323355511021147647624243555110211476476252435551102114764762625355511021147647627263555110211476476282735551102114764762927355511021147647630283555110211476476 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 61724501322355001218272450132235500989382651121231497812410295311423049567651231551072294945706143459102228493493716366097226492492818385991225491491920446287225490490102044608522448948911194360862234894891219436088222488488131943618822248748714194461882214874871519446188220486486161944618821948548517194461882194844841819446188218484484192044618821848448420214461882184844842122446188219484484222244618821848448423234461882184834832424446188217483483252544618821748248226264461882164814812726446188215481481282744618821548048029284461882144804803029446188214479479 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 618194116179291557127228194115178291556103738296116173287552853482971181752855517105829812117628354959968298123180282547547781991231802805465468799812217827854454497897120175277542542107797119174275541541117696118173274540540127596117172273538538137495116170271537537147394114169270536536157293113168269534534167191112167268533533177090111166267532532186990110165266531531196889109164265530530206788108163264530530216687107162263529529226586106161262528528236485105160261527527246384104159260525525256282103158259524524266181102156258523523276080101155256522522285879991542555215212957789815325452052030567797152253519519

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 615467891522655301216255688915226553099335670911472615278184577293150260525682557739715225952457665774991552575235237577510015725652252285675991552555215219557498153254520520105574971522535195191155759715125251851812547596151252517517135475951502515175171454749514925051651615537494149250515515165273931482495155151752729314824951451418517292147248514514195172921472485135132051719214624851351321507191146247513513225070911462475125122349709014524651251224496990144245511511254869891442455105102647688814324451051027466787142243509509284666871412435085082945668614124250750730446585140241507507 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 61911041251883015661281291103125188301566104139010412518229656185449010512618329355970959010613018529255759769110813218929155755779110913419129155655689110913419029055655699111013418929055655610911111341882905555551191111133188289555555129111113218728855455413901111311862875535531489110130185286552552158810912918428555155116871081281832845495491786107127182283548548188510612618128254754719841051251802815465462083103124179280545545218210212317727954454422801011211762775435432379100120175276541541247798119173274540540257697117172273538538267495116170271537537277394114169270535535287292113167268534534297091111166267533533306989110164266531531 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 61304365128240506122223144651282415079933324667124237503815433476912523650167853349731282355005716345075132234499499734527713323349949983352761322324984989335275131232497497103352751302314974971133537512923049649612325374129230495495133253731282294954951432527312722949449415315272127228494494163151721262284934931730517212622749349318305171126227493493193051711262274934932030517112622749349321305172126227493493223051711262274934932330517112622749349324305171126227492492253050711252274924922629507012522649249227295070125226492492282949701252264914912928497012422549149130294969124225491491 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 610320831964611146215218419746293232524801944607664462783194459637548328719445953766103591194459459771237941944594598813379319445945998143792194459459101015389219445945911111739931944604601212163892193459459131318389319446046014141838931944604601515173792193459459161616379119245845817161637911924584581817163791193458458191817379219345945920191838921944594592120183893194459459222119389319445945923221938931944594592423203893194459459252421389219445945926252238921934594592725233892193459459282623379219345945929272437921934594593028243892193459459

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 61425576139252517121224255771402525189863445878135249514810445598113724851367454561851402475125696466388144246512512746648914624651151184664881442455105109456488143244510510104565881422445095091145658714224350950912456587141242508508134565861412425075071445658614024150750715446585140241507507164364851392405065061743648413924050650618436384138240505505194263831382395055052042638313823950550521426383138239504504224162831372385045042341628213723850350324406181136237503503253960811352365025022639598013423650150127385979134235500500283758781332345005002936577713223349949930365677131233498498 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 61193153116229494119021932541172294959673213556113227492795423385911622649166252440641192264915586254267123226491491726446912622649149182645691252264914919274669124226491491102747701242264914911128487012522649149112284970125226491491132949701252264914911429497012522649149115294970125226491491162949701242264914911729497012422649149118294970124226491491192949701242264914912029497012422649149121294970124226491491222849691242254914912328496912422549049024284869123224490490252748681232244894892627476812222348948927264767122223489489282746671212234884882928466612122248848830284666121222487487 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 61859811918229556012902911041251883015661064395108129186300565882497112133190300565739510111714019530256862561031201452013045695697105123148205304570570810712514920530657157191081271502063075725721010912815120630757357311109129151206307573573121091291512053065725721310812914920430557157114107128148203304569569151061261472013025685681610412514520030156756717103123144199300565565181011221421972985645641910012114119629756256220981191401942955615612197118138193294559559229511613619129255855823931141351892905565562492112133187289554554259011013118628755255226881091291842855505502786107127182283549549288410512618028154754729831031241782805455453081102122177278544544 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 61132647110223488120021528501132254919733193353110224489799421365811422449066452440631182254915606254267123225491491726446912622649149182745691252264914919274669124226491491102747691242254914911128487012422549149112284869124225491491132748691232254904901427486812322449049015274768122224489489162647671222234884881726466712222348848818264667121223488488192646671212234884882026476712222348848821264767122223488488222647671222234884882326476712222348848824264667122223488488252646671212234884882625466712122248848827264666121222488488282746661212224874872928456612022248748730284566120221487487

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 61093194206472116321103194207472946321233902034697774414359220246864654163994201467545661742982014664667719441002004664668819439919946546599194297199464464101019429719846446411112042971984644641212214297198464464131322429719846446414142243971984644641515234398199464464161623439819946546517172444992004654651817244599201466466191825451002014674672019264610120246846821202747102203469469222127481022044694692323284810320447047024232849103205470470252429491042054714712625295010420547147127262950105206471471282630501052064714712927305010520647247230283051105206472472 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 61284062125238503117022941631262395049513314465122236501781432476812523550065053349731282355005486345176132234500500735527713423449949983452761322334984989335276131232498498103353761302324974971133537513023149749712335475130231496496133354751292304964961433547412923049649615335474129230496496163354741292304964961733547412923049649618335475129230496496193454751292314964962034557513023149649621345575130231497497223455751302314974972334557513023149649624345475130231496496253454751292314964962633547412923049649627335474129230496496283353741292304954952933537412822949549530325373128229495495 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 61724469522849312142724469522849398439284993226491808412335392226492672516385895227492566618416292227493493719446288227493493818436288227493493919456491227493493102148669422749349311235068972274934931224526998227493493132654699822749349314265570982274934931526557098227493493162655709822749249217265570982274924921826557098227493493192655709822749349320265570982274934932126557098227493493222655709822749349323265570982274934932426557098227492492252655709822749249226265570982264924922726557098226492492282755709822649149129285570982254914913029557098225490490 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 610412751874531162215117418745294632512691824487784461471181446648547187318044654666721771804454667782380180445445889237918044544591092378180445445101011247818044544511111124791804454451212122479180446446131313247918044644614141325791814464461515142580181446446161614258018144744717171626811824474471818172681182448448191817278218344844820191829821834494492120183083184449449222219308318445045023232031831844504502423213283185450450252422338318545045026252234831844504502726233683184450450282724378318445045029272438831844504503028253983184450450 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 611132040151294311521132040151336233931142245147352177741152549145353137853172851145345109464203054145332887762232561453177348623345814530161696243561145284525107253762145267451117253763145251392127263863145236343138263863145235302148263863145235267158263963145235237168264263145235235178264463145235235188264663145235235198264963145235235208265063145235235218265363145235235229265663145235235239265863145235235249266163145235235251026636314523523526102665651452352352710266767145235235281126706914523523529112672701452352353012277572145235235 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 611527345316530031892162834541663432399316283759161360182241529396215836114135163041641583531121616324366157340910717344467156325752817344469156308632917344571155291537101735477215427446211163547721542574011216344672153244351131634467115324330914153345711522432731515334571152243243161433457015224224217143345701522422421814334770152242242191533497015224224220153352711522432432115335471152243243221534577115224324323153460711522432432415346271152243243251533647115224324326153366711522432432715336871152243243281533717115224324329153374721522422423015337774152242242 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 611132040151294311421132040151336233931142244147352177641152548145353137752172851145345109364193054145332887752232561453177348623335814530161696243560145284525107253762145267451117253763145251392127253863145236343137263863145235302147263863145235267157263963145235237167264163145235235177264463145235235187264663145235235197264963145235235208265063145235235218265363145235235229265663145235235239265863145235235249266163145235235251026636314523523526102665651452352352710266767145235235281126706914523523529112672701452352353012277572145235235 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 617385921122233153322271838910922035625003738594116218374189947185951182143751473570859611921336711696708697120211354948770879712120933878487087971222093206589698798124208302560106785971232052954821165849612120329341812648395120202292365136482941202012923221464829412020129129115638294119201291291166381931192002912911763819311920029129118628193118200290290196280921181992892892061809111719828928921617991116198288288226078901161972882882359778911519628728724587688114195286286255775871131942852852656748611219328428427557385111192283283285472841101912812812953718310919028028030527082108189279279 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 6151723431552933107261825451563352335372028511533511774482231551513521376592435581513451093611263760151332887712293962151317733812294064151301616912304166150284524101230426815026745111133143691502513921213314369150241343131331436915024130214133143691502412671513324469151241241161332446915124124117143244701512412411814324670151242242191433497015224224220153350711522432432115345371152243243221634567115324324323163458721532432432416346172153243243251634637215324324326163466721532432432716346771153243243281634707115324324329153473711532432433015347572152243243

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 610121939150294311220121939150335233731132144146351177541142448144352137752162750144345109363193053144332887752131551443177338522335714430161696233460144284524106243662144267451116253762144251391127253762144235342137253762144234301147253762144234267157253962144234237167254162144234234177254462144234234187254662144234234197254962144234234208255062144234234218255362144234234229255662144234234239255862144234234249256163144234234251025636314423423426102565651442342342710256767144234234281125696814423423429112672701442342343012277572144234234 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 6101021441703023208201021441703442407311123481663611827411326541633611416511629571623531123621933591613409117422376016032575386253860159308633993142591582915381012344359157274463111133435915625740212103343591552463521393243601552453101493244601542452741593244601532442441693245601522432431793245601522422421893248601512422421993250601512422422093252601522422422193254601522422422293257601512422422393260611512412412410326262150241241251032656515024024026103267671492392392711327069148239239281132727014823823829113274721472382383012327774147237237 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 6177899511522631933612768895115226361253337688971192213781925475889812221837914925748910012221637111846749010112421535896077490101124213341793873901001252113236659718910012621030556510718910112620829948511708810012620729842112698799124206296367136786971232042953231466849612220329429415658395120202292292166482941192012912911763819311820029029018628092118199289289196179911171982882882060789011619728828821597789115196287287225876881141952862862357758711319428528524567486112193283283255573851101922822822653728410919128128127527182108189280280285169811071882792792950688010618727827830496779105186277277 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 6150626888200301320325062698820034624173506371931953631839450637397193365142855064759819235811356506576100190345922750677710018933076385067771021883136419496678103187296546104866781041862794701148667810418527640812476678103185275357134765771031842753141446657710218427427815466476102183273273164563751011822732731745637510018227227218446274100181272272194462749918127127120436274991812712712143617399180271271224361739818027027023426072981792702702441607297179269269254159719617826826826405870961772682682739577095176267267283857729417626626629385674931752652653037557793174265265 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 61869910512523632833862869810412423636225423849710512823037819274839710613022637914915839710813122537011816839911013322435695778510111113522433979088410211213622332166298510211313922331456310851031151402233134831185103115141222313419128410211414022131236613831011131392203113211482100112138219310310158199111137218309309168098110136217307307177997109135216306306187896108134215305305197795107132214304304207694106131213303303217493105130212302302227391103129210301301237290102127209299299247088100126207298298256987991252062962962667859712320429529527668496122203293293286483941202012922922963819311920029129130618092117199289289 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 612638446417630332192273945651763462418326394769171362183442539497216936214205264051741683541126626425376167341913727445477166325754827445479165308633926445581165291538102644568216427446311264456821632574011226445681163253351132543558116225330914244355801622522731524425480161252252162342547916125125117234253791602512511823415379160251251192341537916025125120234153791602512512123415479160251251222341577916025125123234159791602512512423416179160250250252241637816025025026224066781592502502722406878159250250282240717715924924929213973771582492493021397577158249249 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 6100320131285300920162113232522583118261283401714413113012634113295141333127334105562416361273228577251938127307708827214012729159593724431272755071049264412725943611492846128243378124103145126228331134113346127218292145123546127218258156133845126217230166144044125216216176154246125216216186154549126216216197174750126217217207174952127217217217195254127217217229195456127217217239205757127217217249215860127217217251022616212821721726102363631282172172710246665130217217281124686713121721729112570691322172173011267370134217217 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 613749567618730131932385056761873432399337505881183360182143751618418136114125385263861803531121639546588179340909740566690179325752839566791178308632939576893177291538103957699417727446311395769951762674021238566894175266351133856689417526530914375667931742652741537556793174265265163654669217326426417365466921732642641835546691173263263193553659117226326320355365911722632632135536590172262262223452649017126226223345264891712612612433516389170261261253250658816926026026315067871692592592731497087168258258283048728616725825829294774851662572573028477784166256256

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 611426325216429531302152733531643372351315283659161353178541629396315935413845173142651593461098618344468159334891720364670159319737820374872159302619920384974159285527102139517615926945411213951771592523941221405277159249344132240527715924930314224052771592492681522405277159249249162140527715924924917214052771592492491821405277159249249192140527715924924920224052771592492492121405377159249249222139567715824924923213958771582482482420396176157248248252038637615724724726193866751572472472719376875156247247281837717415624624629183673741552462463018367574155245245 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 618092991192303223411286981051252363702601388101109132234392199349010311313723339515535931081191412353881236696111122146237375100479811512514923735983181001171281522393416989102119130156240330595101021201321582403315121110312113315924033144412102120132158239330388131011191311572383293411410011813015623732732715981171291542363263261697115127153234325325179611412615123332332318941121241502313223221993111123149230320320209111012114722831931921901081201452273173172288106118144225316316238610411614222331431424841031151402223123122583101113138220310310268199111137218308308277997109135216307307287796107133214305305297694106131213303303307492104130211302302 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 61820274715829831602112329491613392366313253456158355179441428386115735513905163142641583471103618334468159334894720364670159319739820374872159303621920384974159286529102139517615926945511213951771582533951221395177158249345132039517615824830414203850761572482691519385075157247247161937497515624624617193749741562462461818374974156246246191837497415624624620193752741562462462119375375156246246221937567515624624623193758751562462462419376174156246246251837637415624624626183666741552462462718366874155246246281836717415524524529173673731552452453017367573154245245 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 610410301412893057204113114233022953151335138345174141515391353461350517184013433810716291943134326869721121441333117188211214613229460393112447132278513104112649131261441114122850131245383124123150131230335135123450131222295145133650132222261156133851132222232166144151132223223176154352133223223186154552134224224197174853134225225207175054135226226218195255136227227229195456137227227239205758137228228249215960138228228251022626213822922926102364641382292292710246765139229229281125696713922922929112672691392302303011267471139230230

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 612335416117329030752243643621743322308324374568170347175242538487216834813585264051741683401077627425376167328874728445478167312722827445579166296606927455681165279516102745578216526344411274557831642553851226455782164254337132644568216325429714264456821632542631526445682163254254162644568216325425417264456821632542541826455682163254254192745578216425425420274557831642542542127455783164255255222745578316425525523274557831642542542427456082164254254252645628216425425426264465821632542542726446782163254254282644698116325325329254472811622532533025437481162253253 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 61014254916330131972014254916334323943117285416035818154220315915935914075423366516035111166627396716033890579314270160323748811354673160306628913385076160289535101540527716027246011164153781602563991216435479160251349131744558016025130714184556801602512721518455680160251251161845568016025025017184556801602502501818455680160251251191845568016025125120184556801602512512118455680160251251221845578016025125123184559801602512512418456180160250250251845648016025025026184566801592502502718456880159250250281845718015924924929184573801582492493018457680158248248 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 6100411122288305220161312233022963118151173461744413111811434713525141320113339107462416231133278717261926113312720827212711329660593724301132795151049273211326344311492935113247385124103137113232337135113439113217297145123641114204263156133843114204234166144145114205209176154347115205205186164649117206206197174851120206206207175053121207207218195355124207207229195557125208208239215759126208208249216060129208208251022626213020820826102365641322082082710246766132208208281125696813420820829112672701352082083012277471136208208

Annex

ANNEX III Volatility adjustment to the relevant risk-free interest rate term structure CurrencyNational insurance marketVolatility adjustment (in bps)EuroAustria17EuroBelgium17EuroCroatia17EuroCyprus17EuroEstonia17EuroFinland17EuroFrance17EuroGermany17EuroGreece17EuroIreland17EuroItaly17EuroLatvia17EuroLithuania17EuroLuxembourg17EuroMalta17EuroNetherlands17EuroPortugal17EuroSlovakia17EuroSlovenia17EuroSpain17Czech korunaCzechia14Danish kroneDenmark21ForintHungary8KronaSweden–1LevBulgaria3Pound sterlingUnited Kingdom37Romanian leuRomania4ZlotyPoland8KrónaIceland42Norwegian kroneNorway34Swiss francLiechtenstein–4Swiss francSwitzerland–4Australian dollarAustralia22Canadian dollarCanada14Renminbi-yuanChina0Hong Kong dollarHong Kong4US dollarUnited States40YenJapan11