Commission Implementing Regulation (EU) 2026/349of 17 February 2026laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 December 2025 until 30 March 2026 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) 2026/349 of 17 February 2026 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 December 2025 until 30 March 2026 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 8 January 2026, the European Insurance and Occupational Pensions Authority provided the Commission with the technical information related to end of December 2025 market data. That information was published on 8 January 2026 in accordance with Article 77e(1) of Directive 2009/138/EC. (3) Given the need for the immediate availability of the technical information, it is important that this Regulation enters into force as a matter of urgency. (4) For prudential reasons it is necessary that insurance and reinsurance undertakings use the same technical information for calculating technical provisions and basic own funds irrespective of the date on which they report to their competent authorities. This Regulation should therefore apply from the first reporting reference date to which this Regulation applies. (5) To provide legal certainty as soon as possible, it is duly justified on imperative grounds of urgency related to the availability of the relevant risk-free interest rate term structure that measures provided for in this Regulation be adopted in accordance with Article 8, in conjunction with Article 4, of Regulation (EU) No 182/2011 of the European Parliament and of the Council Regulation (EU) No 182/2011 of the European Parliament and of the Council of 16 February 2011 laying down the rules and general principles concerning mechanisms for control by Member States of the Commission’s exercise of implementing powers (OJ L 55, 28.2.2011, p. 13, ELI: http://data.europa.eu/eli/reg/2011/182/oj).

, HAS ADOPTED THIS REGULATION:

Article 1

1. Insurance and reinsurance undertakings shall use the technical information referred to in paragraph 2 when calculating technical provisions and basic own funds for reporting with reference dates from 31 December 2025 until 30 March 2026.
2. For each relevant currency, the technical information used to calculate the best estimate in accordance with Article 77 of Directive 2009/138/EC, the matching adjustment in accordance with Article 77c of that Directive and the volatility adjustment in accordance with Article 77d of that Directive shall be the following: (a) the relevant risk-free interest rate term structures set out in Annex I; (b) the fundamental spreads for the calculation of the matching adjustment set out in Annex II; (c) for each relevant national insurance market, the volatility adjustments set out in Annex III.

Article 2

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union. It shall apply from 31 December 2025. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 17 February 2026. 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 kroneForintKronaLev12,076 %3,403 %2,066 %6,049 %1,972 %2,026 %22,163 %3,468 %2,153 %6,100 %2,086 %2,113 %32,283 %3,573 %2,273 %6,186 %2,240 %2,233 %42,386 %3,661 %2,376 %6,284 %2,363 %2,336 %52,479 %3,738 %2,469 %6,381 %2,470 %2,429 %62,565 %3,811 %2,555 %6,475 %2,571 %2,515 %72,651 %3,879 %2,641 %6,569 %2,664 %2,601 %82,724 %3,943 %2,714 %6,654 %2,745 %2,674 %92,793 %4,003 %2,782 %6,738 %2,815 %2,742 %102,863 %4,058 %2,853 %6,817 %2,873 %2,812 %112,921 %4,110 %2,911 %6,893 %2,919 %2,870 %122,975 %4,155 %2,965 %6,968 %2,956 %2,924 %133,033 %4,193 %3,023 %7,033 %2,986 %2,982 %143,076 %4,223 %3,066 %7,093 %3,011 %3,025 %153,107 %4,244 %3,097 %7,152 %3,033 %3,056 %163,133 %4,256 %3,123 %7,185 %3,051 %3,082 %173,156 %4,260 %3,146 %7,194 %3,067 %3,105 %183,176 %4,258 %3,166 %7,184 %3,081 %3,125 %193,194 %4,252 %3,183 %7,160 %3,093 %3,142 %203,209 %4,242 %3,199 %7,123 %3,104 %3,158 %213,222 %4,230 %3,212 %7,079 %3,114 %3,171 %223,233 %4,216 %3,223 %7,028 %3,123 %3,183 %233,243 %4,200 %3,233 %6,973 %3,131 %3,193 %243,252 %4,184 %3,242 %6,915 %3,138 %3,203 %253,259 %4,166 %3,250 %6,854 %3,145 %3,211 %263,266 %4,149 %3,256 %6,793 %3,151 %3,218 %273,272 %4,131 %3,262 %6,732 %3,156 %3,225 %283,277 %4,113 %3,267 %6,671 %3,162 %3,231 %293,281 %4,096 %3,272 %6,610 %3,166 %3,236 %303,285 %4,078 %3,276 %6,551 %3,171 %3,241 %313,288 %4,061 %3,280 %6,493 %3,175 %3,245 %323,291 %4,044 %3,283 %6,436 %3,179 %3,249 %333,294 %4,027 %3,285 %6,381 %3,183 %3,252 %343,296 %4,011 %3,288 %6,328 %3,186 %3,255 %353,298 %3,995 %3,290 %6,276 %3,189 %3,258 %

363,300 %3,980 %3,292 %6,226 %3,192 %3,261 %373,301 %3,965 %3,294 %6,177 %3,195 %3,263 %383,303 %3,950 %3,295 %6,131 %3,198 %3,265 %393,304 %3,936 %3,297 %6,086 %3,201 %3,267 %403,305 %3,923 %3,298 %6,043 %3,203 %3,269 %413,306 %3,909 %3,299 %6,001 %3,206 %3,271 %423,307 %3,897 %3,300 %5,961 %3,208 %3,272 %433,308 %3,884 %3,301 %5,922 %3,210 %3,274 %443,308 %3,872 %3,302 %5,885 %3,212 %3,275 %453,309 %3,861 %3,302 %5,849 %3,214 %3,276 %463,309 %3,850 %3,303 %5,815 %3,216 %3,277 %473,310 %3,839 %3,303 %5,782 %3,218 %3,279 %483,310 %3,829 %3,304 %5,750 %3,219 %3,279 %493,310 %3,818 %3,304 %5,719 %3,221 %3,280 %503,310 %3,809 %3,305 %5,689 %3,223 %3,281 %513,311 %3,799 %3,305 %5,661 %3,224 %3,282 %523,311 %3,790 %3,305 %5,633 %3,226 %3,283 %533,311 %3,781 %3,305 %5,606 %3,227 %3,283 %543,311 %3,773 %3,306 %5,580 %3,228 %3,284 %553,311 %3,765 %3,306 %5,556 %3,230 %3,284 %563,311 %3,756 %3,306 %5,532 %3,231 %3,285 %573,311 %3,749 %3,306 %5,508 %3,232 %3,285 %583,311 %3,741 %3,306 %5,486 %3,233 %3,286 %593,311 %3,734 %3,306 %5,464 %3,234 %3,286 %603,311 %3,727 %3,306 %5,443 %3,236 %3,287 %613,311 %3,720 %3,306 %5,423 %3,237 %3,287 %623,311 %3,713 %3,306 %5,403 %3,238 %3,287 %633,311 %3,707 %3,307 %5,384 %3,239 %3,288 %643,311 %3,701 %3,307 %5,366 %3,240 %3,288 %653,311 %3,695 %3,307 %5,348 %3,240 %3,288 %663,311 %3,689 %3,307 %5,330 %3,241 %3,289 %673,311 %3,683 %3,307 %5,313 %3,242 %3,289 %683,311 %3,677 %3,307 %5,297 %3,243 %3,289 %693,311 %3,672 %3,307 %5,281 %3,244 %3,289 % 703,311 %3,667 %3,307 %5,266 %3,245 %3,290 %713,311 %3,662 %3,306 %5,251 %3,245 %3,290 %723,311 %3,657 %3,306 %5,236 %3,246 %3,290 %733,310 %3,652 %3,306 %5,222 %3,247 %3,290 %743,310 %3,647 %3,306 %5,208 %3,248 %3,291 %753,310 %3,642 %3,306 %5,194 %3,248 %3,291 %763,310 %3,638 %3,306 %5,181 %3,249 %3,291 %773,310 %3,634 %3,306 %5,168 %3,250 %3,291 %783,310 %3,629 %3,306 %5,156 %3,250 %3,291 %793,310 %3,625 %3,306 %5,144 %3,251 %3,291 %803,310 %3,621 %3,306 %5,132 %3,252 %3,291 %813,310 %3,617 %3,306 %5,120 %3,252 %3,292 %823,310 %3,613 %3,306 %5,109 %3,253 %3,292 %833,310 %3,609 %3,306 %5,098 %3,253 %3,292 %843,309 %3,606 %3,306 %5,087 %3,254 %3,292 %853,309 %3,602 %3,306 %5,077 %3,254 %3,292 %863,309 %3,599 %3,306 %5,067 %3,255 %3,292 %873,309 %3,595 %3,306 %5,057 %3,256 %3,292 %883,309 %3,592 %3,306 %5,047 %3,256 %3,292 %893,309 %3,589 %3,306 %5,037 %3,257 %3,293 %903,309 %3,585 %3,306 %5,028 %3,257 %3,293 %913,309 %3,582 %3,306 %5,019 %3,257 %3,293 %923,309 %3,579 %3,306 %5,010 %3,258 %3,293 %933,309 %3,576 %3,306 %5,001 %3,258 %3,293 %943,309 %3,573 %3,305 %4,993 %3,259 %3,293 %953,308 %3,570 %3,305 %4,984 %3,259 %3,293 %963,308 %3,568 %3,305 %4,976 %3,260 %3,293 %973,308 %3,565 %3,305 %4,968 %3,260 %3,293 %983,308 %3,562 %3,305 %4,960 %3,261 %3,293 %993,308 %3,559 %3,305 %4,952 %3,261 %3,293 %1003,308 %3,557 %3,305 %4,945 %3,261 %3,293 %1013,308 %3,554 %3,305 %4,938 %3,262 %3,294 %1023,308 %3,552 %3,305 %4,930 %3,262 %3,294 %1033,308 %3,549 %3,305 %4,923 %3,262 %3,294 %1043,308 %3,547 %3,305 %4,916 %3,263 %3,294 %

1053,308 %3,545 %3,305 %4,909 %3,263 %3,294 %1063,308 %3,542 %3,305 %4,903 %3,263 %3,294 %1073,308 %3,540 %3,305 %4,896 %3,264 %3,294 %1083,308 %3,538 %3,305 %4,890 %3,264 %3,294 %1093,307 %3,536 %3,305 %4,883 %3,264 %3,294 %1103,307 %3,533 %3,305 %4,877 %3,265 %3,294 %1113,307 %3,531 %3,305 %4,871 %3,265 %3,294 %1123,307 %3,529 %3,305 %4,865 %3,265 %3,294 %1133,307 %3,527 %3,305 %4,859 %3,266 %3,294 %1143,307 %3,525 %3,305 %4,853 %3,266 %3,294 %1153,307 %3,523 %3,305 %4,847 %3,266 %3,294 %1163,307 %3,521 %3,305 %4,842 %3,267 %3,294 %1173,307 %3,520 %3,304 %4,836 %3,267 %3,294 %1183,307 %3,518 %3,304 %4,831 %3,267 %3,295 %1193,307 %3,516 %3,304 %4,826 %3,267 %3,295 %1203,307 %3,514 %3,304 %4,820 %3,268 %3,295 %1213,307 %3,512 %3,304 %4,815 %3,268 %3,295 %1223,307 %3,510 %3,304 %4,810 %3,268 %3,295 %1233,307 %3,509 %3,304 %4,805 %3,269 %3,295 %1243,307 %3,507 %3,304 %4,800 %3,269 %3,295 %1253,307 %3,505 %3,304 %4,796 %3,269 %3,295 %1263,306 %3,504 %3,304 %4,791 %3,269 %3,295 %1273,306 %3,502 %3,304 %4,786 %3,270 %3,295 %1283,306 %3,501 %3,304 %4,782 %3,270 %3,295 %1293,306 %3,499 %3,304 %4,777 %3,270 %3,295 %1303,306 %3,498 %3,304 %4,773 %3,270 %3,295 %1313,306 %3,496 %3,304 %4,768 %3,270 %3,295 %1323,306 %3,495 %3,304 %4,764 %3,271 %3,295 %1333,306 %3,493 %3,304 %4,760 %3,271 %3,295 %1343,306 %3,492 %3,304 %4,755 %3,271 %3,295 %1353,306 %3,490 %3,304 %4,751 %3,271 %3,295 %1363,306 %3,489 %3,304 %4,747 %3,272 %3,295 %1373,306 %3,487 %3,304 %4,743 %3,272 %3,295 %1383,306 %3,486 %3,304 %4,739 %3,272 %3,295 %1393,306 %3,485 %3,304 %4,735 %3,272 %3,295 %1403,306 %3,483 %3,304 %4,732 %3,272 %3,295 %1413,306 %3,482 %3,304 %4,728 %3,273 %3,295 % 1423,306 %3,481 %3,304 %4,724 %3,273 %3,295 %1433,306 %3,480 %3,304 %4,720 %3,273 %3,296 %1443,306 %3,478 %3,304 %4,717 %3,273 %3,296 %1453,306 %3,477 %3,304 %4,713 %3,273 %3,296 %1463,306 %3,476 %3,304 %4,710 %3,273 %3,296 %1473,306 %3,475 %3,304 %4,706 %3,274 %3,296 %1483,306 %3,473 %3,304 %4,703 %3,274 %3,296 %1493,305 %3,472 %3,304 %4,699 %3,274 %3,296 %1503,305 %3,471 %3,303 %4,696 %3,274 %3,296 %Term to maturity (in years)Pound sterlingRomanian leuZlotyKrónaNorwegian kroneSwiss franc13,540 %6,111 %3,340 %7,028 %4,043 %–0,037 %23,492 %6,240 %3,677 %6,828 %4,026 %0,037 %33,532 %6,365 %3,976 %6,671 %4,002 %0,134 %43,592 %6,481 %4,237 %6,565 %3,986 %0,232 %53,665 %6,553 %4,458 %6,485 %3,984 %0,321 %63,731 %6,593 %4,647 %6,423 %3,998 %0,402 %73,811 %6,625 %4,813 %6,373 %4,016 %0,475 %83,892 %6,641 %4,950 %6,331 %4,035 %0,544 %93,971 %6,647 %5,068 %6,287 %4,049 %0,609 %104,045 %6,652 %5,164 %6,230 %4,057 %0,672 %114,115 %6,636 %5,225 %6,165 %4,058 %0,732 %124,183 %6,599 %5,257 %6,094 %4,054 %0,789 %134,247 %6,547 %5,269 %6,020 %4,046 %0,844 %144,308 %6,485 %5,264 %5,944 %4,036 %0,897 %154,361 %6,416 %5,249 %5,868 %4,024 %0,947 %164,408 %6,342 %5,224 %5,793 %4,010 %0,994 %174,448 %6,266 %5,194 %5,718 %3,996 %1,039 %184,482 %6,188 %5,160 %5,646 %3,981 %1,081 %194,511 %6,110 %5,122 %5,575 %3,966 %1,122 %204,536 %6,032 %5,082 %5,506 %3,951 %1,160 %214,557 %5,956 %5,041 %5,440 %3,936 %1,197 %224,575 %5,881 %5,000 %5,375 %3,921 %1,231 %234,588 %5,807 %4,958 %5,314 %3,906 %1,264 %244,598 %5,736 %4,917 %5,254 %3,891 %1,296 %254,604 %5,667 %4,876 %5,197 %3,877 %1,326 %

264,606 %5,600 %4,836 %5,142 %3,863 %1,354 %274,606 %5,536 %4,796 %5,090 %3,849 %1,381 %284,602 %5,474 %4,758 %5,039 %3,836 %1,407 %294,597 %5,414 %4,721 %4,991 %3,824 %1,431 %304,589 %5,357 %4,685 %4,945 %3,811 %1,455 %314,579 %5,301 %4,650 %4,900 %3,799 %1,477 %324,568 %5,248 %4,616 %4,858 %3,788 %1,499 %334,555 %5,198 %4,583 %4,817 %3,776 %1,519 %344,541 %5,149 %4,552 %4,778 %3,765 %1,539 %354,526 %5,102 %4,522 %4,741 %3,755 %1,558 %364,509 %5,057 %4,492 %4,705 %3,745 %1,576 %374,492 %5,014 %4,464 %4,671 %3,735 %1,593 %384,473 %4,973 %4,437 %4,638 %3,725 %1,609 %394,454 %4,933 %4,411 %4,606 %3,716 %1,625 %404,433 %4,895 %4,386 %4,576 %3,707 %1,640 %414,412 %4,859 %4,362 %4,547 %3,699 %1,655 %424,391 %4,824 %4,338 %4,519 %3,691 %1,669 %434,369 %4,790 %4,316 %4,492 %3,683 %1,682 %444,348 %4,758 %4,294 %4,467 %3,675 %1,695 %454,326 %4,727 %4,273 %4,442 %3,668 %1,708 %464,305 %4,697 %4,253 %4,418 %3,660 %1,720 %474,284 %4,668 %4,234 %4,395 %3,653 %1,732 %484,263 %4,640 %4,215 %4,373 %3,647 %1,743 %494,243 %4,614 %4,197 %4,352 %3,640 %1,753 %504,224 %4,588 %4,180 %4,331 %3,634 %1,764 %514,206 %4,563 %4,163 %4,312 %3,628 %1,774 %524,188 %4,539 %4,147 %4,293 %3,622 %1,784 %534,171 %4,516 %4,132 %4,274 %3,616 %1,793 %544,154 %4,494 %4,117 %4,256 %3,611 %1,802 %554,139 %4,472 %4,102 %4,239 %3,605 %1,811 %564,123 %4,452 %4,088 %4,223 %3,600 %1,819 %574,109 %4,432 %4,074 %4,207 %3,595 %1,827 %584,095 %4,412 %4,061 %4,191 %3,590 %1,835 %594,081 %4,394 %4,049 %4,176 %3,586 %1,843 %604,068 %4,375 %4,036 %4,162 %3,581 %1,850 %614,055 %4,358 %4,024 %4,148 %3,577 %1,857 % 624,043 %4,341 %4,013 %4,134 %3,572 %1,864 %634,031 %4,324 %4,001 %4,121 %3,568 %1,871 %644,019 %4,308 %3,991 %4,108 %3,564 %1,878 %654,008 %4,293 %3,980 %4,096 %3,560 %1,884 %663,997 %4,278 %3,970 %4,084 %3,556 %1,890 %673,987 %4,263 %3,960 %4,072 %3,552 %1,896 %683,976 %4,249 %3,950 %4,061 %3,549 %1,902 %693,967 %4,235 %3,941 %4,050 %3,545 %1,908 %703,957 %4,222 %3,932 %4,039 %3,542 %1,913 %713,948 %4,209 %3,923 %4,029 %3,538 %1,919 %723,938 %4,196 %3,914 %4,019 %3,535 %1,924 %733,930 %4,184 %3,906 %4,009 %3,532 %1,929 %743,921 %4,172 %3,897 %3,999 %3,529 %1,934 %753,913 %4,160 %3,890 %3,990 %3,526 %1,939 %763,905 %4,149 %3,882 %3,981 %3,523 %1,944 %773,897 %4,138 %3,874 %3,972 %3,520 %1,948 %783,889 %4,127 %3,867 %3,963 %3,517 %1,953 %793,881 %4,117 %3,860 %3,955 %3,515 %1,957 %803,874 %4,107 %3,853 %3,947 %3,512 %1,961 %813,867 %4,097 %3,846 %3,939 %3,509 %1,965 %823,860 %4,087 %3,839 %3,931 %3,507 %1,970 %833,853 %4,077 %3,833 %3,923 %3,504 %1,973 %843,847 %4,068 %3,826 %3,916 %3,502 %1,977 %853,840 %4,059 %3,820 %3,909 %3,499 %1,981 %863,834 %4,050 %3,814 %3,902 %3,497 %1,985 %873,828 %4,041 %3,808 %3,895 %3,495 %1,988 %883,822 %4,033 %3,802 %3,888 %3,493 %1,992 %893,816 %4,025 %3,797 %3,881 %3,491 %1,995 %903,810 %4,017 %3,791 %3,875 %3,488 %1,999 %913,804 %4,009 %3,786 %3,868 %3,486 %2,002 %923,799 %4,001 %3,780 %3,862 %3,484 %2,005 %933,793 %3,993 %3,775 %3,856 %3,482 %2,008 %943,788 %3,986 %3,770 %3,850 %3,480 %2,012 %953,783 %3,979 %3,765 %3,845 %3,479 %2,015 %963,778 %3,972 %3,760 %3,839 %3,477 %2,018 %973,773 %3,965 %3,756 %3,833 %3,475 %2,020 %

983,768 %3,958 %3,751 %3,828 %3,473 %2,023 %993,763 %3,951 %3,746 %3,822 %3,471 %2,026 %1003,759 %3,945 %3,742 %3,817 %3,470 %2,029 %1013,754 %3,938 %3,738 %3,812 %3,468 %2,031 %1023,750 %3,932 %3,733 %3,807 %3,466 %2,034 %1033,745 %3,926 %3,729 %3,802 %3,465 %2,037 %1043,741 %3,920 %3,725 %3,797 %3,463 %2,039 %1053,737 %3,914 %3,721 %3,793 %3,462 %2,042 %1063,733 %3,908 %3,717 %3,788 %3,460 %2,044 %1073,729 %3,902 %3,713 %3,783 %3,459 %2,047 %1083,725 %3,897 %3,709 %3,779 %3,457 %2,049 %1093,721 %3,891 %3,705 %3,774 %3,456 %2,051 %1103,717 %3,886 %3,702 %3,770 %3,454 %2,053 %1113,713 %3,881 %3,698 %3,766 %3,453 %2,056 %1123,709 %3,876 %3,695 %3,762 %3,451 %2,058 %1133,706 %3,870 %3,691 %3,758 %3,450 %2,060 %1143,702 %3,865 %3,688 %3,754 %3,449 %2,062 %1153,699 %3,860 %3,684 %3,750 %3,448 %2,064 %1163,695 %3,856 %3,681 %3,746 %3,446 %2,066 %1173,692 %3,851 %3,678 %3,742 %3,445 %2,068 %1183,688 %3,846 %3,674 %3,738 %3,444 %2,070 %1193,685 %3,842 %3,671 %3,734 %3,443 %2,072 %1203,682 %3,837 %3,668 %3,731 %3,441 %2,074 %1213,679 %3,833 %3,665 %3,727 %3,440 %2,076 %1223,676 %3,828 %3,662 %3,724 %3,439 %2,078 %1233,673 %3,824 %3,659 %3,720 %3,438 %2,079 %1243,670 %3,820 %3,656 %3,717 %3,437 %2,081 %1253,667 %3,816 %3,653 %3,714 %3,436 %2,083 %1263,664 %3,811 %3,651 %3,710 %3,435 %2,085 %1273,661 %3,807 %3,648 %3,707 %3,434 %2,086 %1283,658 %3,803 %3,645 %3,704 %3,433 %2,088 %1293,655 %3,799 %3,642 %3,701 %3,431 %2,090 %1303,653 %3,796 %3,640 %3,698 %3,430 %2,091 %1313,650 %3,792 %3,637 %3,695 %3,429 %2,093 %1323,647 %3,788 %3,635 %3,692 %3,429 %2,094 %1333,645 %3,784 %3,632 %3,689 %3,428 %2,096 % 1343,642 %3,781 %3,630 %3,686 %3,427 %2,098 %1353,639 %3,777 %3,627 %3,683 %3,426 %2,099 %1363,637 %3,774 %3,625 %3,680 %3,425 %2,100 %1373,634 %3,770 %3,622 %3,677 %3,424 %2,102 %1383,632 %3,767 %3,620 %3,675 %3,423 %2,103 %1393,630 %3,763 %3,618 %3,672 %3,422 %2,105 %1403,627 %3,760 %3,616 %3,669 %3,421 %2,106 %1413,625 %3,757 %3,613 %3,667 %3,420 %2,108 %1423,623 %3,754 %3,611 %3,664 %3,419 %2,109 %1433,620 %3,750 %3,609 %3,661 %3,419 %2,110 %1443,618 %3,747 %3,607 %3,659 %3,418 %2,112 %1453,616 %3,744 %3,605 %3,656 %3,417 %2,113 %1463,614 %3,741 %3,603 %3,654 %3,416 %2,114 %1473,612 %3,738 %3,600 %3,652 %3,415 %2,115 %1483,610 %3,735 %3,598 %3,649 %3,415 %2,117 %1493,607 %3,732 %3,596 %3,647 %3,414 %2,118 %1503,605 %3,729 %3,594 %3,645 %3,413 %2,119 %Term to maturity (in years)Australian dollarCanadian dollarColombian pesoHong Kong dollarNew Taiwan dollarRenminbi-yuan14,079 %2,358 %10,149 %2,381 %0,866 %1,155 %24,188 %2,501 %11,441 %2,309 %0,904 %1,165 %34,257 %2,627 %12,290 %2,335 %0,940 %1,196 %44,318 %2,730 %12,695 %2,395 %0,968 %1,237 %54,385 %2,823 %12,869 %2,468 %0,993 %1,268 %64,453 %2,917 %12,917 %2,548 %1,016 %1,285 %74,527 %3,007 %12,898 %2,628 %1,036 %1,301 %84,597 %3,091 %12,847 %2,705 %1,055 %1,326 %94,661 %3,166 %12,798 %2,777 %1,072 %1,364 %104,718 %3,232 %12,726 %2,842 %1,086 %1,415 %114,772 %3,289 %12,618 %2,900 %1,115 %1,481 %124,821 %3,338 %12,479 %2,952 %1,157 %1,555 %134,863 %3,381 %12,318 %2,998 %1,206 %1,633 %144,900 %3,419 %12,140 %3,038 %1,260 %1,713 %154,931 %3,453 %11,951 %3,073 %1,317 %1,793 %

164,957 %3,482 %11,755 %3,102 %1,374 %1,871 %174,978 %3,509 %11,553 %3,127 %1,431 %1,948 %184,994 %3,532 %11,350 %3,148 %1,487 %2,021 %195,005 %3,553 %11,146 %3,166 %1,542 %2,093 %205,011 %3,571 %10,945 %3,182 %1,595 %2,161 %215,012 %3,587 %10,746 %3,196 %1,647 %2,226 %225,008 %3,601 %10,551 %3,208 %1,697 %2,289 %235,001 %3,613 %10,361 %3,218 %1,744 %2,349 %244,991 %3,624 %10,177 %3,228 %1,790 %2,406 %254,978 %3,633 %9,998 %3,236 %1,834 %2,460 %264,962 %3,640 %9,826 %3,243 %1,877 %2,512 %274,945 %3,646 %9,659 %3,249 %1,917 %2,562 %284,926 %3,651 %9,500 %3,255 %1,956 %2,609 %294,905 %3,654 %9,346 %3,259 %1,993 %2,654 %304,882 %3,656 %9,199 %3,264 %2,028 %2,697 %314,858 %3,656 %9,058 %3,268 %2,062 %2,738 %324,833 %3,656 %8,923 %3,271 %2,095 %2,777 %334,807 %3,655 %8,794 %3,274 %2,126 %2,814 %344,780 %3,653 %8,670 %3,277 %2,156 %2,850 %354,754 %3,650 %8,552 %3,280 %2,184 %2,884 %364,727 %3,647 %8,439 %3,282 %2,212 %2,917 %374,700 %3,644 %8,331 %3,284 %2,238 %2,948 %384,673 %3,640 %8,227 %3,285 %2,263 %2,978 %394,647 %3,636 %8,128 %3,287 %2,287 %3,007 %404,621 %3,632 %8,033 %3,289 %2,310 %3,034 %414,596 %3,628 %7,942 %3,290 %2,332 %3,061 %424,571 %3,623 %7,855 %3,291 %2,354 %3,086 %434,546 %3,619 %7,772 %3,292 %2,374 %3,110 %444,523 %3,614 %7,692 %3,293 %2,394 %3,134 %454,499 %3,609 %7,616 %3,294 %2,413 %3,156 %464,477 %3,605 %7,542 %3,295 %2,431 %3,178 %474,455 %3,600 %7,471 %3,295 %2,448 %3,198 %484,433 %3,596 %7,404 %3,296 %2,465 %3,218 %494,412 %3,591 %7,338 %3,296 %2,482 %3,238 %504,392 %3,587 %7,276 %3,297 %2,497 %3,256 %514,372 %3,582 %7,215 %3,297 %2,512 %3,274 % 524,353 %3,578 %7,157 %3,298 %2,527 %3,291 %534,335 %3,574 %7,101 %3,298 %2,541 %3,308 %544,317 %3,569 %7,047 %3,299 %2,555 %3,324 %554,299 %3,565 %6,995 %3,299 %2,568 %3,339 %564,282 %3,561 %6,945 %3,299 %2,581 %3,354 %574,266 %3,557 %6,897 %3,299 %2,593 %3,369 %584,250 %3,553 %6,850 %3,300 %2,605 %3,383 %594,234 %3,550 %6,805 %3,300 %2,617 %3,397 %604,219 %3,546 %6,761 %3,300 %2,628 %3,410 %614,205 %3,542 %6,719 %3,300 %2,639 %3,423 %624,190 %3,539 %6,678 %3,300 %2,649 %3,435 %634,177 %3,535 %6,638 %3,300 %2,659 %3,447 %644,163 %3,532 %6,599 %3,301 %2,669 %3,458 %654,150 %3,529 %6,562 %3,301 %2,679 %3,470 %664,137 %3,525 %6,526 %3,301 %2,688 %3,481 %674,125 %3,522 %6,491 %3,301 %2,697 %3,491 %684,113 %3,519 %6,457 %3,301 %2,706 %3,502 %694,101 %3,516 %6,424 %3,301 %2,714 %3,512 %704,090 %3,513 %6,392 %3,301 %2,723 %3,521 %714,079 %3,510 %6,361 %3,301 %2,731 %3,531 %724,068 %3,508 %6,331 %3,301 %2,738 %3,540 %734,058 %3,505 %6,301 %3,301 %2,746 %3,549 %744,048 %3,502 %6,272 %3,301 %2,754 %3,558 %754,038 %3,500 %6,245 %3,301 %2,761 %3,566 %764,028 %3,497 %6,217 %3,301 %2,768 %3,575 %774,019 %3,495 %6,191 %3,301 %2,775 %3,583 %784,010 %3,492 %6,165 %3,301 %2,781 %3,591 %794,001 %3,490 %6,140 %3,301 %2,788 %3,598 %803,992 %3,487 %6,116 %3,301 %2,794 %3,606 %813,983 %3,485 %6,092 %3,301 %2,800 %3,613 %823,975 %3,483 %6,069 %3,301 %2,807 %3,620 %833,967 %3,481 %6,046 %3,301 %2,812 %3,627 %843,959 %3,479 %6,024 %3,301 %2,818 %3,634 %853,951 %3,477 %6,002 %3,301 %2,824 %3,640 %863,944 %3,475 %5,981 %3,301 %2,829 %3,647 %873,936 %3,473 %5,960 %3,301 %2,835 %3,653 %

883,929 %3,471 %5,940 %3,301 %2,840 %3,659 %893,922 %3,469 %5,920 %3,301 %2,845 %3,666 %903,915 %3,467 %5,901 %3,301 %2,850 %3,671 %913,908 %3,465 %5,882 %3,301 %2,855 %3,677 %923,902 %3,463 %5,864 %3,301 %2,860 %3,683 %933,895 %3,462 %5,846 %3,301 %2,865 %3,688 %943,889 %3,460 %5,828 %3,301 %2,869 %3,694 %953,883 %3,458 %5,811 %3,301 %2,874 %3,699 %963,876 %3,456 %5,794 %3,301 %2,878 %3,704 %973,870 %3,455 %5,777 %3,301 %2,883 %3,709 %983,865 %3,453 %5,761 %3,301 %2,887 %3,714 %993,859 %3,452 %5,745 %3,301 %2,891 %3,719 %1003,853 %3,450 %5,730 %3,301 %2,895 %3,724 %1013,848 %3,449 %5,715 %3,301 %2,899 %3,729 %1023,842 %3,447 %5,700 %3,301 %2,903 %3,733 %1033,837 %3,446 %5,685 %3,301 %2,907 %3,738 %1043,832 %3,444 %5,671 %3,301 %2,911 %3,742 %1053,827 %3,443 %5,656 %3,301 %2,914 %3,747 %1063,822 %3,442 %5,643 %3,301 %2,918 %3,751 %1073,817 %3,440 %5,629 %3,301 %2,922 %3,755 %1083,812 %3,439 %5,616 %3,301 %2,925 %3,759 %1093,808 %3,438 %5,603 %3,301 %2,928 %3,763 %1103,803 %3,437 %5,590 %3,301 %2,932 %3,767 %1113,798 %3,435 %5,577 %3,301 %2,935 %3,771 %1123,794 %3,434 %5,565 %3,301 %2,938 %3,775 %1133,790 %3,433 %5,553 %3,301 %2,942 %3,779 %1143,785 %3,432 %5,541 %3,301 %2,945 %3,782 %1153,781 %3,431 %5,529 %3,301 %2,948 %3,786 %1163,777 %3,430 %5,517 %3,301 %2,951 %3,790 %1173,773 %3,428 %5,506 %3,301 %2,954 %3,793 %1183,769 %3,427 %5,495 %3,301 %2,957 %3,797 %1193,765 %3,426 %5,484 %3,301 %2,960 %3,800 %1203,761 %3,425 %5,473 %3,301 %2,962 %3,803 %1213,757 %3,424 %5,463 %3,301 %2,965 %3,807 %1223,753 %3,423 %5,452 %3,301 %2,968 %3,810 %1233,750 %3,422 %5,442 %3,301 %2,971 %3,813 % 1243,746 %3,421 %5,432 %3,301 %2,973 %3,816 %1253,742 %3,420 %5,422 %3,301 %2,976 %3,819 %1263,739 %3,419 %5,412 %3,301 %2,979 %3,822 %1273,735 %3,418 %5,403 %3,301 %2,981 %3,825 %1283,732 %3,417 %5,393 %3,301 %2,984 %3,828 %1293,729 %3,417 %5,384 %3,301 %2,986 %3,831 %1303,725 %3,416 %5,375 %3,301 %2,988 %3,834 %1313,722 %3,415 %5,366 %3,301 %2,991 %3,837 %1323,719 %3,414 %5,357 %3,301 %2,993 %3,839 %1333,716 %3,413 %5,348 %3,301 %2,995 %3,842 %1343,713 %3,412 %5,340 %3,301 %2,998 %3,845 %1353,710 %3,411 %5,331 %3,301 %3,000 %3,847 %1363,707 %3,411 %5,323 %3,301 %3,002 %3,850 %1373,704 %3,410 %5,314 %3,301 %3,004 %3,852 %1383,701 %3,409 %5,306 %3,301 %3,006 %3,855 %1393,698 %3,408 %5,298 %3,301 %3,009 %3,857 %1403,695 %3,407 %5,290 %3,301 %3,011 %3,860 %1413,692 %3,407 %5,283 %3,301 %3,013 %3,862 %1423,689 %3,406 %5,275 %3,301 %3,015 %3,865 %1433,687 %3,405 %5,267 %3,301 %3,017 %3,867 %1443,684 %3,404 %5,260 %3,301 %3,019 %3,869 %1453,681 %3,404 %5,253 %3,301 %3,021 %3,872 %1463,679 %3,403 %5,245 %3,301 %3,022 %3,874 %1473,676 %3,402 %5,238 %3,301 %3,024 %3,876 %1483,674 %3,402 %5,231 %3,301 %3,026 %3,878 %1493,671 %3,401 %5,224 %3,301 %3,028 %3,880 %1503,669 %3,400 %5,217 %3,301 %3,030 %3,883 %Term to maturity (in years)US dollarYen13,431 %0,905 %23,310 %1,153 %33,338 %1,323 %43,397 %1,428 %53,466 %1,513 %63,543 %1,585 % 73,619 %1,667 %83,694 %1,742 %93,766 %1,819 %103,838 %1,898 %113,908 %1,981 %123,975 %2,065 %134,036 %2,148 %144,092 %2,230 %154,140 %2,311 %164,182 %2,391 %174,216 %2,468 %184,244 %2,542 %194,266 %2,611 %204,283 %2,675 %214,294 %2,732 %224,300 %2,785 %234,302 %2,832 %244,300 %2,875 %254,294 %2,913 %264,285 %2,948 %274,274 %2,980 %284,261 %3,008 %294,246 %3,033 %304,231 %3,055 %314,215 %3,074 %324,200 %3,091 %334,183 %3,105 %344,167 %3,118 %354,151 %3,129 %364,135 %3,139 %374,120 %3,148 %384,104 %3,155 %394,089 %3,162 %404,074 %3,168 %414,059 %3,173 %424,045 %3,177 %434,031 %3,181 %

444,017 %3,185 %454,004 %3,188 %463,991 %3,190 %473,978 %3,193 %483,966 %3,195 %493,954 %3,196 %503,943 %3,198 %513,931 %3,199 %523,920 %3,200 %533,910 %3,202 %543,899 %3,202 %553,889 %3,203 %563,879 %3,204 %573,870 %3,205 %583,860 %3,205 %593,852 %3,205 %603,843 %3,206 %613,834 %3,206 %623,826 %3,206 %633,818 %3,207 %643,810 %3,207 %653,803 %3,207 %663,795 %3,207 %673,788 %3,207 %683,781 %3,207 %693,774 %3,207 %703,768 %3,208 %713,761 %3,208 %723,755 %3,208 %733,749 %3,208 %743,743 %3,208 %753,737 %3,208 %763,731 %3,208 %773,726 %3,208 %783,720 %3,207 %793,715 %3,207 %803,710 %3,207 % 813,705 %3,207 %823,700 %3,207 %833,695 %3,207 %843,690 %3,207 %853,686 %3,207 %863,681 %3,207 %873,677 %3,207 %883,673 %3,207 %893,669 %3,207 %903,664 %3,207 %913,660 %3,207 %923,657 %3,207 %933,653 %3,207 %943,649 %3,207 %953,645 %3,207 %963,642 %3,206 %973,638 %3,206 %983,635 %3,206 %993,631 %3,206 %1003,628 %3,206 %1013,625 %3,206 %1023,622 %3,206 %1033,619 %3,206 %1043,615 %3,206 %1053,612 %3,206 %1063,610 %3,206 %1073,607 %3,206 %1083,604 %3,206 %1093,601 %3,206 %1103,598 %3,206 %1113,596 %3,206 %1123,593 %3,206 %1133,590 %3,206 %1143,588 %3,206 %1153,585 %3,205 %1163,583 %3,205 %1173,580 %3,205 %1183,578 %3,205 % 1193,576 %3,205 %1203,573 %3,205 %1213,571 %3,205 %1223,569 %3,205 %1233,567 %3,205 %1243,565 %3,205 %1253,562 %3,205 %1263,560 %3,205 %1273,558 %3,205 %1283,556 %3,205 %1293,554 %3,205 %1303,552 %3,205 %1313,550 %3,205 %1323,548 %3,205 %1333,547 %3,205 %1343,545 %3,205 %1353,543 %3,205 %1363,541 %3,205 %1373,539 %3,205 %1383,538 %3,205 %1393,536 %3,205 %1403,534 %3,205 %1413,533 %3,204 %1423,531 %3,204 %1433,529 %3,204 %1443,528 %3,204 %1453,526 %3,204 %1463,525 %3,204 %1473,523 %3,204 %1483,522 %3,204 %1493,520 %3,204 %1503,519 %3,204 %

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)AustriaBelgiumBulgariaCroatiaCzechiaCyprusDenmark10025501802003350320300385037040141623805024563420603486544071451684608265361046093755611450103856712450Duration (in years)EstoniaFinlandFranceGermanyGreeceHungaryIreland100003114112000019641630000175418410001554195200014342163000142422740001404238602014432497130146125108140148425 Duration (in years)ItalyLatviaLithuaniaLuxembourgMaltaNetherlandsPoland15230110421379016043171012019044211214020045231416021046251518023047271620024048291821025049311922126041032202322604Duration (in years)PortugalRomaniaSlovakiaSloveniaSpainSwedenUnited Kingdom1188913300231141215900336161419120043717152314005411817271600643191830180074520203220008452122332100943222234220010432023352300Duration (in years)IcelandLiechtensteinNorwaySwitzerlandAustraliaCanadaChina150000002500000135000002450000035500000365000004750000048500000795000005105000005

Duration (in years)ColombiaHong KongJapanTaiwanUnited States11200402170040325004043100405330040635004073700408350040933004010350140 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 61619401022154781185261940102215478964372142982114757934924451012114746605102649104210474557611285310921047447671330551112104744748133155110210474474913325511021047447410133355110210474474111434561102104744741214355611021047447413153556110210474474141535561102104744741515355611021047447416163556110210474474171735561102104744741818355611021047447419193556110210474474201935561102104744742121355611021047447422223556110210474474 2323355611021047447424243556110210474474252435561102104744742625355611021047447427263556110210474474282735561102104744742928355611021047447430283556110210474474 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 6120335411622949212092213455117229493984322365611322648980942338591152244886745233963117224487568624416512122348648672442671232224864868244266121221485485923426612022148448410234365120220484484112343651192204834831223436511921948348313234364118219482482142343641182184824821522436311721848148116224263117217481481172242631172174814811822426311721748148119224363117218481481202243631172184814812123436311821848248222234364118218482482232343641182184824822424436411821848248225254364118218482482 2626436311821848248227264363117218481481282743631172184814812928436311721848148130294363117218481481 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 61619401022144781185261940102214478964372142982114747934923451012104746605102649104210474557611285310821047447671230551112104744748123155110210474474913325511021047447410133355110210474474111434551102104744741214345611021047447413143556110210474474141535561102104744741515355611021047447416163556110210474474171735561102104744741818355611021047447419193556110210474474201935561102104744742121355611021047447422223556110210474474232335561102104744742424355611021047447425243556110210474474262535561102104744742726355611021047447428273556110210474474 2928355611021047447430283556110210474474 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 617891112174287550125827588109171284547102437993113169283546842478931141702805437015789411717227854259167894119175277540540777951201762755395398769511917427453853897695118173273537537107493116170271534534117292114168269532532127192113167268531531137192112166267530530147192112166267530530157192112166267530530167091111166266530530177091111165266529529187090111165265529529196990110164265528528206989110164264528528216889109163264527527226788108162263526526236687107161262525525246586106160261524524256485105159260523523266384104158259522522276283103157258521521286182102156257520520296081101155256519519305980100154255518518

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 6192243106218481118321124451072204839633132748104217481792415305110721748066051733561112174805576183559115217480480719376111721748048081937611162164804809193761116216480480101938611152164794791119396111521647947912204061115216479479132041611152164794791420416111621647947915214162116216480480162141621162164804801721426211621748048018214262116217480480192242631172174814812022436311721848148121234363118218482482222343641182184824822323446411821948248224244464118219482482252444641182194824822625446411821948248227264364118218482482282743641182184824822928436411821848248230284363118218482482 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 61518391012144771184251839101214477964 362041972104747934823441002104736605925491032104735576102752108210473475712295411021047347381230541092104734739123154109210473473101232551092104734731113335510921047347312133455109209473473131434551092094734731414345510920947347315153455109209473473161634551092094734731717345510920947347318183455109209473473191934551092094734732019345510920947347321213455109209473473222234551092104734732323355510921047347324243555109210473473252435551092104734732625355510921047347327263555109210473473282735551092104734732928355510921047347330283555109210473473 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 6172450131234497121227245013123449798538265012123049380941029531142294926735123155106227491568 6143458102226490490716366097225489489818385991224488488920446287223487487102044608522348648611194360862224854851219436088221485485131943618822148448414194461882204834831519446188219483483161944618821848248217194461882184814811819446188217481481192044618821748148120214461882174814812122446188217481481222244618821748148123234461882174804802424446188216480480252544618821547947926264461882154784782726446188214478478282744618821447747729284461882134774773029446188213476476 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 6181941151782905531259281941151772905531026382961161732865498444829711817428454770358298121176282545593682981231792815445447819912318027954254287998122177277541541 97897120175275539539107797119174274538538117696118172273536536127596117171272535535137495116170270534534147394114168269532532157293113167268531531167192112166267530530177091111165266529529186990110164265528528196889109163264527527206788108162263526526216687107161262525525226586106160261524524236485105159260523523246384104158259522522256282103157257521521266181102156256520520276080101155255519519285879991542545185182957789815225351651630567797151252515515

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 6154678815126352612082546788151263526986356709014726052381345772931492595226785577396151257521573657749915425652052075775100156255519519856759915425451851895574981522535165161055749715125251551511557597151251515515 12547596150251514514135475951492505135131454749514924951351315537494148249512512165273931472485115111752729314724751151118517292146247510510195172921462475105102051719214624651051021507191145246509509225070911452455095092349709014424550850824496990144244508508254869891432445075072647688814224350650627466787142242505505284666871412415055052945668614024150450430446585139240503503 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 61911041251873005631276290103125187299563103639010412518129455884949010512618229255570659010613018429155459469110713218829055355379110913419028955355389110913318928955255299111013318828955255210911111331882885525521191111133187288551551129111113218628755055013901101311852865495491489110130184285548548 15881081291832835475471687107128182282546546178610612718128154554518851051261802805445441984104125179279543543208310312417827854254221811021221762775405402280101121175276539539237999120174274538538247798118172273536536257696117171271535535267495115169270533533277393114168268532532287192112166267530530297091111165265529529306889109164264528528 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 613143651272395031221231446512824050399333246661232364998154334769125234498678533497312723349757163450751312334964967345276133232495495833527613123149549593352751302304944941033527512923049349311335374129229493493123253741282294924921332537312722849149114325273127227491491153152721262274904901631517212622649049017315171126226490490 18305171125226489489193051711252264894892030517112522648948921305171126226490490223051711252264894892330517112522648948924305171125226489489253050711252254894892629507012522548848827295070124225488488282949701242244884882929496912422448848830294969123224487487 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 61032082195458114721521831964599333252380193456767446268219245563954831861924565396610359019245646077123793192456456881337921924564569814379219245645610101537921924564561111173893193456456121216379119245545513131738921934564561414183892193456456151517379119245545516161636901914544541716163691191454454181716379119145545519181737911924554552019183792192456456 2120183892192456456222119389219345645623221938921924564562423203892192456456252421389219245645626252237921924564562725233791192455455282623379119245545529272438911924554553028243891192455455

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 614255761382515141222242557613925151499534457781342485118184445980137246510681545618513924550957464663871432455085087466489145244508508846648814424450750794564881422435065061045658714224250650611456587141242505505124565861412415055051345658614024150450414456585140240504504154465851392405035031643648413923950350317436484138239502502184363841382385025021942638313723850150120426383137238501501214263831372385015012241628213723750150123416182136237500500 24406181135236499499254060801352354994992639598013423449849827385979133234497497283758781322334964962936577713223249649630365677131231495495 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 611931531152274911190219325311622849196932135561122254897974233859115225488664524406311822448856062542671222244884887264469125224488488826456912422448848892746691242244884881027476912422448848811284870124224488488122849701242244884881329497012422448848814294970124224488488152949701242244884881629497012422448848817294970124224488488182949701242244884881929497012422448848820294970124224488488212949701242244884882228496912322448748723284969123224487487242748681232234874872527486812222348648626274767122222486486 27264767121222485485282746671212214854852928466612022148448430284666120221484484 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 61859811918129455713352911041251883005631102395109130186299562914498112134190299563764510111714119530256564661041211452013035665667106124148205304567567810712615020530556956991091281512063065705701011012915220630757057011110130152206306570570121101301512053065695691310912915020430556856814108128149203303567567151061271472013025655651610512514620030056456417103124144199299562562181021231431972985615611910112114119629656056020991201401942955585582197118138193293557557229611613719129155555523941151351892905535532492113133187288551551259011113118528654954926881091291842845485482787107128182282546546 288510612618028154454429831041241782795425423082102122177277541541 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 61132647109222485119121528491122244879673193353109223486794421365711322348666152439631172244875576254267122224488488726446912522448848882645691242244884889274669124224488488102747691242244884881127476912322448748712284869123224487487132748691232234874871427486812222348648615274767122222486486162647671212224854851726466712122148548518264667121221485485192646671212214854852026466712122148548521264767121222485485222647671212224854852326466712122248548524264667121221485485252646671212214854852625466612022148448427264666120221484484

282746661202214844842928456612022048448430284565120220484484 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 61093093205468116321931932054699463212328920246577744143591201464647541639942004635456617429719946346577194399199462462881943981984624629919429719746146110101942961974604601111204296197460460121221429619746046013132242961974604601414224297197461461151523439719846146116162343971984614611717234498199462462181724449919946346319182545992004634632019264610020146446421202747101202465465222127481022024664662323284810220346646624232849103203467467252429491032044674672625294910420446746727262950104204468468282630501042054684682927305010420546846830283050104205468468 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 61274061124236499116922841621252375009503304465121234498780432476812423349764953349721272334975476345075131233496496734527713323249649683352761312314954959335275130231494494103352751292304934931133537512923049349312335374129229493493133353741282294924921433537412822949249215335374128228492492163353741282294924921733547412822949249218335474128229492492193354741292294934932034547512922949349321345475129230493493223454751292294934932334547512922949349324345475129229493493253354741292294924922633547412822949249227335474128229492492283353741282284924922932537312722849149130325373127228491491 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 617244695227490121027244695227490982 39284992225488807412335391225488672516385894225489566618416292226489489719446288226489489818436288226490490919456491226490490102148669422648948911235068962264894891224526997226489489132654699822648948914265570982264894891526557098226489489162655709822648948917265570982264894891826557098226489489192655709822648948920265570982264904902126557098226490490222655709822649049023265570982264894892426557098226489489252655709822548948926265570982254894892726557098225488488282755709822448848829285570982244874873029557098224487487 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 6104117418644911642151173185449949325126818144578144614701804436505471873179443548 667217717944246877823791794424428892378178442442910102378179442442101011247817944244211111124781794424421212122478179442442131313247917944344314141325791794434431515142579180443443161615258018044444417171626801814444441818172681181445445191817288118244544520191829821824464462121183082183446446222219318318344744723232032831834474472424213283183447447252422338318344744726252234831834474472726233683183447447282724378318344744729272438831834474473028253983183447447

1. 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 61113204015029431172113204015033623433114224414635217804115254814435413815317285114434610966420305414433389076223256144318736 8623345814430261896243560144285526107253762144268453117253763144252393128263863144237344138263863144234303148263863144234268158263963144234238168264263144234234178264463144234234188264663144234234198264963144234234208265263144234234218265363144234234229265663144234234239265863144234234249266163144234234251026636314423423426102666651442342342710266867144234234281126716914423423429112673711442342343012277572144234234 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 6115273453164300318521628355416534323943162837591613591819415293962158360141051630416415735311206173243661563409087173444671563247518173445691553086319173446711552905371017354772154273462 11173547721532574011216354772153243350131634467115224330814153446711522422731515334571152242243161533457015124124117153345701512412411815334770151241241191533497015124224220153352711522422422115345471152242242221534577115224224223163460711522422422416346271152242242251534647115224224226153466711522422422715336871152242242281533717115224224229153374721512422423015337774151242242 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 611132039150294311721132039150336234231142244146352178041152548144353138152172850144346109664193053144333890762232551443187368623335814430261896243560144285526107253762144268453117253763144252393127263863144236344137263863144234303 147263863144234268157263963144234238167264263144234234177264463144234234187264663144234234197264963144234234208265263144234234218265363144234234229265663144234234239265863144234234249266163144234234251026636314423423426102666651442342342710266867144234234281126716914423423429112673711442342343012277572144234234 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 61738592112222314332127083891092203562498373859311621737318984718594118214375147257085961182123671168670869712021035394877087971202093377848708798122208320658970879812320730256010678597122204295482116684961212022934181265839512020129236613648294120201291322146482941192002912911564829411920029129116638293119200290290 1763819311920029029018638193118199289289196280921181982892892062809211719828828821617991116197288288226078901161962872872359778911519628628624587688114195285285255775871131942842842656748611219328328327557385111192282282285472841101902812812953718310918928028030527082108188279279 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 61517234315429431122618254515533623403720285015235217784822315515135313805924355715134610966112637601513338897122839621503187368122940641503026189123041661502855261012304268149268453111331436814925239312133143691492403441313314369150240302141332436915024026815133244691502402401613324469150240240171432446915024124118143246701512412411914334970151241241 20153352711512422422115345371152242242221634567115224224223163458711522432432416346171152243243251634637115224324326163466711522432432716346871152242242281634717115224224229153473711522422423015347572152242242 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 610121939149294311520121939149336234131132144145352177941142447143353138052162750143346109563193053143333889752131551433187358522335714330261896233459143285526106243661143268452116253762143252393127253762143236343137253762143233302147253762143233268157253962143233238167254262143233233177254462143233233187254662143233233197254962143233233208255262143233233218255362143233233229255662143234234 239255862143234234249256162143234234251025636314323423426102566651432342342710256867143234234281125716914323423429112673711432342343012277572143234234 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 61010214416930131922010214416934323963111234816535918194113265416236014105116295716135211196219335916033990874223760159324751872538601583076319931435915729053710123443591562734621111344359155257401121033435915524535113932446015424530914932446015424427315932456015324324316932456015224224217932456015124224218932486015124124119932496015124124120932526015124124121103254601512412412210325760151241241231032606015024124124103362621502402402510336564149239239 26103367661492392392711337068148238238281133727014723823829113374721472372373012337774146237237 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 617789951152263183324276889511522535725023768897119221374190247588981222173761475574891001222163681171674901011242143549497749110112421333878587390100125211320658972891001252093025601071891011262082984811170881001262072974171269879912420529636513678698123204294320146684961222022932931565839512020129229216648294119200291291176381931181992902901862809211719828928919617991117197288288206078901161972872872159778911519628628622587688114195285285235775871131932842842456748611119228328325557385110191281281265472841091902802802752718310818927927928517081107188278278 2950688010618727727730496779105186276276 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 615062688819930031812506268881993442399350627193194361182745063739619236314205506475981913561129650657699190343917750677710018932875985067771011883126389496778103187294543104966781041862774671148667810418527540612486678103184275355134765771031832743121446657710218327327615466476101182273273164563751011822722721745637510018127127118446274100181271271194462749918027127120446274991802702702143617399180270270224361739817926926923426072981792692692441607297178268268254159719617726826826405870961762672672739587095176266266283857729417526526529385674931742652653037557793173264264

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 61869910512523532733722869810412423536025293849710512722937619174839610613022537714835839710813122436811756839911013322335495178410111113422333778588410111213622232065998510211313922231356010851031151402223124811185103115140221312417128410211414022031136413831011131392193103201482100112137218309309158199111136217307307168098110135216306306177997109134215305305187896108133214304304197695107132213303303207594106131212302302217492104130211301301227391103128209300300237190102127208298298247088100126206297297256987991242052952952667859712320329429427668496121202292292286482941202012912912963819311819928928930618091117198288288 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 612638446417530332172273945651763462416 326394769171362183342539497216836214205264051741673541126626425376166341913727445477166325754827445479165308633927445580164291539102644568216327446311264456821632574021226445681162253351132543558116225230914254355801612512731524425480161251251162442547916025025017234254791602502501823415379160250250192341537916025025020234153791602502502123425479160250250222341577916025025023234159791592502502423416178159250250252341637815924924926224166781592492492722406877158249249282240717715824824829214073771582482483021397777157248248 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 61003201302853012201621131326226131182612834117174131130126342133251413321263351058 62416351263238597251937126308710827214012629259793724421262765081049264412625943711492846127244380124103145126229332134113345126217292145123545126217259156133844125216230166144144125215215176154246125215215186154549125215215197174750125216216207174953126216216217195254126216216229195456126217217239205757126216216249215960127216216251022616212821621626102363631292162162710246665130216216281124686713121621629112570691322162163011267370134216216 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 613749567618630332192385056761873462422337505881182363183943751618418036414265385263861793561132639546588178343918740566689178328759839566791177311638 939576893177293542103957699417627646711395769941752664051238576894175265354133856689317426531214375667931742642761537556792173264264163655669217326326317365466921722632631836546691172262262193553659117226226220355365911712622622135536590171262262223453649017126126123345264891702612612433516389169260260253251658816925925926325067871682582582731497086167258258283048728616625725729294874851662562563029477784165255255

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 61142632521632953132215273353164338235531528365916035417904162939621583551388517314265158348110261833446815833589572036466915832074082037477215830362292038497415828752910213951761582704551121395177158253395 1221405277158248346132240527715824830414224052771582482691522405277158248248162140527715824824817214052771582482481821405277158248248192140527715824824820224052771582482482121405477158248248222139567715824824823213958761572482482420396176157247247252038637515624724726193866751562462462719376874155246246281937717415524524529183673741552452453018367573154245245 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 6180939911923033035362879910512523638327013891021101322344052070490104114137233408161159410811914223540112806971121231462373861038799116126149238369857810111812815323935071991021201311562403306111010312113315824033152411103122134159240330454121031211331582393303961310212013215723832934814100119131156237327327 159911712915523532632616981161281532343243241796115126152233323323189511312515023132232219931121231492303203202092110122147228319319219010912014622731731722891071191442253153152387105117142223314314248510311514122131231225831011131392203103102681100111137218308308278098110135216306306287896108133214305305297694106132212303303307493105130211301301 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 6182127471572953133211232949160337235031325335615735317844142837611573541383516304164157346109861833446715833389172036466915831873782037487215830261992038497415828552710213950761582684531121395177158252393122139517615724834413203951761572473031420385075156247268151938507515624624616193749741552462461719374974155245245 1818374974155245245191837497415524524520193752741552452452119375374155246246221937567415524624623193758741552462462419376174155245245251837637415524524526183666741552452452718366874154245245281836717315424524529183673731542442443017367573154244244 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 610410301412893057204103014133022953151335137345174241515391343461350517184013433810716281943133326869721021441323117188211214513229460393112447131278513104112649130261441114122849130246383124123149130230335135123450130221295145133650131221261156133850131222232166144151131222222176154351132223223186154552133223223197174853134224224207175054134225225 218195254135226226229195457136226226239205758136227227249215960137227227251022626213722822826102364641382282282710246765138228228281125696713822922929112672691382292293011267471139229229

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 61233541611722903071224364262173331230532437456716934717494243848711673481356525405173167340107662642537616632787372744547716631272182744547916529660692744558116427951510274556821642634431126455782163254385122644568216325333713264456821622532971426445681162253263152644568116225225216264456811622522521726445681162253253182644568216325325319264556821632532532027455782163253253212745578216325325322274557821632532532327455782163253253 2426456082163253253252645628216325325326264465821622532532726446781162253253282544698116225225229254372811622522523025437480161252252 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 6101425491633003186201425491633422390311728541603581814422031591583591406542336651593511116662739671593399057931427016032374981135467316030662991338507616028953510154052771602724601116415378160256400121643547916025035013174455801602503081418455680159250272151845568015925025016184556801592502501718455680159250250181845568015925025019184556801592502502018455680160250250211845568016025025022184557801602502502318456080160250250241845628015925025025184564801592492492618456680159249249 2718456880158249249281845718015824824829184574801582482483018457780157248248 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 6100411122289305920161312133123023118151163471750413111811334813585141421113341107862517231123288757261926112313724827212711229760894724301122815181049273211226444611492935112248387124103137113233339135113439113219298145123641113205264156133943113204235166144145114204210176154348116205205186164649118205205197174851120206206208175053122206206218195355124207207229195657126207207239215859128207207249216060129207207251022626313120720726102365651322072072710246767133207207281125706813420720729112672701362072073012277472136207207

Annex

ANNEX III Volatility adjustment to the relevant risk-free interest rate term structure CurrencyNational insurance marketVolatility adjustment (in bps)EuroAustria14EuroBelgium14EuroCroatia14EuroCyprus14EuroEstonia14EuroFinland14EuroFrance14EuroGermany14EuroGreece14EuroIreland14EuroItaly14EuroLatvia14EuroLithuania14EuroLuxembourg14EuroMalta14EuroNetherlands14EuroPortugal14EuroSlovakia14EuroSlovenia14EuroSpain14Czech korunaCzechia16Danish kroneDenmark18ForintHungary7KronaSweden–1LevBulgaria2Pound sterlingUnited Kingdom35Romanian leuRomania2ZlotyPoland6KrónaIceland36Norwegian kroneNorway30Swiss francLiechtenstein–4Swiss francSwitzerland–4Australian dollarAustralia26Canadian dollarCanada13Renminbi-yuanChina–2Hong Kong dollarHong Kong1US dollarUnited States37YenJapan11