Commission Implementing Regulation (EU) 2026/1094of 21 May 2026laying down rules for the application of Directive 2009/138/EC of the European Parliament and of the Council as regards technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 March 2026 until 29 June 2026(Text with EEA relevance)

Commission Implementing Regulation (EU) 2026/1094 of 21 May 2026 laying down rules for the application of Directive 2009/138/EC of the European Parliament and of the Council as regards technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 March 2026 until 29 June 2026 (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 10 April 2026, the European Insurance and Occupational Pensions Authority provided the Commission with the technical information related to end of March 2026 market data. That information was published on 10 April 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 set out in this Regulation. (5) To provide legal certainty, it is duly justified on imperative grounds of urgency related to the availability of the relevant risk-free interest rate term structure that measures provided for in this Regulation be adopted in accordance with Article 8, in conjunction with Article 4, of Regulation (EU) No 182/2011 of the European Parliament and of the Council Regulation (EU) No 182/2011 of the European Parliament and of the Council of 16 February 2011 laying down the rules and general principles concerning mechanisms for control by Member States of the Commission's exercise of implementing powers (OJ L 55, 28.2.2011, p. 13), ELI:http://data.europa.eu/eli/reg/2011/182/oj). , HAS ADOPTED THIS REGULATION:

Article 1

1. Insurance and reinsurance undertakings shall use the technical information referred to in paragraph 2 when calculating technical provisions and basic own funds for reporting with reference dates from 31 March 2026 until 29 June 2026.

1. For each relevant currency, the technical information used to calculate the best estimate in accordance with Article 77 of Directive 2009/138/EC, the matching adjustment in accordance with Article 77c of that Directive and the volatility adjustment in accordance with Article 77d of that Directive, shall be the following: (a) the relevant risk-free interest rate term structures set out in Annex I to this Regulation; (b) the fundamental spreads for the calculation of the matching adjustment set out in Annex II to this Regulation; (c) for each relevant national insurance market, the volatility adjustments set out in Annex III to this Regulation.

Article 2

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union. It shall apply from 31 March 2026. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 21 May 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 kroneForintKronaPound sterling12,607 %3,870 %2,597 %6,548 %2,408 %4,246 %22,698 %4,108 %2,688 %6,768 %2,589 %4,278 %32,746 %4,199 %2,736 %6,937 %2,654 %4,231 %42,759 %4,250 %2,749 %7,054 %2,701 %4,211 %52,783 %4,290 %2,773 %7,136 %2,751 %4,222 %62,817 %4,324 %2,807 %7,180 %2,805 %4,252 %72,856 %4,356 %2,846 %7,199 %2,857 %4,298 %82,898 %4,388 %2,887 %7,186 %2,906 %4,354 %92,940 %4,421 %2,930 %7,156 %2,949 %4,416 %102,981 %4,457 %2,971 %7,120 %2,985 %4,480 %113,021 %4,495 %3,011 %7,080 %3,016 %4,540 %123,060 %4,532 %3,050 %7,041 %3,041 %4,599 %133,093 %4,564 %3,083 %7,009 %3,062 %4,654 %143,126 %4,589 %3,115 %6,979 %3,080 %4,704 %153,143 %4,604 %3,133 %6,955 %3,096 %4,749 %163,151 %4,609 %3,141 %6,923 %3,109 %4,788 %173,154 %4,606 %3,144 %6,882 %3,121 %4,822 %183,154 %4,596 %3,144 %6,834 %3,132 %4,852 %193,153 %4,581 %3,143 %6,781 %3,141 %4,877 %203,152 %4,563 %3,141 %6,724 %3,150 %4,897 %213,151 %4,542 %3,141 %6,666 %3,157 %4,914 %223,150 %4,520 %3,141 %6,606 %3,164 %4,926 %233,151 %4,496 %3,141 %6,546 %3,171 %4,935 %243,151 %4,471 %3,142 %6,487 %3,176 %4,940 %253,152 %4,445 %3,143 %6,428 %3,182 %4,940 %263,153 %4,420 %3,144 %6,370 %3,186 %4,938 %273,155 %4,395 %3,146 %6,313 %3,191 %4,932 %283,156 %4,369 %3,147 %6,258 %3,195 %4,923 %293,158 %4,344 %3,149 %6,204 %3,199 %4,912 %303,160 %4,320 %3,151 %6,152 %3,202 %4,899 %313,162 %4,296 %3,153 %6,102 %3,206 %4,884 %323,164 %4,273 %3,156 %6,053 %3,209 %4,868 %333,166 %4,250 %3,158 %6,006 %3,212 %4,850 %343,168 %4,228 %3,160 %5,961 %3,214 %4,831 %353,170 %4,206 %3,162 %5,917 %3,217 %4,811 % 363,172 %4,186 %3,164 %5,875 %3,219 %4,789 %373,174 %4,166 %3,166 %5,835 %3,222 %4,766 %383,176 %4,146 %3,169 %5,796 %3,224 %4,742 %393,178 %4,127 %3,171 %5,759 %3,226 %4,717 %403,180 %4,109 %3,173 %5,723 %3,228 %4,690 %413,182 %4,092 %3,175 %5,688 %3,230 %4,662 %423,184 %4,075 %3,177 %5,655 %3,231 %4,634 %433,185 %4,058 %3,179 %5,623 %3,233 %4,605 %443,187 %4,043 %3,181 %5,593 %3,235 %4,577 %453,189 %4,027 %3,183 %5,563 %3,236 %4,548 %463,191 %4,013 %3,185 %5,535 %3,237 %4,520 %473,193 %3,998 %3,187 %5,507 %3,239 %4,492 %483,194 %3,985 %3,189 %5,481 %3,240 %4,465 %493,196 %3,971 %3,190 %5,456 %3,241 %4,439 %503,198 %3,959 %3,192 %5,431 %3,243 %4,414 %513,199 %3,946 %3,194 %5,407 %3,244 %4,390 %523,201 %3,934 %3,195 %5,385 %3,245 %4,367 %533,202 %3,923 %3,197 %5,363 %3,246 %4,345 %543,204 %3,912 %3,199 %5,341 %3,247 %4,324 %553,205 %3,901 %3,200 %5,321 %3,248 %4,304 %563,207 %3,890 %3,202 %5,301 %3,249 %4,284 %573,208 %3,880 %3,203 %5,282 %3,250 %4,266 %583,210 %3,870 %3,205 %5,264 %3,251 %4,248 %593,211 %3,861 %3,206 %5,246 %3,252 %4,231 %603,212 %3,852 %3,208 %5,228 %3,252 %4,214 %613,214 %3,843 %3,209 %5,212 %3,253 %4,198 %623,215 %3,834 %3,210 %5,195 %3,254 %4,183 %633,216 %3,826 %3,212 %5,180 %3,255 %4,168 %643,217 %3,818 %3,213 %5,164 %3,255 %4,153 %653,218 %3,810 %3,214 %5,149 %3,256 %4,139 %663,220 %3,802 %3,215 %5,135 %3,257 %4,126 %673,221 %3,795 %3,216 %5,121 %3,257 %4,113 %683,222 %3,788 %3,218 %5,108 %3,258 %4,100 %693,223 %3,781 %3,219 %5,094 %3,259 %4,088 %703,224 %3,774 %3,220 %5,082 %3,259 %4,077 %713,225 %3,767 %3,221 %5,069 %3,260 %4,065 %

723,226 %3,761 %3,222 %5,057 %3,260 %4,054 %733,227 %3,754 %3,223 %5,045 %3,261 %4,043 %743,228 %3,748 %3,224 %5,034 %3,261 %4,033 %753,229 %3,742 %3,225 %5,023 %3,262 %4,023 %763,229 %3,736 %3,226 %5,012 %3,263 %4,013 %773,230 %3,731 %3,227 %5,001 %3,263 %4,003 %783,231 %3,725 %3,228 %4,991 %3,263 %3,994 %793,232 %3,720 %3,228 %4,981 %3,264 %3,985 %803,233 %3,715 %3,229 %4,971 %3,264 %3,976 %813,234 %3,709 %3,230 %4,962 %3,265 %3,967 %823,234 %3,704 %3,231 %4,952 %3,265 %3,959 %833,235 %3,700 %3,232 %4,943 %3,266 %3,951 %843,236 %3,695 %3,233 %4,934 %3,266 %3,943 %853,237 %3,690 %3,233 %4,926 %3,267 %3,935 %863,237 %3,686 %3,234 %4,917 %3,267 %3,928 %873,238 %3,681 %3,235 %4,909 %3,267 %3,920 %883,239 %3,677 %3,236 %4,901 %3,268 %3,913 %893,239 %3,673 %3,236 %4,893 %3,268 %3,906 %903,240 %3,669 %3,237 %4,885 %3,268 %3,899 %913,241 %3,664 %3,238 %4,878 %3,269 %3,892 %923,241 %3,661 %3,238 %4,870 %3,269 %3,886 %933,242 %3,657 %3,239 %4,863 %3,269 %3,879 %943,243 %3,653 %3,240 %4,856 %3,270 %3,873 %953,243 %3,649 %3,240 %4,849 %3,270 %3,867 %963,244 %3,645 %3,241 %4,842 %3,270 %3,861 %973,244 %3,642 %3,241 %4,836 %3,271 %3,855 %983,245 %3,638 %3,242 %4,829 %3,271 %3,849 %993,245 %3,635 %3,243 %4,823 %3,271 %3,844 %1003,246 %3,632 %3,243 %4,817 %3,272 %3,838 %1013,247 %3,628 %3,244 %4,811 %3,272 %3,833 %1023,247 %3,625 %3,244 %4,805 %3,272 %3,828 %1033,248 %3,622 %3,245 %4,799 %3,272 %3,822 %1043,248 %3,619 %3,245 %4,793 %3,273 %3,817 %1053,249 %3,616 %3,246 %4,787 %3,273 %3,812 %1063,249 %3,613 %3,246 %4,782 %3,273 %3,807 %1073,249 %3,610 %3,247 %4,776 %3,273 %3,803 % 1083,250 %3,607 %3,247 %4,771 %3,274 %3,798 %1093,250 %3,604 %3,248 %4,766 %3,274 %3,793 %1103,251 %3,601 %3,248 %4,760 %3,274 %3,789 %1113,251 %3,599 %3,249 %4,755 %3,274 %3,784 %1123,252 %3,596 %3,249 %4,750 %3,275 %3,780 %1133,252 %3,593 %3,250 %4,746 %3,275 %3,776 %1143,253 %3,591 %3,250 %4,741 %3,275 %3,772 %1153,253 %3,588 %3,251 %4,736 %3,275 %3,767 %1163,253 %3,586 %3,251 %4,731 %3,275 %3,763 %1173,254 %3,583 %3,251 %4,727 %3,276 %3,759 %1183,254 %3,581 %3,252 %4,722 %3,276 %3,755 %1193,255 %3,579 %3,252 %4,718 %3,276 %3,752 %1203,255 %3,576 %3,253 %4,714 %3,276 %3,748 %1213,255 %3,574 %3,253 %4,709 %3,276 %3,744 %1223,256 %3,572 %3,253 %4,705 %3,277 %3,740 %1233,256 %3,570 %3,254 %4,701 %3,277 %3,737 %1243,256 %3,567 %3,254 %4,697 %3,277 %3,733 %1253,257 %3,565 %3,254 %4,693 %3,277 %3,730 %1263,257 %3,563 %3,255 %4,689 %3,277 %3,726 %1273,257 %3,561 %3,255 %4,685 %3,278 %3,723 %1283,258 %3,559 %3,256 %4,681 %3,278 %3,720 %1293,258 %3,557 %3,256 %4,678 %3,278 %3,716 %1303,258 %3,555 %3,256 %4,674 %3,278 %3,713 %1313,259 %3,553 %3,257 %4,670 %3,278 %3,710 %1323,259 %3,551 %3,257 %4,667 %3,278 %3,707 %1333,259 %3,549 %3,257 %4,663 %3,279 %3,704 %1343,260 %3,547 %3,258 %4,660 %3,279 %3,701 %1353,260 %3,546 %3,258 %4,656 %3,279 %3,698 %1363,260 %3,544 %3,258 %4,653 %3,279 %3,695 %1373,261 %3,542 %3,258 %4,650 %3,279 %3,692 %1383,261 %3,540 %3,259 %4,646 %3,279 %3,689 %1393,261 %3,538 %3,259 %4,643 %3,280 %3,686 %1403,261 %3,537 %3,259 %4,640 %3,280 %3,684 %1413,262 %3,535 %3,260 %4,637 %3,280 %3,681 %1423,262 %3,533 %3,260 %4,634 %3,280 %3,678 %1433,262 %3,532 %3,260 %4,631 %3,280 %3,675 %

1443,262 %3,530 %3,260 %4,628 %3,280 %3,673 %1453,263 %3,529 %3,261 %4,625 %3,280 %3,670 %1463,263 %3,527 %3,261 %4,622 %3,281 %3,668 %1473,263 %3,525 %3,261 %4,619 %3,281 %3,665 %1483,263 %3,524 %3,262 %4,616 %3,281 %3,663 %1493,264 %3,522 %3,262 %4,613 %3,281 %3,660 %1503,264 %3,521 %3,262 %4,611 %3,281 %3,658 %Term to maturity (in years)Romanian leuZlotyKrónaNorwegian kroneSwiss francAustralian dollar16,279 %3,805 %7,742 %4,894 %0,078 %4,791 %26,540 %4,401 %7,654 %4,818 %0,166 %4,834 %36,724 %4,774 %7,542 %4,698 %0,219 %4,770 %46,869 %5,031 %7,425 %4,584 %0,262 %4,749 %56,970 %5,238 %7,311 %4,496 %0,307 %4,761 %67,034 %5,411 %7,201 %4,437 %0,357 %4,826 %77,072 %5,565 %7,094 %4,394 %0,407 %4,861 %87,076 %5,689 %6,987 %4,361 %0,454 %4,894 %97,062 %5,795 %6,879 %4,332 %0,501 %4,939 %107,031 %5,882 %6,770 %4,304 %0,550 %4,972 %116,980 %5,934 %6,661 %4,276 %0,601 %5,003 %126,914 %5,953 %6,553 %4,248 %0,654 %5,031 %136,837 %5,949 %6,447 %4,221 %0,706 %5,053 %146,754 %5,929 %6,344 %4,195 %0,758 %5,068 %156,667 %5,896 %6,244 %4,169 %0,808 %5,078 %166,577 %5,854 %6,147 %4,143 %0,857 %5,081 %176,487 %5,805 %6,053 %4,119 %0,904 %5,080 %186,396 %5,753 %5,963 %4,095 %0,949 %5,074 %196,307 %5,697 %5,877 %4,073 %0,992 %5,065 %206,219 %5,640 %5,794 %4,051 %1,034 %5,054 %216,134 %5,582 %5,715 %4,029 %1,073 %5,039 %226,050 %5,524 %5,639 %4,009 %1,111 %5,022 %235,969 %5,466 %5,566 %3,989 %1,147 %5,002 %245,891 %5,409 %5,496 %3,971 %1,181 %4,978 %255,816 %5,353 %5,430 %3,953 %1,214 %4,951 % 265,743 %5,298 %5,366 %3,935 %1,246 %4,921 %275,673 %5,245 %5,306 %3,918 %1,276 %4,888 %285,606 %5,193 %5,248 %3,902 %1,304 %4,854 %295,542 %5,143 %5,192 %3,887 %1,332 %4,819 %305,480 %5,095 %5,140 %3,872 %1,358 %4,785 %315,421 %5,048 %5,089 %3,858 %1,383 %4,751 %325,364 %5,003 %5,041 %3,844 %1,407 %4,718 %335,310 %4,960 %4,995 %3,831 %1,429 %4,686 %345,258 %4,918 %4,950 %3,818 %1,451 %4,655 %355,208 %4,878 %4,908 %3,806 %1,472 %4,625 %365,160 %4,839 %4,868 %3,795 %1,492 %4,596 %375,114 %4,802 %4,829 %3,783 %1,512 %4,568 %385,070 %4,766 %4,792 %3,772 %1,530 %4,540 %395,028 %4,732 %4,756 %3,762 %1,548 %4,514 %404,987 %4,699 %4,722 %3,752 %1,565 %4,488 %414,949 %4,668 %4,690 %3,742 %1,581 %4,463 %424,911 %4,637 %4,659 %3,733 %1,597 %4,439 %434,876 %4,608 %4,628 %3,724 %1,612 %4,416 %444,841 %4,580 %4,600 %3,715 %1,626 %4,394 %454,808 %4,553 %4,572 %3,707 %1,640 %4,372 %464,777 %4,526 %4,545 %3,699 %1,654 %4,351 %474,746 %4,501 %4,520 %3,691 %1,667 %4,330 %484,717 %4,477 %4,495 %3,684 %1,679 %4,311 %494,689 %4,454 %4,471 %3,676 %1,691 %4,292 %504,661 %4,431 %4,448 %3,669 %1,703 %4,273 %514,635 %4,410 %4,426 %3,662 %1,714 %4,255 %524,610 %4,389 %4,405 %3,656 %1,725 %4,238 %534,585 %4,369 %4,385 %3,650 %1,735 %4,221 %544,562 %4,349 %4,365 %3,643 %1,745 %4,205 %554,539 %4,330 %4,346 %3,637 %1,755 %4,190 %564,517 %4,312 %4,327 %3,632 %1,764 %4,174 %574,496 %4,295 %4,309 %3,626 %1,774 %4,160 %584,476 %4,278 %4,292 %3,621 %1,782 %4,145 %594,456 %4,261 %4,275 %3,615 %1,791 %4,131 %604,437 %4,245 %4,259 %3,610 %1,799 %4,118 %614,418 %4,230 %4,244 %3,605 %1,807 %4,105 %

624,400 %4,215 %4,229 %3,601 %1,815 %4,092 %634,383 %4,201 %4,214 %3,596 %1,823 %4,080 %644,366 %4,187 %4,200 %3,591 %1,830 %4,068 %654,349 %4,173 %4,186 %3,587 %1,837 %4,057 %664,333 %4,160 %4,172 %3,583 %1,844 %4,045 %674,318 %4,147 %4,159 %3,579 %1,851 %4,034 %684,303 %4,134 %4,147 %3,575 %1,857 %4,024 %694,288 %4,122 %4,135 %3,571 %1,863 %4,013 %704,274 %4,111 %4,123 %3,567 %1,870 %4,003 %714,261 %4,099 %4,111 %3,563 %1,876 %3,993 %724,247 %4,088 %4,100 %3,560 %1,881 %3,984 %734,234 %4,077 %4,089 %3,556 %1,887 %3,975 %744,222 %4,067 %4,078 %3,553 %1,893 %3,966 %754,209 %4,057 %4,068 %3,549 %1,898 %3,957 %764,197 %4,047 %4,058 %3,546 %1,903 %3,948 %774,186 %4,037 %4,048 %3,543 %1,908 %3,940 %784,174 %4,027 %4,038 %3,540 %1,913 %3,932 %794,163 %4,018 %4,029 %3,537 %1,918 %3,924 %804,152 %4,009 %4,020 %3,534 %1,923 %3,916 %814,142 %4,000 %4,011 %3,531 %1,928 %3,908 %824,131 %3,992 %4,002 %3,528 %1,932 %3,901 %834,121 %3,983 %3,994 %3,526 %1,937 %3,894 %844,112 %3,975 %3,985 %3,523 %1,941 %3,887 %854,102 %3,967 %3,977 %3,520 %1,945 %3,880 %864,093 %3,960 %3,969 %3,518 %1,949 %3,873 %874,083 %3,952 %3,962 %3,515 %1,953 %3,866 %884,075 %3,945 %3,954 %3,513 %1,957 %3,860 %894,066 %3,937 %3,947 %3,510 %1,961 %3,854 %904,057 %3,930 %3,940 %3,508 %1,965 %3,848 %914,049 %3,923 %3,932 %3,506 %1,968 %3,842 %924,041 %3,916 %3,926 %3,504 %1,972 %3,836 %934,033 %3,910 %3,919 %3,501 %1,976 %3,830 %944,025 %3,903 %3,912 %3,499 %1,979 %3,824 %954,017 %3,897 %3,906 %3,497 %1,982 %3,819 %964,010 %3,891 %3,899 %3,495 %1,986 %3,813 %974,002 %3,885 %3,893 %3,493 %1,989 %3,808 % 983,995 %3,879 %3,887 %3,491 %1,992 %3,803 %993,988 %3,873 %3,881 %3,489 %1,995 %3,798 %1003,981 %3,867 %3,875 %3,487 %1,998 %3,793 %1013,975 %3,861 %3,870 %3,485 %2,001 %3,788 %1023,968 %3,856 %3,864 %3,484 %2,004 %3,783 %1033,961 %3,850 %3,859 %3,482 %2,007 %3,778 %1043,955 %3,845 %3,853 %3,480 %2,010 %3,774 %1053,949 %3,840 %3,848 %3,478 %2,013 %3,769 %1063,943 %3,835 %3,843 %3,477 %2,015 %3,765 %1073,937 %3,830 %3,838 %3,475 %2,018 %3,761 %1083,931 %3,825 %3,833 %3,473 %2,020 %3,756 %1093,925 %3,820 %3,828 %3,472 %2,023 %3,752 %1103,919 %3,815 %3,823 %3,470 %2,026 %3,748 %1113,914 %3,811 %3,818 %3,469 %2,028 %3,744 %1123,908 %3,806 %3,814 %3,467 %2,030 %3,740 %1133,903 %3,802 %3,809 %3,466 %2,033 %3,736 %1143,897 %3,797 %3,805 %3,464 %2,035 %3,732 %1153,892 %3,793 %3,800 %3,463 %2,037 %3,728 %1163,887 %3,789 %3,796 %3,461 %2,040 %3,725 %1173,882 %3,784 %3,792 %3,460 %2,042 %3,721 %1183,877 %3,780 %3,787 %3,459 %2,044 %3,718 %1193,872 %3,776 %3,783 %3,457 %2,046 %3,714 %1203,867 %3,772 %3,779 %3,456 %2,048 %3,711 %1213,863 %3,768 %3,775 %3,455 %2,050 %3,707 %1223,858 %3,765 %3,771 %3,453 %2,053 %3,704 %1233,854 %3,761 %3,768 %3,452 %2,055 %3,701 %1243,849 %3,757 %3,764 %3,451 %2,057 %3,697 %1253,845 %3,753 %3,760 %3,450 %2,058 %3,694 %1263,840 %3,750 %3,756 %3,449 %2,060 %3,691 %1273,836 %3,746 %3,753 %3,447 %2,062 %3,688 %1283,832 %3,743 %3,749 %3,446 %2,064 %3,685 %1293,828 %3,739 %3,746 %3,445 %2,066 %3,682 %1303,824 %3,736 %3,742 %3,444 %2,068 %3,679 %1313,820 %3,733 %3,739 %3,443 %2,069 %3,676 %1323,816 %3,729 %3,736 %3,442 %2,071 %3,673 %1333,812 %3,726 %3,732 %3,441 %2,073 %3,670 %

1343,808 %3,723 %3,729 %3,440 %2,075 %3,668 %1353,804 %3,720 %3,726 %3,439 %2,076 %3,665 %1363,801 %3,717 %3,723 %3,438 %2,078 %3,662 %1373,797 %3,714 %3,720 %3,437 %2,080 %3,660 %1383,793 %3,711 %3,717 %3,436 %2,081 %3,657 %1393,790 %3,708 %3,714 %3,435 %2,083 %3,654 %1403,786 %3,705 %3,711 %3,434 %2,084 %3,652 %1413,783 %3,702 %3,708 %3,433 %2,086 %3,649 %1423,779 %3,699 %3,705 %3,432 %2,087 %3,647 %1433,776 %3,696 %3,702 %3,431 %2,089 %3,644 %1443,773 %3,693 %3,699 %3,430 %2,090 %3,642 %1453,769 %3,691 %3,697 %3,429 %2,092 %3,640 %1463,766 %3,688 %3,694 %3,428 %2,093 %3,637 %1473,763 %3,685 %3,691 %3,427 %2,095 %3,635 %1483,760 %3,683 %3,688 %3,427 %2,096 %3,633 %1493,757 %3,680 %3,686 %3,426 %2,097 %3,631 %1503,754 %3,678 %3,683 %3,425 %2,099 %3,628 %Term to maturity (in years)Canadian dollarColombian pesoHong Kong dollarNew Taiwan dollarRenminbi-yuanUS dollar12,551 %13,568 %2,422 %0,927 %1,155 %3,703 %22,754 %13,617 %2,494 %0,984 %1,165 %3,621 %32,832 %13,521 %2,473 %1,024 %1,196 %3,576 %42,884 %13,418 %2,473 %1,063 %1,237 %3,583 %52,936 %13,280 %2,505 %1,098 %1,268 %3,621 %63,005 %13,119 %2,557 %1,128 %1,288 %3,674 %73,081 %12,972 %2,618 %1,157 %1,310 %3,732 %83,156 %12,844 %2,677 %1,178 %1,340 %3,787 %93,225 %12,735 %2,733 %1,197 %1,382 %3,842 %103,287 %12,657 %2,781 %1,216 %1,437 %3,897 %113,340 %12,555 %2,820 %1,246 %1,504 %3,952 %123,386 %12,421 %2,854 %1,288 %1,579 %4,008 %133,426 %12,264 %2,882 %1,336 %1,658 %4,060 %143,461 %12,090 %2,907 %1,387 %1,738 %4,107 %153,492 %11,905 %2,928 %1,441 %1,818 %4,149 % 163,519 %11,711 %2,947 %1,495 %1,896 %4,183 %173,543 %11,512 %2,964 %1,548 %1,972 %4,211 %183,564 %11,311 %2,980 %1,601 %2,045 %4,232 %193,583 %11,109 %2,993 %1,652 %2,116 %4,247 %203,599 %10,909 %3,006 %1,702 %2,184 %4,258 %213,614 %10,712 %3,018 %1,751 %2,249 %4,263 %223,626 %10,519 %3,028 %1,797 %2,311 %4,263 %233,637 %10,330 %3,038 %1,842 %2,370 %4,260 %243,646 %10,147 %3,047 %1,885 %2,426 %4,254 %253,654 %9,970 %3,055 %1,926 %2,480 %4,244 %263,660 %9,798 %3,063 %1,965 %2,531 %4,232 %273,665 %9,633 %3,071 %2,003 %2,580 %4,217 %283,668 %9,474 %3,077 %2,039 %2,627 %4,202 %293,671 %9,322 %3,084 %2,074 %2,672 %4,185 %303,672 %9,175 %3,090 %2,107 %2,714 %4,169 %313,672 %9,035 %3,096 %2,139 %2,755 %4,152 %323,671 %8,901 %3,101 %2,169 %2,793 %4,135 %333,669 %8,772 %3,106 %2,198 %2,830 %4,119 %343,666 %8,649 %3,111 %2,226 %2,865 %4,103 %353,663 %8,532 %3,116 %2,253 %2,899 %4,087 %363,660 %8,419 %3,120 %2,278 %2,932 %4,071 %373,656 %8,312 %3,125 %2,303 %2,962 %4,056 %383,652 %8,209 %3,129 %2,326 %2,992 %4,041 %393,647 %8,110 %3,132 %2,349 %3,020 %4,026 %403,643 %8,016 %3,136 %2,371 %3,048 %4,012 %413,638 %7,925 %3,140 %2,391 %3,074 %3,998 %423,633 %7,839 %3,143 %2,411 %3,099 %3,985 %433,629 %7,756 %3,146 %2,430 %3,123 %3,972 %443,624 %7,676 %3,149 %2,449 %3,146 %3,959 %453,619 %7,600 %3,152 %2,467 %3,168 %3,946 %463,614 %7,527 %3,155 %2,484 %3,189 %3,934 %473,609 %7,457 %3,158 %2,500 %3,210 %3,923 %483,604 %7,389 %3,161 %2,516 %3,230 %3,911 %493,600 %7,324 %3,163 %2,531 %3,249 %3,900 %503,595 %7,262 %3,166 %2,546 %3,267 %3,890 %513,590 %7,202 %3,168 %2,560 %3,285 %3,879 %

523,586 %7,144 %3,171 %2,574 %3,302 %3,869 %533,582 %7,088 %3,173 %2,587 %3,318 %3,859 %543,577 %7,034 %3,175 %2,600 %3,334 %3,850 %553,573 %6,983 %3,177 %2,612 %3,349 %3,840 %563,569 %6,933 %3,179 %2,624 %3,364 %3,831 %573,565 %6,884 %3,181 %2,636 %3,378 %3,823 %583,561 %6,838 %3,183 %2,647 %3,392 %3,814 %593,557 %6,793 %3,185 %2,658 %3,406 %3,806 %603,553 %6,749 %3,187 %2,668 %3,419 %3,798 %613,549 %6,707 %3,188 %2,679 %3,431 %3,790 %623,545 %6,666 %3,190 %2,688 %3,444 %3,783 %633,542 %6,627 %3,192 %2,698 %3,455 %3,775 %643,538 %6,589 %3,193 %2,707 %3,467 %3,768 %653,535 %6,552 %3,195 %2,716 %3,478 %3,761 %663,532 %6,516 %3,196 %2,725 %3,489 %3,754 %673,528 %6,481 %3,198 %2,733 %3,499 %3,748 %683,525 %6,447 %3,199 %2,742 %3,510 %3,741 %693,522 %6,414 %3,201 %2,750 %3,519 %3,735 %703,519 %6,382 %3,202 %2,757 %3,529 %3,729 %713,516 %6,351 %3,203 %2,765 %3,538 %3,723 %723,513 %6,321 %3,205 %2,772 %3,548 %3,717 %733,510 %6,292 %3,206 %2,780 %3,556 %3,712 %743,508 %6,263 %3,207 %2,787 %3,565 %3,706 %753,505 %6,235 %3,208 %2,793 %3,574 %3,701 %763,502 %6,208 %3,209 %2,800 %3,582 %3,696 %773,500 %6,182 %3,211 %2,806 %3,590 %3,691 %783,497 %6,156 %3,212 %2,813 %3,597 %3,686 %793,495 %6,131 %3,213 %2,819 %3,605 %3,681 %803,493 %6,107 %3,214 %2,825 %3,612 %3,676 %813,490 %6,083 %3,215 %2,831 %3,620 %3,672 %823,488 %6,060 %3,216 %2,836 %3,627 %3,667 %833,486 %6,038 %3,217 %2,842 %3,634 %3,663 %843,484 %6,015 %3,218 %2,847 %3,640 %3,658 %853,481 %5,994 %3,219 %2,853 %3,647 %3,654 %863,479 %5,973 %3,220 %2,858 %3,653 %3,650 %873,477 %5,952 %3,221 %2,863 %3,660 %3,646 % 883,475 %5,932 %3,221 %2,868 %3,666 %3,642 %893,473 %5,913 %3,222 %2,873 %3,672 %3,638 %903,471 %5,893 %3,223 %2,877 %3,677 %3,635 %913,470 %5,875 %3,224 %2,882 %3,683 %3,631 %923,468 %5,856 %3,225 %2,887 %3,689 %3,627 %933,466 %5,838 %3,226 %2,891 %3,694 %3,624 %943,464 %5,821 %3,226 %2,895 %3,700 %3,620 %953,462 %5,804 %3,227 %2,900 %3,705 %3,617 %963,461 %5,787 %3,228 %2,904 %3,710 %3,614 %973,459 %5,770 %3,229 %2,908 %3,715 %3,611 %983,458 %5,754 %3,229 %2,912 %3,720 %3,607 %993,456 %5,738 %3,230 %2,916 %3,725 %3,604 %1003,454 %5,723 %3,231 %2,920 %3,730 %3,601 %1013,453 %5,708 %3,231 %2,923 %3,734 %3,598 %1023,451 %5,693 %3,232 %2,927 %3,739 %3,595 %1033,450 %5,678 %3,233 %2,931 %3,743 %3,592 %1043,448 %5,664 %3,233 %2,934 %3,748 %3,590 %1053,447 %5,650 %3,234 %2,938 %3,752 %3,587 %1063,446 %5,636 %3,235 %2,941 %3,756 %3,584 %1073,444 %5,623 %3,235 %2,944 %3,760 %3,582 %1083,443 %5,609 %3,236 %2,948 %3,764 %3,579 %1093,442 %5,596 %3,236 %2,951 %3,768 %3,576 %1103,440 %5,584 %3,237 %2,954 %3,772 %3,574 %1113,439 %5,571 %3,238 %2,957 %3,776 %3,571 %1123,438 %5,559 %3,238 %2,960 %3,780 %3,569 %1133,437 %5,547 %3,239 %2,963 %3,784 %3,567 %1143,435 %5,535 %3,239 %2,966 %3,787 %3,564 %1153,434 %5,523 %3,240 %2,969 %3,791 %3,562 %1163,433 %5,512 %3,240 %2,972 %3,794 %3,560 %1173,432 %5,500 %3,241 %2,975 %3,798 %3,557 %1183,431 %5,489 %3,241 %2,977 %3,801 %3,555 %1193,430 %5,478 %3,242 %2,980 %3,805 %3,553 %1203,429 %5,468 %3,242 %2,983 %3,808 %3,551 %1213,428 %5,457 %3,243 %2,985 %3,811 %3,549 %1223,427 %5,447 %3,243 %2,988 %3,814 %3,547 %1233,426 %5,436 %3,244 %2,991 %3,817 %3,545 %

1243,425 %5,426 %3,244 %2,993 %3,820 %3,543 %1253,424 %5,417 %3,244 %2,996 %3,823 %3,541 %1263,423 %5,407 %3,245 %2,998 %3,826 %3,539 %1273,422 %5,397 %3,245 %3,000 %3,829 %3,537 %1283,421 %5,388 %3,246 %3,003 %3,832 %3,535 %1293,420 %5,379 %3,246 %3,005 %3,835 %3,533 %1303,419 %5,370 %3,247 %3,007 %3,838 %3,532 %1313,418 %5,361 %3,247 %3,009 %3,841 %3,530 %1323,417 %5,352 %3,247 %3,012 %3,843 %3,528 %1333,416 %5,343 %3,248 %3,014 %3,846 %3,526 %1343,415 %5,334 %3,248 %3,016 %3,849 %3,525 %1353,414 %5,326 %3,249 %3,018 %3,851 %3,523 %1363,414 %5,318 %3,249 %3,020 %3,854 %3,521 %1373,413 %5,309 %3,249 %3,022 %3,856 %3,520 %1383,412 %5,301 %3,250 %3,024 %3,859 %3,518 %1393,411 %5,293 %3,250 %3,026 %3,861 %3,517 %1403,410 %5,286 %3,250 %3,028 %3,864 %3,515 %1413,410 %5,278 %3,251 %3,030 %3,866 %3,514 %1423,409 %5,270 %3,251 %3,032 %3,868 %3,512 %1433,408 %5,263 %3,251 %3,034 %3,871 %3,511 %1443,407 %5,255 %3,252 %3,036 %3,873 %3,509 %1453,407 %5,248 %3,252 %3,037 %3,875 %3,508 %1463,406 %5,241 %3,252 %3,039 %3,878 %3,506 %1473,405 %5,234 %3,253 %3,041 %3,880 %3,505 %1483,404 %5,227 %3,253 %3,043 %3,882 %3,503 %1493,404 %5,220 %3,253 %3,044 %3,884 %3,502 %1503,403 %5,213 %3,254 %3,046 %3,886 %3,501 %Term to maturity (in years)Yen11,089 %21,367 %31,543 %41,665 %51,764 %61,853 %71,938 %82,022 % 92,108 %102,195 %112,284 %122,372 %132,458 %142,541 %152,619 %162,693 %172,762 %182,826 %192,884 %202,937 %212,986 %223,029 %233,068 %243,104 %253,135 %263,164 %273,189 %283,211 %293,230 %303,247 %313,261 %323,272 %333,282 %343,291 %353,298 %363,303 %373,308 %383,311 %393,314 %403,317 %413,318 %423,319 %433,320 %443,321 %453,321 % 463,321 %473,320 %483,320 %493,319 %503,318 %513,317 %523,316 %533,315 %543,314 %553,313 %563,311 %573,310 %583,309 %593,308 %603,306 %613,305 %623,304 %633,302 %643,301 %653,300 %663,299 %673,297 %683,296 %693,295 %703,294 %713,292 %723,291 %733,290 %743,289 %753,288 %763,287 %773,286 %783,285 %793,284 %803,283 %813,282 %823,281 % 833,280 %843,279 %853,278 %863,277 %873,276 %883,275 %893,275 %903,274 %913,273 %923,272 %933,271 %943,271 %953,270 %963,269 %973,269 %983,268 %993,267 %1003,267 %1013,266 %1023,265 %1033,265 %1043,264 %1053,263 %1063,263 %1073,262 %1083,262 %1093,261 %1103,261 %1113,260 %1123,259 %1133,259 %1143,258 %1153,258 %1163,257 %1173,257 %1183,256 %1193,256 % 1203,255 %1213,255 %1223,255 %1233,254 %1243,254 %1253,253 %1263,253 %1273,252 %1283,252 %1293,252 %1303,251 %1313,251 %1323,250 %1333,250 %1343,250 %1353,249 %1363,249 %1373,249 %1383,248 %1393,248 %1403,248 %1413,247 %1423,247 %1433,247 %1443,246 %1453,246 %1463,246 %1473,245 %1483,245 %1493,245 %1503,244 %

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)AustriaBelgiumBulgariaCroatiaCzechiaCyprusDenmark10025501802003250310300375036040140623805024563410603486544072451684608265361046093754611440104856712440Duration (in years)EstoniaFinlandFranceGermanyGreeceHungaryIreland100003084112000019441630000174418410001534195200014242063000140422740001394238602014332497130145124108140146425 Duration (in years)ItalyLatviaLithuaniaLuxembourgMaltaNetherlandsPoland15230110421378016043171012019044201214020045231316021046251518023047271619024048291821025049311922126041032192322604Duration (in years)PortugalRomaniaSlovakiaSloveniaSpainSwedenUnited Kingdom1188912300231141215800335161419120043716152314005401717271600643191830180074420203119008452122332100943222234220010432023342300Duration (in years)IcelandLiechtensteinNorwaySwitzerlandAustraliaCanadaChina150000002500000135000002450000035500000365000004750000048500000795000005105000005 Duration (in years)ColombiaHong KongJapanTaiwanUnited States11200402170040325004043100405330040635004073600408350040933004010350140 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 6161940101213475121726194010121347598737214297210471808492445100209471671510264910320947156461128531082094714817123055110209471471813315511020947147191332551092094714711013335510920947147111143456109209471471121435561092094714711315355610920947147114153556109209471471151635561092094714711617355610920947147117193556109209471471182035561092094714711920355610920947147120213556109209471471 21223556109209471471222335561092094714712324355610920947147124253556109209471471252635561092094714712626355610920947147127273556109209471471282835561092094714712929355610920947147130303556109209471471 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 612033541152274891240221345411622849010083223656112225486826423385911422348568652439631172234845776244165120222483492724426712222148248282442661212204824829234266120220481481102343651192194814811123436511921948048012234465118218480480132343641182184794791423436411721747947915224363117217478478162243631162164784781722436311621647847818224363116216478478192243631172164784782022436311721747847821234363117217479479 222343641172174794792324436411721747947924254364117217479479252643641172174794792627436311721747847827284363117217478478282943631172174784782929436311721747847830304363117216478478 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 61618391012134741216261839101213474986372141972104718084923441002094706715102649103209470564611285210820947048171230551102094704708123155110209470470913325510920947047010133355109209470470111434551092094704701214345510920947047013143555109209470470141535551092094704701516355510920947047016173555109209470470171935551092094704701820355510920947047019203555109209470470202135551092094704702122355510920947047022233555109209470470

2324355510920947047024253555109209470470252635551092094704702626355510920947047027273555109209470470282835551092094704702929355510920947047030303555109209470470 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 617891111173285546129027588109171283544104837992113169281543860478931141702795407155789411717127753860267894119174276537537777951191752745355358769511917427353553597695118172272534534107493116169269531531117292114168268529529127292113167266528528137192112166266527527147192112166266527527157192112166265527527167191111165265526526177091111165265526526187090111164264526526196990110164264525525206989110163263525525216889109163263524524226788108162262523523236687107161261522522 246586106160260521521256485105159259520520266384104158258519519276283103157257518518286182102156256517517296081101155255516516305980100154254515515 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 6192243105217478121321124451062184809853132747103216477807415305110721647767051733561102164775646183559114216477480719366111721547747781937611162154774779183761115215476476101938611152154764761119396111521447647612204061115215476476132041611152154764761420416111521547647615214161115215476476162141611152154764761721416211521547747718214262116216477477192242621162164774772022436311721647847821224363117217478478222343641172174794792324436411721747947924254464117217479479 252644641172174794792626436411721747947927274364117217479479282843641172174794792929436311721747847830304363117217478478 2.6. 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 6172449130232494124727244913023249410113826501202294908274102953113227489686512315510622648857761434581012254874927163660972244864868183859912234854859204462872224844841020446085221483483111943608622148248212194360882204824821319436188219481481141944618821948048015194461882184804801619446188217479479171944618821747847818204461882164784781921446188216478478202244618821647847821234461882164784782224446188216478478232444618821647747724254461882154764762526446188214476476 26274461882144754752728446188213475475282944618821347447429294461882124744743030446188212473473 2.7. 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 618194115177289550128528194115176288550104538296116172284546858482971181732835447135829812117528154260068298123178279541541781991231792785395398799812217627653753797897120174274536536107797119173273535535117796118172272533533127696117171270532532137495115169269531531147394114168268529529157293113167266528528167192112165265527527177091111165264526526186990110164263525525196889109163263524524206788108162262523523216687107161261522522226586106160260521521236485105159259520520246384104158257519519256282103156256518518266181102155255517517

276080100154254515515285879991532535145142957789815225251351330567797151251512512 2.8. 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 615467881492615231239254678815026252310113566990146258520831457719214825751969255773961502565175836577498154255516516757759915525451551585675991532535145149557498152252513513105574971512515125121155759615025051151112547596149249511511135475951492495105101454749414824851051015537494148248509509165273931472475085081752729314624650850818517292146246507507195171921452455075072051719214524550750721507191145245506506225070911442445065062349709014424450550524496989143243504504254868891422425045042647688814224250350327466787141241502502284666861402405025022945668613923950150130446585139239500500 2.9. 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 6191104125187299560131329010312418629855910633901041241802935548704901051261812915527215901061291842895516056911071321872885505507911091331892885495498911091331882875495499911101331872875495491091111133187287548548119111113318628654854812911111321852855475471390110131184284546546148910913018328354554515881081281822825435431687107127181281542542178510612618028054154118841051251792795405401983104124178278539539208210312317727753853821811021221762765375372280100121174274536536237899119173273534534247798118171271533533257596116170270531531267495115168268530530277393113167267528528287192112166265527527297090110164264525525306889109163263524524 2.10. 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 613143641262384991259231446512723950010193324666122235496834433486912423349569153349721272324945806345075130232493494734527613223149249283352761312304914919335275129229491491103352751292294904901133537412822848948912325374127227489489133253731272274884881432527312622648848815315272126226487487163151721252254874871731517112522548648618305171125225486486193051711252254864862030517112522548648621305171125225486486223051711252254864862330517112522548648624305171124224486486253050711242244864862629507012422448548527295070124224485485282949701232234854852929496912322348448430304969123223484484 2.11. 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 6104208119345511702152082194455949325237919145377744626821914526455583185191452543661034891914524627712369219145245289133791191452452910133791191452452101114379119145245211121638921924534531213163791191452452131317389119145345314141738911914534531515163790190452452161616369019045145117171636901904514511818163690190451451191917379019045245220201837911914524522122183791191453453222319389119145345323231938911914534532424203791191452452252521379119145245226262237911914524522727233791191452452282723379119145245229282437911914524523029253791190452452

2.12. 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 614255761372495111257242557613825051110193435778134246508834444598013624550669254561841392445065826466387142244505505746648914424350550584664881432425045049456488142242503503104565871412415035031145658714124150250212456586140240501501134565861402395015011445658513923950050015446585139239500500164364841382384994991743648413823849949918436384137237499499194263831372374984982042638313723749849821426383136236498498224162821362364974972341618213523549749724406181135235496496254060801342344954952639598013323349549527385979133232494494283758781322324934932937577713123149249230365677130230492492 2.13. 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 61183152114226487121621932531152274889873213556111224485809423385911422348567252440631172234855656254267122223485485726446912422348448482645691242234844849274669123223484484102747691232234854851128486912322348548512284869123223485485132949691232234854851429496912322348548515294970123223485485162949691232234844841729496912322348448418294969123223484484192949691232234844842029496912322348548521294969123223484484222849691232234844842328486912222248448424274868122222483483252748681212214834832627476712122148248227274767121220482482282846661202204824822929466612022048148130304566119219481481 2.14. 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 618699120181293555142629210512618830056111573961101301862995609474981131341902995607865102118141195301563660610512114620130356456471071241492053035655658108127151205305566566910912815220630656756710110130152206306568568111111311522063065675671211013115220530556756713109130150204304566566141081291492033035645641510712714820130156356316105126146200300561561171041251451992985605601810312314319729755855819101122142196296557557201001201401942945555552198119139192292554554229611713719129155255223941151351892895505502493113133187287548548259111113218528554754726891101301832835455452787108128182282543543288510612618028054154129841041241782785405403082103123176276538538 2.15. 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 61132647109221482121321528491112234849843193253109221483805421365711322248366852339631172224845626254266122223484484726446812422348448482645691242234844849274569123223484484102746691232234844841127476912322348448412274869122222484484132748681222224834831427476812122148348315264767121221482482162646671202204824821726466712022048248218264666120220481481192646661202204814812026466712022048248221264667120220482482222646671202204824822326466712022048248224264666120220482482252646661202204814812626466612022048148127274666120220481481282845661192194814812929456511921948148130304565119219480480

2.16. 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 610930922044651186219309220446596132123288201462787441435901994616535515399319946054966174197198459468771843991974594598918429719745845891018429619645745710111942951954574571112204295195457457121321429519545745713142142961954574571415224296196457457151522439619645845816162343971974584581717234497197459459181824449819845945919202545991994604602021264610020046146121222647100200462462222327471012014624622324284810220246346324242848102202463463252529491022024644642626294910320346446427272949103203464464282829501032034654652928305010420446546530293050104204465465 2.17. 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 61274061122234496119022841621232354979643304464120233494789431466712323249365553348721262324935516335075130231493493734517613223149249283351751302304914919335275129229490490103352751282284904901133537412822848948912335374128228489489133353741272274894891433537312722748848815335373127227488488163353731272274884881733537412722748948918335474128227489489193354741282284894892033547412822848948921345474128228489489223454741282284904902334547412822848948924335474128228489489253354741282284894892633547412722748948927335374127227489489283253731272274884882932537312722748848830325273126226488488 2.18. 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 617244694226487123727244694226487100139284992224485819412325391224485680516385894224486572618416292225486487719446288225486486818436288225486486919456491225486486102148669422548648611235067962254864861225526997225486486132654699722548648614265570972254864861526557097225486486162755709722448648617275570972254864861827557097225486486192755709722548648620275570972254864862127557097225486486222755709722548648623275570972254864862427557097225486486252755709722448648626275570972244854852728557097224485485282855709722348548529295570972234844843030557097222484484 2.19. 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 6104117318544611892151172184446966325126818044279344614701794406585571872178440554667217617843947377823791784394398992378177439439910102378177439439101111247817843943911121124781784394391213122478178439439131413257817844044014151325791784404401516142579179440440161714267917944144117181626801804414411819172780180442442192017278118144244220211828811814434432122192982182443443222319308218244444423242031821824444442425203283182444444252622338318344444426262333831824444442727233482182444444282824358218244444429292436821824444443030253882182444444 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 611132039149296311621132039149339234431142244145354178141152548143355138253172850143347109764203053143334890762232551433197378623345814330261997243560143286527107253762143269453117263763143252394128263863143237344138263863143234303148263863143234268158263963143234239168264163143234234178264463143234234188264663143234234198264863143234234208265163143234234218265363143234234229265563143234234239265863143234234249266063143234234251026636314323423426102665631432342342710266764143234234281126706614323423429112672681432342343012277570143234234 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 611527345316430231792162835541643462397316293759160362182341629396215736314145163041641573551123617324366156342912718344467155326754817344569155309633917354671154292539101735477215327546411173547721532584031217354772152243352131634467115224231014163446711512422741515344571151241244161533457015124124117153345701512412411815334770151241241191533507015124124120153452711512412412116345471151242242221634567115124224223163459711512422422416346171151242242251634647115124224226163466711512412412715346971151241241281534717115124124129153374701512412413015337671151241241 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 611131939149296311521131939149338234431142244145354178141152548143355138152172850143347109764193053143334890762232551433197368623335714330261996243560143285527107253762143269453117253763143252393127263863143237344137263863143233303147263863143233268157263963143233239167264163143233233177264463143233233187264663143233233198264863143233233208265163143233233218265363143233233229265563143233233239265863143233233249266063143233233251026636314323323326102665631432332332710266764143233233281126706614323323329112672681432332333012277570143233233 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 617385921112213143316270828910921935925023728593115217377190447185941182133781479570859611821137011756708697120210357953770879712020834078887087981222073226619708798123206304562106785971222042944831166849612120229241912658395120201291366136483941202002903221464829411920029029015648294119200290290166482941191992892891763829311919928928918638193118198289289196280921181982882882062809211719728828821617991116197287287226079901161962862862359788911519528528524587788114194284284255776871131932832832656758611219228228227557485111191281281285472841101902802802953718310818927927930527082107188278278 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 6151723431532963106261825441553382339372028501513541778482131551503551380592435571503471096611263760150334890712283962150319736812294064149302618912304166149285526101230426714926945311133143681492523931213314368149239344131331436814923930314133243691492392681513324469149239239161432446914923923917143244691502402401814324669150240240191433487015024024020153351701512412412115345371151241241221634557115124224223163458711512422422416346071152242242251634637115224224226163465711512422422716346771151242242281634707115124224229163472711512412413015347571151241241

3.6. 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 61010214316930431982010214316934724063111234816436218274113265316136314165216295716035511246219335915934291274223760158326754872538601573096349103243591562925401012344359156275464111134435915525840312103343591542453531393244601542443111493244601532432751593245601522432451693245601512422421793245601512412411810324760150241241191032506015024124120103352601512412412110335560151241241221033566015024124123103359601502402402410336261149239239251033646214923923926103366641482382382711336966148238238281233716814723723729123374701462372373013337672146236236 3.7. 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 6176889511522531733022768895114224358249237688961192203751897475889812121737714745748910012221536911716749010112421435695077491101124212340786873901001242103226609728910012520830456110718910112620729848211708810012520629641812698799124205295365136886981232032943211466849612220229229215658395120201291291166482941192002902901763819311819928928918628092117198288288196179911161972872872060789011619628628621597889115195285285225876881141942842842357758711219328328324567486111192282282255573851101902812812654728410918928028027537183108188278278285170811071872772772950698010618627627630496779104185275275 3.8. 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 614961688719830231762496168881983472405349627092194365183544963739619136714275496475971903591135650657699189347923750677710018833176485067771011873156439496778103186297547104967781041852804711148667810418427440912486678103184274358134765771021832733151447657710218227327915466476101182272272164563751011812712711745637510018027127118446374100180270270194462749918027027020446274991792702702143627399179269269224361739817826926923426072971782682682442607297177267267254159719617626726726405870951762662662739587095175265265283957729417426526529385675931742642643037557792173263263 3.9. 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 61869810512523532733782869810412423436425403849710512722838019284839610612922538114935839710813122337211836839911013322335895878410111113422234179188410111213622232266398510211313822131256410851031141402213114841185103115140220311419128410211413922031036613831011131382193093221482100112137217308308158199111136216306306167998110135215305305177897108134214304304187796107133213303303197695106132212302302207593105131211301301217492104129210300300227391103128208299299237190101127207297297247088100125206296296256887981242042942942667859712220329329327658495121201291291286482941192002902902963819311819828828830617991116197287287

3.10. 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 612638446417430632312273945651753492428326394769170365184242539497216736514275264051741663571131626425376166343917727445477165327758827445478164310636927445580163292541102644568216327546511264456821622584031226445681162252352132544558116125131014254355801602512741524435480160250250162442547915925025017234254791592492491823425379159249249192341537815924924920234253791592492492123425479159249249222342567915924924923234159781592492492423416178159249249252341647815824924926224166781582482482722406977158248248282240717715724824829214073771572472473021397676157247247 3.11. 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 610041912928529902016201303262248311826127341170841311301253421325514133212533410536241635125322855725183712530770782721391252915949372342125275506104826441252594361149284512624337812410304412522833113511334512621629214512364512521625815612374412421523016614404312421421417614434512421421418615444612421421419816474912421521520817495012521521521818515212521621622819545412521621623919565512521621624921595712521521525921615912521521526102362601272152152710236562128215215281125676413021521529112570661302152153011267268131215215 3.12. 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 613749567518630632262385056761863492427337505880182365184343751618417936614295385263861783581134639546588178345920740566689177329761839566791177312639939576893176294544103957699417527746811395769941752654061238576994174264355133856689317426431314375668931732632771537556792173263263163655669217226226217365466911722622621836546691171262262193554659117126126120355365901712612612135536590171261261223453649017026026023345264891702602602433516388169259259253251648816825825826325066871672582582731496986167257257283048718516625625629294874851652552553029477784164255255 3.13. 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 611426325216229631132152733531633392345315283658159355178341629396215735613835173142641573481099618334467157335892720364669157320738820374771157303621920384974157287528102139517615727045511213951771572533951222405277157248345132240527715724830414224052771572482691522405277157248248162140527715724724717224052771572472471822405277157247247192140527715724724720224052771572482482121405477157247247222139567615724724723213959761562472472420396076156246246252038637515624624626193865751552452452719376874155245245281937707415424524529183672731542442443018367573153244244 3.14. 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 6181931001192303463686287991061262363952781390103111133234413211349110511513823341416375951091201422354041296697113124147237389104971001161271502383718658102119129153239351725910312113215724033161610104122134159240331529111041221341602403304581210412213415923933040013103121133158238329351141011191311562373273271510011813015523532632616981171281542343243241797115127152233323323189511412615123132132119941121241492303203202093111123148228318318219110912114622731731722891071191442253153152387106117143223313313248610411614122131131125841021141392193103102682100112137218308308278098110135216306306287897108134214304304297795107132212303303307593105130211301301

3.15. 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 61821274715729631062112329491593372336312253356157353177441428376115635413765163041641573461093618334467157333887720364669157318734820374771157301617920384974157285525102139507615726845211213951761572523921221395176157247343132039507615624630214203850751562462671519384975155245245161937497415424524517193749741542452451819374974154244244191837497415424424420193751741542452452119375374154245245221937557415524524523193758741542452452419376074154245245251837637415424424426183665741542442442718366773154244244281836707315324424429183672731532442443017367573153243243 3.16. 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 610410301402893032204103014033022793151335136345173141515381333461343517174013333810676281942132326866721021441323117168211214513129560293112447130278512104112648130262441114122949129246383124123049130230335135123349130220295145133650130220261156133750130221232166144050131221221176144351131222222187164552132222222198164752133223223208175053134224224218185254135225225228195555135225225239205656136226226249215958136226226251021616013722722726102364621372272272710236663137227227281125696513722822829112571671382282283011277369138228228 3.17. 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 612234416017029030432233542611723312286324374567168346173742438477116634713475253950731663391070626415275165327869727435477165312718827445478164295604926445580163279514102644568116326244211264456821622523841226445681162252336132644568116125229614264456811612512621525445581161251251162644568116125125117264456811612522521826445681162252252192644568116225225220264556821622522522127455782162252252222745578216225325323264557821622522522426455982162252252252644618116225225226264464811622522522726446681161252252282544698116125125129254371801612512513025437380160251251 3.18. 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 61014244916230131712014244916234323813117285315935918084220315915836014025424366415835211136627396715933990479314270159323747811354673159307628914385076159289535101540527715927246011164253781592563991216435479159249349131744558015924930814184556801592492721518455680159249249161845568015924924917184556801592492491818455680159249249191845568015924924920184556801592492492118455680159249249221845568015924924923184559801592492492418456180159249249251845648015824924926184566801582482482718456980158248248281845718015724824829184574801572472473018457680157247247 3.19. 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 6100411121290304020161212033222913118141163481744413121811334913545141420112342107662517221123298747251925112314724827212611229860894724291122825181049263111226544611492933112249388125103236112234339135113338112219299145123640113206265156133942113203236166144144113204211176154345114204204187164648117205205198174850119205205208185151121206206218185253123206206229195555124207207239205857127207207249216059128207207251022636012920720726102365621312072072710246764132207207281125706613320720729112572681342072073011277570135207207

Annex

ANNEX III Volatility adjustment to the relevant risk-free interest rate term structure CurrencyNational insurance marketVolatility adjustment (in bps)EuroAustria18EuroBelgium18EuroBulgaria18EuroCyprus18EuroCroatia18EuroEstonia18EuroFinland18EuroFrance18EuroGermany18EuroGreece18EuroIreland18EuroItaly18EuroLithuania18EuroLatvia18EuroLuxembourg18EuroMalta18EuroNetherlands18EuroPortugal18EuroSlovakia18EuroSlovenia18EuroSpain18Czech korunaCzechia11Danish kroneDenmark18ForintHungary7KronaSweden–1Pound sterlingUnited Kingdom27Romanian leuRomania9ZlotyPoland10KrónaIceland38Norwegian kroneNorway37Swiss francLiechtenstein–3Swiss francSwitzerland–3Australian dollarAustralia29 Canadian dollarCanada13Renminbi-yuanChina–2Hong Kong dollarHong Kong2US dollarUnited States39YenJapan13