Commission Implementing Regulation (EU) 2021/178 laying down technical information for the calculation of technical provisions and basic own funds

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Document 32021R0178

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Commission Implementing Regulation (EU) 2021/178 of 8 February 2021 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 December 2020 until 30 March 2021 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) 2021/178 of 8 February 2021 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 December 2020 until 30 March 2021 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) 2021/178 of 8 February 2021 laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 December 2020 until 30 March 2021 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)

C/2021/579

OJ L 53, 16.2.2021, pp. 6–96 (BG, ES, CS, DA, DE, ET, EL, EN, FR, GA, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

In force

ELI: http://data.europa.eu/eli/reg_impl/2021/178/oj

Official Journal

Language 1

Language 2

Language 3

16.2.2021

EN

Official Journal of the European Union

L 53/6

COMMISSION IMPLEMENTING REGULATION (EU) 2021/178

of 8 February 2021

laying down technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 December 2020 until 30 March 2021 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) ( 1 ) , and in particular the third subparagraph of Article 77e(2) 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 7 January 2021, the European Insurance and Occupational Pensions Authority provided the Commission with the technical information related to end of December 2020 market data. That information was published on 7 January 2021 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 ( 2 ) ,

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 2020 until 30 March 2021.

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 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 2020.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 8 February 2021.

For the Commission

The President

Ursula VON DER LEYEN

( 1 )

OJ L 335, 17.12.2009, p. 1 .

( 2 ) 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 ).

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)

Euro

Czech koruna

Danish krone

Forint

Krona

Kuna

1

-0,623%

0,385%

-0,633%

0,286%

-0,144%

-0,258%

2

-0,624%

0,606%

-0,634%

0,530%

-0,117%

-0,078%

3

-0,608%

0,790%

-0,618%

0,771%

-0,071%

0,065%

4

-0,587%

0,927%

-0,597%

0,996%

-0,020%

0,164%

5

-0,558%

1,020%

-0,568%

1,198%

0,033%

0,249%

6

-0,527%

1,076%

-0,537%

1,381%

0,085%

0,337%

7

-0,486%

1,113%

-0,496%

1,545%

0,139%

0,435%

8

-0,445%

1,141%

-0,455%

1,690%

0,162%

0,546%

9

-0,404%

1,167%

-0,415%

1,819%

0,199%

0,668%

10

-0,367%

1,193%

-0,377%

1,928%

0,291%

0,790%

11

-0,320%

1,223%

-0,330%

2,015%

0,453%

0,909%

12

-0,275%

1,256%

-0,285%

2,087%

0,646%

1,022%

13

-0,263%

1,294%

-0,273%

2,150%

0,839%

1,130%

14

-0,205%

1,337%

-0,215%

2,209%

1,021%

1,232%

15

-0,174%

1,386%

-0,185%

2,269%

1,188%

1,329%

16

-0,166%

1,440%

-0,176%

2,330%

1,339%

1,420%

17

-0,161%

1,499%

-0,171%

2,392%

1,476%

1,507%

18

-0,151%

1,558%

-0,162%

2,453%

1,598%

1,589%

19

-0,130%

1,619%

-0,140%

2,514%

1,709%

1,666%

20

-0,093%

1,679%

-0,103%

2,573%

1,810%

1,738%

21

-0,038%

1,738%

-0,048%

2,631%

1,901%

1,807%

22

0,029%

1,796%

0,019%

2,687%

1,984%

1,872%

23

0,105%

1,852%

0,095%

2,741%

2,060%

1,934%

24

0,186%

1,907%

0,176%

2,792%

2,130%

1,992%

25

0,270%

1,960%

0,260%

2,842%

2,194%

2,047%

26

0,354%

2,010%

0,346%

2,890%

2,254%

2,100%

27

0,439%

2,059%

0,431%

2,936%

2,309%

2,150%

28

0,523%

2,106%

0,515%

2,980%

2,360%

2,197%

29

0,606%

2,151%

0,598%

3,022%

2,407%

2,242%

30

0,686%

2,194%

0,678%

3,062%

2,452%

2,284%

31

0,765%

2,236%

0,757%

3,100%

2,493%

2,325%

32

0,841%

2,275%

0,833%

3,137%

2,532%

2,364%

33

0,914%

2,314%

0,907%

3,173%

2,569%

2,400%

34

0,985%

2,350%

0,978%

3,206%

2,604%

2,436%

35

1,053%

2,385%

1,046%

3,239%

2,636%

2,469%

36

1,119%

2,418%

1,112%

3,270%

2,667%

2,501%

37

1,182%

2,451%

1,176%

3,299%

2,696%

2,532%

38

1,243%

2,481%

1,237%

3,328%

2,724%

2,561%

39

1,302%

2,511%

1,296%

3,355%

2,750%

2,589%

40

1,358%

2,539%

1,352%

3,381%

2,775%

2,616%

41

1,412%

2,567%

1,406%

3,407%

2,798%

2,642%

42

1,464%

2,593%

1,458%

3,431%

2,821%

2,667%

43

1,514%

2,618%

1,508%

3,454%

2,843%

2,690%

44

1,562%

2,642%

1,557%

3,476%

2,863%

2,713%

45

1,608%

2,665%

1,603%

3,498%

2,883%

2,735%

46

1,653%

2,688%

1,648%

3,518%

2,901%

2,756%

47

1,696%

2,709%

1,690%

3,538%

2,919%

2,776%

48

1,737%

2,730%

1,732%

3,557%

2,937%

2,796%

49

1,777%

2,750%

1,772%

3,576%

2,953%

2,814%

50

1,815%

2,769%

1,810%

3,594%

2,969%

2,832%

51

1,852%

2,788%

1,847%

3,611%

2,984%

2,850%

52

1,887%

2,806%

1,882%

3,627%

2,999%

2,867%

53

1,922%

2,823%

1,917%

3,643%

3,013%

2,883%

54

1,955%

2,840%

1,950%

3,659%

3,027%

2,898%

55

1,987%

2,856%

1,982%

3,674%

3,040%

2,913%

56

2,018%

2,871%

2,013%

3,688%

3,053%

2,928%

57

2,047%

2,887%

2,043%

3,702%

3,065%

2,942%

58

2,076%

2,901%

2,072%

3,715%

3,076%

2,956%

59

2,104%

2,915%

2,100%

3,728%

3,088%

2,969%

60

2,131%

2,929%

2,127%

3,741%

3,099%

2,982%

61

2,157%

2,942%

2,153%

3,753%

3,109%

2,994%

62

2,183%

2,955%

2,179%

3,765%

3,120%

3,006%

63

2,207%

2,967%

2,203%

3,777%

3,130%

3,018%

64

2,231%

2,980%

2,227%

3,788%

3,139%

3,029%

65

2,254%

2,991%

2,250%

3,799%

3,149%

3,040%

66

2,277%

3,003%

2,273%

3,809%

3,158%

3,051%

67

2,298%

3,014%

2,295%

3,819%

3,167%

3,061%

68

2,320%

3,024%

2,316%

3,829%

3,175%

3,071%

69

2,340%

3,035%

2,337%

3,839%

3,184%

3,081%

70

2,360%

3,045%

2,357%

3,848%

3,192%

3,090%

71

2,380%

3,055%

2,376%

3,857%

3,199%

3,099%

72

2,398%

3,064%

2,395%

3,866%

3,207%

3,108%

73

2,417%

3,074%

2,413%

3,875%

3,215%

3,117%

74

2,435%

3,083%

2,431%

3,883%

3,222%

3,126%

75

2,452%

3,092%

2,449%

3,891%

3,229%

3,134%

76

2,469%

3,100%

2,466%

3,899%

3,236%

3,142%

77

2,486%

3,109%

2,482%

3,907%

3,242%

3,150%

78

2,502%

3,117%

2,498%

3,915%

3,249%

3,157%

79

2,517%

3,125%

2,514%

3,922%

3,255%

3,165%

80

2,533%

3,133%

2,530%

3,929%

3,261%

3,172%

81

2,548%

3,140%

2,545%

3,936%

3,267%

3,179%

82

2,562%

3,148%

2,559%

3,943%

3,273%

3,186%

83

2,576%

3,155%

2,573%

3,950%

3,279%

3,193%

84

2,590%

3,162%

2,587%

3,956%

3,284%

3,200%

85

2,604%

3,169%

2,601%

3,963%

3,290%

3,206%

86

2,617%

3,175%

2,614%

3,969%

3,295%

3,212%

87

2,630%

3,182%

2,627%

3,975%

3,300%

3,218%

88

2,643%

3,188%

2,640%

3,981%

3,306%

3,224%

89

2,655%

3,195%

2,652%

3,987%

3,311%

3,230%

90

2,667%

3,201%

2,664%

3,992%

3,315%

3,236%

91

2,679%

3,207%

2,676%

3,998%

3,320%

3,242%

92

2,691%

3,213%

2,688%

4,003%

3,325%

3,247%

93

2,702%

3,219%

2,699%

4,009%

3,329%

3,253%

94

2,713%

3,224%

2,710%

4,014%

3,334%

3,258%

95

2,724%

3,230%

2,721%

4,019%

3,338%

3,263%

96

2,735%

3,235%

2,732%

4,024%

3,343%

3,268%

97

2,745%

3,240%

2,742%

4,029%

3,347%

3,273%

98

2,755%

3,246%

2,753%

4,034%

3,351%

3,278%

99

2,765%

3,251%

2,763%

4,038%

3,355%

3,283%

100

2,775%

3,256%

2,772%

4,043%

3,359%

3,287%

101

2,785%

3,261%

2,782%

4,048%

3,363%

3,292%

102

2,794%

3,265%

2,792%

4,052%

3,366%

3,296%

103

2,803%

3,270%

2,801%

4,056%

3,370%

3,301%

104

2,812%

3,275%

2,810%

4,061%

3,374%

3,305%

105

2,821%

3,279%

2,819%

4,065%

3,377%

3,309%

106

2,830%

3,284%

2,828%

4,069%

3,381%

3,313%

107

2,838%

3,288%

2,836%

4,073%

3,384%

3,318%

108

2,847%

3,292%

2,845%

4,077%

3,388%

3,322%

109

2,855%

3,296%

2,853%

4,081%

3,391%

3,325%

110

2,863%

3,300%

2,861%

4,084%

3,394%

3,329%

111

2,871%

3,305%

2,869%

4,088%

3,398%

3,333%

112

2,879%

3,309%

2,877%

4,092%

3,401%

3,337%

113

2,887%

3,312%

2,884%

4,095%

3,404%

3,340%

114

2,894%

3,316%

2,892%

4,099%

3,407%

3,344%

115

2,902%

3,320%

2,899%

4,103%

3,410%

3,348%

116

2,909%

3,324%

2,907%

4,106%

3,413%

3,351%

117

2,916%

3,327%

2,914%

4,109%

3,416%

3,354%

118

2,923%

3,331%

2,921%

4,113%

3,418%

3,358%

119

2,930%

3,334%

2,928%

4,116%

3,421%

3,361%

120

2,937%

3,338%

2,935%

4,119%

3,424%

3,364%

121

2,943%

3,341%

2,941%

4,122%

3,427%

3,367%

122

2,950%

3,345%

2,948%

4,125%

3,429%

3,371%

123

2,957%

3,348%

2,955%

4,128%

3,432%

3,374%

124

2,963%

3,351%

2,961%

4,131%

3,434%

3,377%

125

2,969%

3,354%

2,967%

4,134%

3,437%

3,380%

126

2,975%

3,357%

2,973%

4,137%

3,439%

3,383%

127

2,981%

3,361%

2,979%

4,140%

3,442%

3,386%

128

2,987%

3,364%

2,985%

4,143%

3,444%

3,388%

129

2,993%

3,367%

2,991%

4,146%

3,447%

3,391%

130

2,999%

3,370%

2,997%

4,148%

3,449%

3,394%

131

3,005%

3,372%

3,003%

4,151%

3,451%

3,397%

132

3,010%

3,375%

3,009%

4,154%

3,454%

3,399%

133

3,016%

3,378%

3,014%

4,156%

3,456%

3,402%

134

3,021%

3,381%

3,020%

4,159%

3,458%

3,405%

135

3,027%

3,384%

3,025%

4,161%

3,460%

3,407%

136

3,032%

3,386%

3,030%

4,164%

3,462%

3,410%

137

3,037%

3,389%

3,036%

4,166%

3,464%

3,412%

138

3,043%

3,392%

3,041%

4,169%

3,466%

3,415%

139

3,048%

3,394%

3,046%

4,171%

3,468%

3,417%

140

3,053%

3,397%

3,051%

4,173%

3,470%

3,419%

141

3,058%

3,399%

3,056%

4,176%

3,472%

3,422%

142

3,062%

3,402%

3,061%

4,178%

3,474%

3,424%

143

3,067%

3,404%

3,065%

4,180%

3,476%

3,426%

144

3,072%

3,406%

3,070%

4,182%

3,478%

3,428%

145

3,077%

3,409%

3,075%

4,185%

3,480%

3,431%

146

3,081%

3,411%

3,079%

4,187%

3,482%

3,433%

147

3,086%

3,413%

3,084%

4,189%

3,484%

3,435%

148

3,090%

3,416%

3,088%

4,191%

3,486%

3,437%

149

3,095%

3,418%

3,093%

4,193%

3,487%

3,439%

150

3,099%

3,420%

3,097%

4,195%

3,489%

3,441%

Term to maturity (in years)

Lev

Pound sterling

Romanian leu

Zloty

Króna

Norwegian krone

1

-0,673%

-0,110%

2,285%

-0,150%

0,967%

0,308%

2

-0,674%

-0,079%

2,361%

-0,071%

1,287%

0,485%

3

-0,658%

-0,019%

2,435%

0,073%

1,710%

0,616%

4

-0,637%

0,035%

2,511%

0,247%

2,045%

0,748%

5

-0,608%

0,083%

2,581%

0,425%

2,313%

0,859%

6

-0,577%

0,128%

2,651%

0,599%

2,545%

0,940%

7

-0,536%

0,171%

2,722%

0,760%

2,748%

1,006%

8

-0,495%

0,212%

2,794%

0,911%

2,918%

1,068%

9

-0,455%

0,251%

2,865%

1,054%

3,050%

1,131%

10

-0,418%

0,289%

2,939%

1,190%

3,154%

1,200%

11

-0,370%

0,321%

3,004%

1,313%

3,237%

1,274%

12

-0,325%

0,349%

3,058%

1,427%

3,304%

1,352%

13

-0,313%

0,374%

3,104%

1,530%

3,360%

1,430%

14

-0,255%

0,396%

3,144%

1,626%

3,406%

1,508%

15

-0,225%

0,415%

3,178%

1,714%

3,445%

1,583%

16

-0,217%

0,431%

3,209%

1,796%

3,478%

1,657%

17

-0,212%

0,444%

3,236%

1,873%

3,507%

1,728%

18

-0,203%

0,455%

3,261%

1,944%

3,531%

1,796%

19

-0,181%

0,463%

3,283%

2,011%

3,553%

1,861%

20

-0,143%

0,469%

3,303%

2,074%

3,571%

1,923%

21

-0,088%

0,473%

3,322%

2,132%

3,587%

1,982%

22

-0,020%

0,476%

3,338%

2,188%

3,601%

2,038%

23

0,057%

0,477%

3,354%

2,240%

3,614%

2,092%

24

0,139%

0,477%

3,368%

2,289%

3,625%

2,144%

25

0,224%

0,476%

3,381%

2,335%

3,635%

2,192%

26

0,310%

0,475%

3,394%

2,379%

3,644%

2,239%

27

0,396%

0,473%

3,405%

2,420%

3,652%

2,283%

28

0,481%

0,471%

3,416%

2,460%

3,659%

2,325%

29

0,565%

0,469%

3,426%

2,497%

3,665%

2,366%

30

0,646%

0,468%

3,436%

2,533%

3,671%

2,404%

31

0,726%

0,468%

3,445%

2,566%

3,676%

2,441%

32

0,803%

0,467%

3,453%

2,598%

3,681%

2,476%

33

0,877%

0,465%

3,461%

2,629%

3,685%

2,509%

34

0,949%

0,463%

3,469%

2,658%

3,689%

2,541%

35

1,018%

0,459%

3,476%

2,686%

3,692%

2,571%

36

1,085%

0,454%

3,483%

2,713%

3,696%

2,601%

37

1,149%

0,447%

3,489%

2,738%

3,698%

2,629%

38

1,211%

0,437%

3,495%

2,762%

3,701%

2,655%

39

1,270%

0,426%

3,501%

2,785%

3,704%

2,681%

40

1,327%

0,411%

3,507%

2,808%

3,706%

2,706%

41

1,382%

0,394%

3,512%

2,829%

3,708%

2,729%

42

1,435%

0,376%

3,517%

2,849%

3,710%

2,752%

43

1,485%

0,359%

3,522%

2,869%

3,712%

2,773%

44

1,534%

0,345%

3,527%

2,888%

3,713%

2,794%

45

1,581%

0,335%

3,531%

2,906%

3,715%

2,814%

46

1,626%

0,330%

3,536%

2,923%

3,716%

2,834%

47

1,669%

0,329%

3,540%

2,940%

3,717%

2,852%

48

1,711%

0,334%

3,544%

2,956%

3,719%

2,870%

49

1,751%

0,345%

3,548%

2,972%

3,720%

2,887%

50

1,790%

0,362%

3,552%

2,987%

3,721%

2,904%

51

1,827%

0,385%

3,555%

3,001%

3,722%

2,920%

52

1,863%

0,413%

3,559%

3,015%

3,723%

2,935%

53

1,898%

0,444%

3,562%

3,028%

3,723%

2,950%

54

1,932%

0,479%

3,565%

3,041%

3,724%

2,965%

55

1,964%

0,516%

3,569%

3,054%

3,725%

2,978%

56

1,995%

0,554%

3,572%

3,066%

3,726%

2,992%

57

2,026%

0,594%

3,575%

3,078%

3,726%

3,005%

58

2,055%

0,634%

3,578%

3,089%

3,727%

3,017%

59

2,083%

0,674%

3,580%

3,100%

3,728%

3,030%

60

2,110%

0,715%

3,583%

3,111%

3,728%

3,041%

61

2,137%

0,755%

3,586%

3,121%

3,729%

3,053%

62

2,163%

0,796%

3,588%

3,131%

3,729%

3,064%

63

2,188%

0,836%

3,591%

3,141%

3,730%

3,075%

64

2,212%

0,875%

3,593%

3,150%

3,730%

3,085%

65

2,235%

0,914%

3,595%

3,159%

3,730%

3,095%

66

2,258%

0,953%

3,597%

3,168%

3,731%

3,105%

67

2,280%

0,990%

3,600%

3,177%

3,731%

3,114%

68

2,301%

1,028%

3,602%

3,185%

3,732%

3,124%

69

2,322%

1,064%

3,604%

3,193%

3,732%

3,133%

70

2,342%

1,100%

3,606%

3,201%

3,732%

3,141%

71

2,362%

1,135%

3,608%

3,208%

3,733%

3,150%

72

2,381%

1,169%

3,610%

3,216%

3,733%

3,158%

73

2,400%

1,202%

3,612%

3,223%

3,733%

3,166%

74

2,418%

1,235%

3,613%

3,230%

3,733%

3,174%

75

2,435%

1,267%

3,615%

3,237%

3,734%

3,182%

76

2,453%

1,299%

3,617%

3,244%

3,734%

3,189%

77

2,469%

1,329%

3,619%

3,250%

3,734%

3,196%

78

2,486%

1,359%

3,620%

3,257%

3,735%

3,203%

79

2,502%

1,389%

3,622%

3,263%

3,735%

3,210%

80

2,517%

1,417%

3,623%

3,269%

3,735%

3,217%

81

2,532%

1,445%

3,625%

3,275%

3,735%

3,224%

82

2,547%

1,473%

3,626%

3,281%

3,735%

3,230%

83

2,561%

1,500%

3,628%

3,286%

3,736%

3,236%

84

2,575%

1,526%

3,629%

3,292%

3,736%

3,242%

85

2,589%

1,551%

3,631%

3,297%

3,736%

3,248%

86

2,603%

1,576%

3,632%

3,302%

3,736%

3,254%

87

2,616%

1,601%

3,633%

3,308%

3,736%

3,260%

88

2,628%

1,625%

3,635%

3,313%

3,737%

3,265%

89

2,641%

1,648%

3,636%

3,317%

3,737%

3,271%

90

2,653%

1,671%

3,637%

3,322%

3,737%

3,276%

91

2,665%

1,694%

3,638%

3,327%

3,737%

3,281%

92

2,677%

1,716%

3,640%

3,331%

3,737%

3,286%

93

2,688%

1,738%

3,641%

3,336%

3,737%

3,291%

94

2,700%

1,759%

3,642%

3,340%

3,737%

3,296%

95

2,711%

1,779%

3,643%

3,345%

3,738%

3,301%

96

2,721%

1,800%

3,644%

3,349%

3,738%

3,306%

97

2,732%

1,820%

3,645%

3,353%

3,738%

3,310%

98

2,742%

1,839%

3,646%

3,357%

3,738%

3,315%

99

2,752%

1,858%

3,647%

3,361%

3,738%

3,319%

100

2,762%

1,877%

3,648%

3,365%

3,738%

3,323%

101

2,772%

1,895%

3,649%

3,369%

3,738%

3,327%

102

2,782%

1,913%

3,650%

3,372%

3,738%

3,332%

103

2,791%

1,931%

3,651%

3,376%

3,739%

3,336%

104

2,800%

1,948%

3,652%

3,380%

3,739%

3,340%

105

2,809%

1,965%

3,653%

3,383%

3,739%

3,344%

106

2,818%

1,982%

3,654%

3,387%

3,739%

3,347%

107

2,827%

1,998%

3,655%

3,390%

3,739%

3,351%

108

2,835%

2,014%

3,656%

3,393%

3,739%

3,355%

109

2,844%

2,030%

3,657%

3,397%

3,739%

3,358%

110

2,852%

2,046%

3,657%

3,400%

3,739%

3,362%

111

2,860%

2,061%

3,658%

3,403%

3,739%

3,365%

112

2,868%

2,076%

3,659%

3,406%

3,740%

3,369%

113

2,876%

2,090%

3,660%

3,409%

3,740%

3,372%

114

2,883%

2,105%

3,661%

3,412%

3,740%

3,376%

115

2,891%

2,119%

3,661%

3,415%

3,740%

3,379%

116

2,898%

2,133%

3,662%

3,418%

3,740%

3,382%

117

2,905%

2,147%

3,663%

3,421%

3,740%

3,385%

118

2,912%

2,160%

3,664%

3,423%

3,740%

3,388%

119

2,919%

2,174%

3,664%

3,426%

3,740%

3,391%

120

2,926%

2,187%

3,665%

3,429%

3,740%

3,394%

121

2,933%

2,199%

3,666%

3,432%

3,740%

3,397%

122

2,940%

2,212%

3,667%

3,434%

3,740%

3,400%

123

2,946%

2,224%

3,667%

3,437%

3,741%

3,403%

124

2,953%

2,237%

3,668%

3,439%

3,741%

3,406%

125

2,959%

2,249%

3,668%

3,442%

3,741%

3,408%

126

2,965%

2,260%

3,669%

3,444%

3,741%

3,411%

127

2,972%

2,272%

3,670%

3,447%

3,741%

3,414%

128

2,978%

2,284%

3,670%

3,449%

3,741%

3,416%

129

2,984%

2,295%

3,671%

3,451%

3,741%

3,419%

130

2,989%

2,306%

3,672%

3,454%

3,741%

3,422%

131

2,995%

2,317%

3,672%

3,456%

3,741%

3,424%

132

3,001%

2,328%

3,673%

3,458%

3,741%

3,427%

133

3,007%

2,338%

3,673%

3,460%

3,741%

3,429%

134

3,012%

2,349%

3,674%

3,462%

3,741%

3,431%

135

3,018%

2,359%

3,675%

3,465%

3,741%

3,434%

136

3,023%

2,369%

3,675%

3,467%

3,741%

3,436%

137

3,028%

2,379%

3,676%

3,469%

3,741%

3,438%

138

3,033%

2,389%

3,676%

3,471%

3,742%

3,441%

139

3,039%

2,399%

3,677%

3,473%

3,742%

3,443%

140

3,044%

2,408%

3,677%

3,475%

3,742%

3,445%

141

3,049%

2,418%

3,678%

3,477%

3,742%

3,447%

142

3,054%

2,427%

3,678%

3,479%

3,742%

3,449%

143

3,058%

2,436%

3,679%

3,481%

3,742%

3,451%

144

3,063%

2,445%

3,679%

3,482%

3,742%

3,453%

145

3,068%

2,454%

3,680%

3,484%

3,742%

3,456%

146

3,073%

2,463%

3,680%

3,486%

3,742%

3,458%

147

3,077%

2,472%

3,681%

3,488%

3,742%

3,460%

148

3,082%

2,481%

3,681%

3,490%

3,742%

3,461%

149

3,086%

2,489%

3,682%

3,491%

3,742%

3,463%

150

3,091%

2,497%

3,682%

3,493%

3,742%

3,465%

Term to maturity (in years)

Swiss franc

Australian dollar

Baht

Canadian dollar

Chilean peso

Colombian peso

1

-0,830%

-0,061%

0,050%

0,236%

-0,111%

1,560%

2

-0,810%

-0,011%

0,119%

0,310%

0,185%

2,282%

3

-0,777%

0,065%

0,216%

0,400%

0,520%

2,887%

4

-0,728%

0,165%

0,331%

0,513%

0,864%

3,408%

5

-0,662%

0,287%

0,457%

0,621%

1,190%

3,846%

6

-0,586%

0,420%

0,587%

0,716%

1,492%

4,231%

7

-0,513%

0,551%

0,715%

0,807%

1,784%

4,580%

8

-0,453%

0,677%

0,834%

0,894%

2,070%

4,896%

9

-0,410%

0,795%

0,941%

0,971%

2,335%

5,201%

10

-0,386%

0,902%

1,033%

1,031%

2,565%

5,484%

11

-0,380%

1,000%

1,114%

1,074%

2,756%

5,701%

12

-0,384%

1,085%

1,185%

1,104%

2,914%

5,857%

13

-0,392%

1,157%

1,246%

1,126%

3,048%

5,968%

14

-0,400%

1,218%

1,303%

1,144%

3,162%

6,044%

15

-0,406%

1,268%

1,361%

1,160%

3,260%

6,095%

16

-0,409%

1,309%

1,423%

1,176%

3,346%

6,125%

17

-0,407%

1,344%

1,486%

1,192%

3,421%

6,139%

18

-0,400%

1,374%

1,550%

1,209%

3,487%

6,141%

19

-0,387%

1,400%

1,614%

1,227%

3,546%

6,134%

20

-0,370%

1,424%

1,676%

1,246%

3,599%

6,120%

21

-0,347%

1,446%

1,737%

1,267%

3,647%

6,100%

22

-0,318%

1,464%

1,797%

1,290%

3,690%

6,077%

23

-0,284%

1,478%

1,854%

1,314%

3,729%

6,050%

24

-0,245%

1,486%

1,910%

1,340%

3,764%

6,021%

25

-0,200%

1,488%

1,963%

1,368%

3,797%

5,991%

26

-0,149%

1,484%

2,015%

1,397%

3,827%

5,960%

27

-0,094%

1,478%

2,064%

1,428%

3,854%

5,928%

28

-0,037%

1,473%

2,111%

1,461%

3,880%

5,896%

29

0,022%

1,473%

2,157%

1,496%

3,903%

5,864%

30

0,081%

1,480%

2,200%

1,532%

3,925%

5,833%

31

0,140%

1,495%

2,242%

1,571%

3,946%

5,802%

32

0,198%

1,516%

2,281%

1,610%

3,965%

5,772%

33

0,256%

1,542%

2,319%

1,651%

3,982%

5,742%

34

0,313%

1,572%

2,356%

1,691%

3,999%

5,713%

35

0,368%

1,605%

2,391%

1,732%

4,015%

5,685%

36

0,422%

1,639%

2,424%

1,772%

4,029%

5,658%

37

0,474%

1,675%

2,456%

1,812%

4,043%

5,631%

38

0,525%

1,711%

2,487%

1,851%

4,056%

5,606%

39

0,574%

1,748%

2,517%

1,890%

4,068%

5,581%

40

0,621%

1,784%

2,545%

1,927%

4,080%

5,557%

41

0,667%

1,821%

2,572%

1,964%

4,091%

5,534%

42

0,712%

1,857%

2,598%

1,999%

4,101%

5,512%

43

0,755%

1,892%

2,623%

2,034%

4,111%

5,490%

44

0,796%

1,927%

2,647%

2,068%

4,121%

5,469%

45

0,836%

1,961%

2,670%

2,101%

4,130%

5,449%

46

0,875%

1,995%

2,693%

2,133%

4,138%

5,430%

47

0,912%

2,027%

2,714%

2,164%

4,147%

5,411%

48

0,948%

2,059%

2,735%

2,194%

4,154%

5,393%

49

0,983%

2,090%

2,755%

2,223%

4,162%

5,376%

50

1,017%

2,120%

2,774%

2,251%

4,169%

5,359%

51

1,049%

2,149%

2,792%

2,278%

4,176%

5,343%

52

1,081%

2,178%

2,810%

2,305%

4,182%

5,327%

53

1,111%

2,205%

2,827%

2,330%

4,189%

5,312%

54

1,140%

2,232%

2,844%

2,355%

4,195%

5,297%

55

1,169%

2,258%

2,860%

2,379%

4,200%

5,283%

56

1,196%

2,284%

2,876%

2,403%

4,206%

5,269%

57

1,223%

2,308%

2,891%

2,425%

4,211%

5,256%

58

1,248%

2,332%

2,905%

2,447%

4,217%

5,243%

59

1,273%

2,355%

2,919%

2,469%

4,222%

5,231%

60

1,297%

2,377%

2,933%

2,489%

4,226%

5,219%

61

1,321%

2,399%

2,946%

2,509%

4,231%

5,207%

62

1,343%

2,420%

2,959%

2,529%

4,236%

5,196%

63

1,365%

2,441%

2,971%

2,548%

4,240%

5,185%

64

1,387%

2,461%

2,983%

2,566%

4,244%

5,174%

65

1,407%

2,480%

2,995%

2,584%

4,248%

5,164%

66

1,427%

2,499%

3,006%

2,601%

4,252%

5,154%

67

1,447%

2,517%

3,017%

2,618%

4,256%

5,144%

68

1,466%

2,535%

3,028%

2,634%

4,260%

5,135%

69

1,484%

2,553%

3,038%

2,650%

4,263%

5,125%

70

1,502%

2,569%

3,048%

2,666%

4,267%

5,117%

71

1,519%

2,586%

3,058%

2,681%

4,270%

5,108%

72

1,536%

2,602%

3,068%

2,695%

4,273%

5,099%

73

1,553%

2,617%

3,077%

2,710%

4,276%

5,091%

74

1,569%

2,632%

3,086%

2,724%

4,279%

5,083%

75

1,584%

2,647%

3,095%

2,737%

4,282%

5,075%

76

1,600%

2,662%

3,103%

2,750%

4,285%

5,068%

77

1,614%

2,676%

3,112%

2,763%

4,288%

5,061%

78

1,629%

2,689%

3,120%

2,776%

4,291%

5,053%

79

1,643%

2,703%

3,128%

2,788%

4,294%

5,046%

80

1,657%

2,716%

3,135%

2,800%

4,296%

5,039%

81

1,670%

2,728%

3,143%

2,811%

4,299%

5,033%

82

1,683%

2,741%

3,150%

2,823%

4,301%

5,026%

83

1,696%

2,753%

3,158%

2,834%

4,304%

5,020%

84

1,708%

2,764%

3,165%

2,845%

4,306%

5,014%

85

1,721%

2,776%

3,171%

2,855%

4,308%

5,008%

86

1,733%

2,787%

3,178%

2,866%

4,311%

5,002%

87

1,744%

2,798%

3,185%

2,876%

4,313%

4,996%

88

1,756%

2,809%

3,191%

2,886%

4,315%

4,990%

89

1,767%

2,819%

3,197%

2,895%

4,317%

4,985%

90

1,778%

2,830%

3,203%

2,905%

4,319%

4,979%

91

1,788%

2,840%

3,209%

2,914%

4,321%

4,974%

92

1,799%

2,850%

3,215%

2,923%

4,323%

4,969%

93

1,809%

2,859%

3,221%

2,932%

4,325%

4,964%

94

1,819%

2,869%

3,227%

2,941%

4,327%

4,959%

95

1,828%

2,878%

3,232%

2,949%

4,329%

4,954%

96

1,838%

2,887%

3,238%

2,957%

4,331%

4,949%

97

1,847%

2,896%

3,243%

2,965%

4,332%

4,945%

98

1,857%

2,905%

3,248%

2,973%

4,334%

4,940%

99

1,866%

2,913%

3,253%

2,981%

4,336%

4,936%

100

1,874%

2,921%

3,258%

2,989%

4,337%

4,931%

101

1,883%

2,930%

3,263%

2,996%

4,339%

4,927%

102

1,891%

2,938%

3,268%

3,004%

4,341%

4,923%

103

1,900%

2,945%

3,272%

3,011%

4,342%

4,919%

104

1,908%

2,953%

3,277%

3,018%

4,344%

4,915%

105

1,916%

2,961%

3,281%

3,025%

4,345%

4,911%

106

1,924%

2,968%

3,286%

3,032%

4,347%

4,907%

107

1,931%

2,975%

3,290%

3,038%

4,348%

4,903%

108

1,939%

2,983%

3,294%

3,045%

4,349%

4,899%

109

1,946%

2,990%

3,299%

3,051%

4,351%

4,896%

110

1,954%

2,996%

3,303%

3,058%

4,352%

4,892%

111

1,961%

3,003%

3,307%

3,064%

4,354%

4,889%

112

1,968%

3,010%

3,311%

3,070%

4,355%

4,885%

113

1,975%

3,016%

3,314%

3,076%

4,356%

4,882%

114

1,981%

3,023%

3,318%

3,082%

4,357%

4,878%

115

1,988%

3,029%

3,322%

3,088%

4,359%

4,875%

116

1,995%

3,035%

3,326%

3,094%

4,360%

4,872%

117

2,001%

3,041%

3,329%

3,099%

4,361%

4,869%

118

2,007%

3,047%

3,333%

3,105%

4,362%

4,866%

119

2,014%

3,053%

3,336%

3,110%

4,363%

4,862%

120

2,020%

3,059%

3,340%

3,115%

4,365%

4,859%

121

2,026%

3,065%

3,343%

3,121%

4,366%

4,856%

122

2,032%

3,070%

3,347%

3,126%

4,367%

4,854%

123

2,038%

3,076%

3,350%

3,131%

4,368%

4,851%

124

2,043%

3,081%

3,353%

3,136%

4,369%

4,848%

125

2,049%

3,087%

3,356%

3,141%

4,370%

4,845%

126

2,054%

3,092%

3,359%

3,145%

4,371%

4,842%

127

2,060%

3,097%

3,362%

3,150%

4,372%

4,840%

128

2,065%

3,102%

3,365%

3,155%

4,373%

4,837%

129

2,071%

3,107%

3,368%

3,159%

4,374%

4,834%

130

2,076%

3,112%

3,371%

3,164%

4,375%

4,832%

131

2,081%

3,117%

3,374%

3,168%

4,376%

4,829%

132

2,086%

3,122%

3,377%

3,173%

4,377%

4,827%

133

2,091%

3,126%

3,380%

3,177%

4,378%

4,824%

134

2,096%

3,131%

3,383%

3,181%

4,379%

4,822%

135

2,101%

3,136%

3,385%

3,186%

4,380%

4,819%

136

2,105%

3,140%

3,388%

3,190%

4,381%

4,817%

137

2,110%

3,145%

3,391%

3,194%

4,381%

4,815%

138

2,115%

3,149%

3,393%

3,198%

4,382%

4,812%

139

2,119%

3,153%

3,396%

3,202%

4,383%

4,810%

140

2,124%

3,157%

3,398%

3,206%

4,384%

4,808%

141

2,128%

3,162%

3,401%

3,210%

4,385%

4,806%

142

2,133%

3,166%

3,403%

3,213%

4,386%

4,804%

143

2,137%

3,170%

3,406%

3,217%

4,386%

4,802%

144

2,141%

3,174%

3,408%

3,221%

4,387%

4,799%

145

2,145%

3,178%

3,410%

3,224%

4,388%

4,797%

146

2,149%

3,182%

3,413%

3,228%

4,389%

4,795%

147

2,154%

3,186%

3,415%

3,232%

4,389%

4,793%

148

2,158%

3,189%

3,417%

3,235%

4,390%

4,791%

149

2,161%

3,193%

3,420%

3,239%

4,391%

4,789%

150

2,165%

3,197%

3,422%

3,242%

4,392%

4,787%

Term to maturity (in years)

Hong Kong dollar

Indian rupee

Mexican peso

New Taiwan dollar

New Zealand dollar

Rand

1

0,130%

3,247%

3,976%

0,010%

0,160%

3,034%

2

0,140%

3,702%

3,992%

0,026%

0,188%

3,222%

3

0,185%

4,152%

4,144%

0,044%

0,263%

3,637%

4

0,247%

4,594%

4,309%

0,064%

0,346%

4,089%

5

0,321%

4,987%

4,477%

0,085%

0,445%

4,565%

6

0,405%

5,316%

4,656%

0,107%

0,544%

5,070%

7

0,490%

5,586%

4,831%

0,129%

0,641%

5,570%

8

0,568%

5,785%

4,995%

0,151%

0,734%

6,045%

9

0,639%

5,943%

5,148%

0,173%

0,822%

6,485%

10

0,700%

6,063%

5,294%

0,193%

0,900%

6,885%

11

0,752%

6,150%

5,434%

0,241%

0,968%

7,242%

12

0,801%

6,211%

5,567%

0,313%

1,028%

7,556%

13

0,851%

6,254%

5,690%

0,399%

1,084%

7,827%

14

0,905%

6,283%

5,802%

0,493%

1,137%

8,051%

15

0,964%

6,301%

5,903%

0,590%

1,188%

8,227%

16

1,030%

6,310%

5,991%

0,688%

1,239%

8,352%

17

1,101%

6,314%

6,067%

0,786%

1,291%

8,435%

18

1,173%

6,313%

6,130%

0,881%

1,342%

8,485%

19

1,246%

6,308%

6,179%

0,974%

1,396%

8,508%

20

1,318%

6,300%

6,214%

1,063%

1,450%

8,510%

21

1,389%

6,290%

6,235%

1,149%

1,506%

8,495%

22

1,459%

6,279%

6,244%

1,232%

1,564%

8,468%

23

1,526%

6,266%

6,245%

1,311%

1,621%

8,431%

24

1,591%

6,252%

6,238%

1,387%

1,677%

8,386%

25

1,654%

6,238%

6,225%

1,459%

1,733%

8,335%

26

1,714%

6,224%

6,208%

1,528%

1,787%

8,281%

27

1,772%

6,209%

6,188%

1,594%

1,840%

8,224%

28

1,828%

6,194%

6,165%

1,657%

1,891%

8,165%

29

1,881%

6,179%

6,140%

1,717%

1,940%

8,106%

30

1,932%

6,165%

6,115%

1,774%

1,988%

8,046%

31

1,981%

6,150%

6,088%

1,828%

2,034%

7,987%

32

2,028%

6,136%

6,061%

1,880%

2,078%

7,929%

33

2,073%

6,122%

6,034%

1,930%

2,120%

7,871%

34

2,116%

6,109%

6,007%

1,977%

2,161%

7,815%

35

2,157%

6,095%

5,980%

2,023%

2,201%

7,760%

36

2,197%

6,082%

5,954%

2,066%

2,238%

7,707%

37

2,235%

6,070%

5,928%

2,107%

2,275%

7,655%

38

2,271%

6,058%

5,902%

2,147%

2,309%

7,605%

39

2,305%

6,046%

5,877%

2,185%

2,343%

7,557%

40

2,339%

6,034%

5,853%

2,221%

2,375%

7,510%

41

2,371%

6,023%

5,830%

2,256%

2,406%

7,465%

42

2,401%

6,012%

5,807%

2,290%

2,436%

7,422%

43

2,431%

6,002%

5,785%

2,322%

2,464%

7,380%

44

2,459%

5,992%

5,763%

2,353%

2,492%

7,339%

45

2,486%

5,982%

5,743%

2,382%

2,518%

7,300%

46

2,513%

5,973%

5,723%

2,411%

2,543%

7,263%

47

2,538%

5,963%

5,703%

2,438%

2,568%

7,227%

48

2,562%

5,955%

5,684%

2,464%

2,592%

7,192%

49

2,585%

5,946%

5,666%

2,490%

2,614%

7,158%

50

2,608%

5,938%

5,649%

2,514%

2,636%

7,126%

51

2,630%

5,930%

5,632%

2,538%

2,657%

7,094%

52

2,650%

5,922%

5,615%

2,560%

2,678%

7,064%

53

2,671%

5,914%

5,600%

2,582%

2,697%

7,035%

54

2,690%

5,907%

5,584%

2,603%

2,716%

7,007%

55

2,709%

5,900%

5,569%

2,624%

2,735%

6,980%

56

2,727%

5,893%

5,555%

2,643%

2,752%

6,953%

57

2,745%

5,886%

5,541%

2,662%

2,770%

6,928%

58

2,762%

5,880%

5,528%

2,681%

2,786%

6,904%

59

2,778%

5,874%

5,515%

2,699%

2,802%

6,880%

60

2,794%

5,868%

5,502%

2,716%

2,818%

6,857%

61

2,810%

5,862%

5,490%

2,733%

2,833%

6,835%

62

2,825%

5,856%

5,478%

2,749%

2,847%

6,813%

63

2,839%

5,851%

5,467%

2,764%

2,861%

6,792%

64

2,853%

5,845%

5,456%

2,780%

2,875%

6,772%

65

2,867%

5,840%

5,445%

2,794%

2,889%

6,753%

66

2,880%

5,835%

5,434%

2,809%

2,901%

6,734%

67

2,893%

5,830%

5,424%

2,823%

2,914%

6,715%

68

2,905%

5,825%

5,414%

2,836%

2,926%

6,697%

69

2,917%

5,821%

5,405%

2,849%

2,938%

6,680%

70

2,929%

5,816%

5,395%

2,862%

2,950%

6,663%

71

2,941%

5,812%

5,386%

2,874%

2,961%

6,646%

72

2,952%

5,807%

5,377%

2,887%

2,972%

6,630%

73

2,963%

5,803%

5,369%

2,898%

2,982%

6,615%

74

2,973%

5,799%

5,360%

2,910%

2,992%

6,600%

75

2,984%

5,795%

5,352%

2,921%

3,003%

6,585%

76

2,994%

5,791%

5,344%

2,932%

3,012%

6,571%

77

3,003%

5,787%

5,337%

2,942%

3,022%

6,557%

78

3,013%

5,784%

5,329%

2,953%

3,031%

6,543%

79

3,022%

5,780%

5,322%

2,963%

3,040%

6,530%

80

3,031%

5,777%

5,315%

2,972%

3,049%

6,517%

81

3,040%

5,773%

5,308%

2,982%

3,058%

6,504%

82

3,049%

5,770%

5,301%

2,991%

3,066%

6,492%

83

3,057%

5,767%

5,294%

3,000%

3,074%

6,480%

84

3,065%

5,764%

5,288%

3,009%

3,082%

6,468%

85

3,073%

5,760%

5,281%

3,018%

3,090%

6,457%

86

3,081%

5,757%

5,275%

3,026%

3,098%

6,446%

87

3,089%

5,755%

5,269%

3,035%

3,105%

6,435%

88

3,096%

5,752%

5,263%

3,043%

3,112%

6,424%

89

3,104%

5,749%

5,257%

3,051%

3,120%

6,414%

90

3,111%

5,746%

5,252%

3,058%

3,127%

6,404%

91

3,118%

5,743%

5,246%

3,066%

3,133%

6,394%

92

3,125%

5,741%

5,241%

3,073%

3,140%

6,384%

93

3,131%

5,738%

5,236%

3,081%

3,147%

6,374%

94

3,138%

5,736%

5,230%

3,088%

3,153%

6,365%

95

3,144%

5,733%

5,225%

3,095%

3,159%

6,356%

96

3,151%

5,731%

5,220%

3,101%

3,165%

6,347%

97

3,157%

5,728%

5,215%

3,108%

3,171%

6,338%

98

3,163%

5,726%

5,211%

3,115%

3,177%

6,329%

99

3,169%

5,724%

5,206%

3,121%

3,183%

6,321%

100

3,175%

5,721%

5,201%

3,127%

3,189%

6,313%

101

3,180%

5,719%

5,197%

3,133%

3,194%

6,305%

102

3,186%

5,717%

5,193%

3,140%

3,200%

6,297%

103

3,191%

5,715%

5,188%

3,145%

3,205%

6,289%

104

3,197%

5,713%

5,184%

3,151%

3,210%

6,281%

105

3,202%

5,711%

5,180%

3,157%

3,215%

6,274%

106

3,207%

5,709%

5,176%

3,162%

3,220%

6,267%

107

3,212%

5,707%

5,172%

3,168%

3,225%

6,259%

108

3,217%

5,705%

5,168%

3,173%

3,230%

6,252%

109

3,222%

5,703%

5,164%

3,179%

3,235%

6,245%

110

3,227%

5,701%

5,160%

3,184%

3,240%

6,239%

111

3,231%

5,699%

5,157%

3,189%

3,244%

6,232%

112

3,236%

5,698%

5,153%

3,194%

3,249%

6,225%

113

3,241%

5,696%

5,149%

3,199%

3,253%

6,219%

114

3,245%

5,694%

5,146%

3,204%

3,257%

6,213%

115

3,249%

5,693%

5,142%

3,208%

3,262%

6,206%

116

3,254%

5,691%

5,139%

3,213%

3,266%

6,200%

117

3,258%

5,689%

5,136%

3,218%

3,270%

6,194%

118

3,262%

5,688%

5,132%

3,222%

3,274%

6,188%

119

3,266%

5,686%

5,129%

3,226%

3,278%

6,183%

120

3,270%

5,685%

5,126%

3,231%

3,282%

6,177%

121

3,274%

5,683%

5,123%

3,235%

3,286%

6,171%

122

3,278%

5,681%

5,120%

3,239%

3,290%

6,166%

123

3,282%

5,680%

5,117%

3,243%

3,293%

6,160%

124

3,286%

5,679%

5,114%

3,248%

3,297%

6,155%

125

3,289%

5,677%

5,111%

3,252%

3,301%

6,150%

126

3,293%

5,676%

5,108%

3,256%

3,304%

6,145%

127

3,297%

5,674%

5,105%

3,259%

3,308%

6,139%

128

3,300%

5,673%

5,103%

3,263%

3,311%

6,134%

129

3,304%

5,672%

5,100%

3,267%

3,315%

6,130%

130

3,307%

5,670%

5,097%

3,271%

3,318%

6,125%

131

3,310%

5,669%

5,094%

3,274%

3,321%

6,120%

132

3,314%

5,668%

5,092%

3,278%

3,325%

6,115%

133

3,317%

5,666%

5,089%

3,281%

3,328%

6,111%

134

3,320%

5,665%

5,087%

3,285%

3,331%

6,106%

135

3,323%

5,664%

5,084%

3,288%

3,334%

6,101%

136

3,327%

5,663%

5,082%

3,292%

3,337%

6,097%

137

3,330%

5,662%

5,079%

3,295%

3,340%

6,093%

138

3,333%

5,660%

5,077%

3,298%

3,343%

6,088%

139

3,336%

5,659%

5,075%

3,302%

3,346%

6,084%

140

3,339%

5,658%

5,072%

3,305%

3,349%

6,080%

141

3,342%

5,657%

5,070%

3,308%

3,352%

6,076%

142

3,344%

5,656%

5,068%

3,311%

3,354%

6,072%

143

3,347%

5,655%

5,065%

3,314%

3,357%

6,068%

144

3,350%

5,654%

5,063%

3,317%

3,360%

6,064%

145

3,353%

5,653%

5,061%

3,320%

3,363%

6,060%

146

3,355%

5,652%

5,059%

3,323%

3,365%

6,056%

147

3,358%

5,651%

5,057%

3,326%

3,368%

6,052%

148

3,361%

5,650%

5,055%

3,329%

3,370%

6,049%

149

3,363%

5,649%

5,053%

3,332%

3,373%

6,045%

150

3,366%

5,648%

5,051%

3,334%

3,375%

6,041%

Term to maturity (in years)

Real

Renminbi-yuan

Ringgit

Russian rouble

Singapore dollar

South Korean won

1

2,604%

2,147%

1,413%

3,491%

0,000%

0,383%

2

3,922%

2,250%

1,519%

4,070%

0,038%

0,504%

3

4,786%

2,339%

1,630%

4,487%

0,095%

0,602%

4

5,328%

2,424%

1,754%

4,827%

0,180%

0,699%

5

5,732%

2,512%

1,877%

5,098%

0,286%

0,770%

6

6,053%

2,605%

2,004%

5,318%

0,404%

0,811%

7

6,327%

2,697%

2,139%

5,499%

0,516%

0,846%

8

6,581%

2,784%

2,284%

5,648%

0,611%

0,888%

9

6,800%

2,866%

2,437%

5,777%

0,683%

0,921%

10

7,010%

2,942%

2,597%

5,902%

0,731%

0,934%

11

7,168%

3,011%

2,752%

6,035%

0,756%

0,923%

12

7,276%

3,074%

2,897%

6,171%

0,768%

0,901%

13

7,346%

3,132%

3,030%

6,298%

0,775%

0,875%

14

7,389%

3,187%

3,151%

6,410%

0,782%

0,853%

15

7,410%

3,237%

3,262%

6,498%

0,792%

0,836%

16

7,416%

3,285%

3,363%

6,558%

0,806%

0,829%

17

7,409%

3,329%

3,453%

6,595%

0,827%

0,831%

18

7,392%

3,370%

3,533%

6,613%

0,856%

0,843%

19

7,369%

3,410%

3,602%

6,616%

0,891%

0,866%

20

7,341%

3,446%

3,662%

6,609%

0,935%

0,900%

21

7,308%

3,481%

3,711%

6,592%

0,987%

0,944%

22

7,274%

3,514%

3,751%

6,569%

1,044%

0,996%

23

7,237%

3,545%

3,784%

6,541%

1,105%

1,053%

24

7,199%

3,574%

3,811%

6,510%

1,167%

1,113%

25

7,160%

3,602%

3,833%

6,475%

1,230%

1,175%

26

7,122%

3,629%

3,851%

6,439%

1,293%

1,237%

27

7,083%

3,654%

3,865%

6,402%

1,356%

1,299%

28

7,045%

3,678%

3,877%

6,364%

1,417%

1,361%

29

7,008%

3,701%

3,886%

6,326%

1,477%

1,421%

30

6,971%

3,722%

3,893%

6,288%

1,535%

1,480%

31

6,936%

3,743%

3,898%

6,250%

1,592%

1,537%

32

6,901%

3,763%

3,902%

6,213%

1,646%

1,592%

33

6,867%

3,782%

3,905%

6,177%

1,699%

1,646%

34

6,834%

3,800%

3,907%

6,141%

1,750%

1,698%

35

6,803%

3,817%

3,908%

6,107%

1,799%

1,748%

36

6,772%

3,834%

3,909%

6,073%

1,847%

1,796%

37

6,742%

3,849%

3,909%

6,040%

1,892%

1,843%

38

6,714%

3,865%

3,908%

6,009%

1,936%

1,888%

39

6,686%

3,879%

3,907%

5,978%

1,978%

1,931%

40

6,659%

3,893%

3,906%

5,948%

2,018%

1,972%

41

6,634%

3,906%

3,905%

5,920%

2,057%

2,012%

42

6,609%

3,919%

3,903%

5,892%

2,095%

2,051%

43

6,585%

3,932%

3,902%

5,866%

2,131%

2,088%

44

6,562%

3,944%

3,900%

5,840%

2,165%

2,123%

45

6,540%

3,955%

3,898%

5,815%

2,199%

2,157%

46

6,519%

3,966%

3,896%

5,791%

2,231%

2,190%

47

6,498%

3,977%

3,894%

5,768%

2,262%

2,222%

48

6,478%

3,987%

3,892%

5,746%

2,292%

2,252%

49

6,459%

3,997%

3,890%

5,724%

2,320%

2,282%

50

6,440%

4,006%

3,888%

5,703%

2,348%

2,310%

51

6,422%

4,016%

3,885%

5,683%

2,374%

2,338%

52

6,405%

4,024%

3,883%

5,664%

2,400%

2,364%

53

6,389%

4,033%

3,881%

5,645%

2,425%

2,389%

54

6,372%

4,041%

3,879%

5,627%

2,449%

2,414%

55

6,357%

4,049%

3,877%

5,610%

2,472%

2,438%

56

6,342%

4,057%

3,875%

5,593%

2,494%

2,461%

57

6,327%

4,065%

3,873%

5,577%

2,516%

2,483%

58

6,313%

4,072%

3,872%

5,561%

2,537%

2,504%

59

6,300%

4,079%

3,870%

5,546%

2,557%

2,525%

60

6,286%

4,086%

3,868%

5,531%

2,577%

2,545%

61

6,274%

4,092%

3,866%

5,516%

2,596%

2,565%

62

6,261%

4,099%

3,864%

5,502%

2,614%

2,584%

63

6,249%

4,105%

3,863%

5,489%

2,632%

2,602%

64

6,238%

4,111%

3,861%

5,476%

2,649%

2,620%

65

6,226%

4,117%

3,859%

5,463%

2,666%

2,637%

66

6,215%

4,123%

3,858%

5,451%

2,682%

2,654%

67

6,205%

4,128%

3,856%

5,439%

2,698%

2,670%

68

6,194%

4,133%

3,855%

5,427%

2,713%

2,686%

69

6,184%

4,139%

3,853%

5,416%

2,728%

2,701%

70

6,175%

4,144%

3,852%

5,405%

2,743%

2,716%

71

6,165%

4,149%

3,850%

5,395%

2,757%

2,730%

72

6,156%

4,154%

3,849%

5,384%

2,770%

2,744%

73

6,147%

4,158%

3,848%

5,374%

2,784%

2,758%

74

6,138%

4,163%

3,847%

5,364%

2,797%

2,771%

75

6,130%

4,167%

3,845%

5,355%

2,809%

2,784%

76

6,121%

4,172%

3,844%

5,346%

2,822%

2,797%

77

6,113%

4,176%

3,843%

5,337%

2,834%

2,809%

78

6,105%

4,180%

3,842%

5,328%

2,845%

2,821%

79

6,098%

4,184%

3,841%

5,319%

2,857%

2,833%

80

6,090%

4,188%

3,839%

5,311%

2,868%

2,844%

81

6,083%

4,192%

3,838%

5,303%

2,879%

2,855%

82

6,076%

4,195%

3,837%

5,295%

2,889%

2,866%

83

6,069%

4,199%

3,836%

5,287%

2,900%

2,877%

84

6,062%

4,203%

3,835%

5,279%

2,910%

2,887%

85

6,056%

4,206%

3,834%

5,272%

2,920%

2,897%

86

6,049%

4,210%

3,833%

5,265%

2,929%

2,907%

87

6,043%

4,213%

3,832%

5,257%

2,939%

2,917%

88

6,037%

4,216%

3,831%

5,251%

2,948%

2,926%

89

6,031%

4,219%

3,830%

5,244%

2,957%

2,935%

90

6,025%

4,222%

3,830%

5,237%

2,965%

2,944%

91

6,019%

4,225%

3,829%

5,231%

2,974%

2,953%

92

6,013%

4,228%

3,828%

5,224%

2,982%

2,962%

93

6,008%

4,231%

3,827%

5,218%

2,991%

2,970%

94

6,002%

4,234%

3,826%

5,212%

2,999%

2,979%

95

5,997%

4,237%

3,825%

5,206%

3,007%

2,987%

96

5,992%

4,240%

3,825%

5,200%

3,014%

2,995%

97

5,987%

4,242%

3,824%

5,195%

3,022%

3,002%

98

5,982%

4,245%

3,823%

5,189%

3,029%

3,010%

99

5,977%

4,248%

3,822%

5,184%

3,037%

3,017%

100

5,972%

4,250%

3,822%

5,178%

3,044%

3,025%

101

5,967%

4,253%

3,821%

5,173%

3,051%

3,032%

102

5,963%

4,255%

3,820%

5,168%

3,057%

3,039%

103

5,958%

4,257%

3,819%

5,163%

3,064%

3,046%

104

5,954%

4,260%

3,819%

5,158%

3,071%

3,052%

105

5,950%

4,262%

3,818%

5,153%

3,077%

3,059%

106

5,945%

4,264%

3,818%

5,148%

3,083%

3,066%

107

5,941%

4,266%

3,817%

5,144%

3,090%

3,072%

108

5,937%

4,269%

3,816%

5,139%

3,096%

3,078%

109

5,933%

4,271%

3,816%

5,135%

3,102%

3,084%

110

5,929%

4,273%

3,815%

5,130%

3,108%

3,090%

111

5,925%

4,275%

3,814%

5,126%

3,113%

3,096%

112

5,921%

4,277%

3,814%

5,122%

3,119%

3,102%

113

5,918%

4,279%

3,813%

5,117%

3,125%

3,108%

114

5,914%

4,281%

3,813%

5,113%

3,130%

3,113%

115

5,910%

4,283%

3,812%

5,109%

3,135%

3,119%

116

5,907%

4,284%

3,812%

5,105%

3,141%

3,124%

117

5,903%

4,286%

3,811%

5,101%

3,146%

3,130%

118

5,900%

4,288%

3,811%

5,098%

3,151%

3,135%

119

5,897%

4,290%

3,810%

5,094%

3,156%

3,140%

120

5,893%

4,292%

3,810%

5,090%

3,161%

3,145%

121

5,890%

4,293%

3,809%

5,086%

3,166%

3,150%

122

5,887%

4,295%

3,809%

5,083%

3,171%

3,155%

123

5,884%

4,297%

3,808%

5,079%

3,175%

3,160%

124

5,881%

4,298%

3,808%

5,076%

3,180%

3,165%

125

5,877%

4,300%

3,807%

5,072%

3,185%

3,169%

126

5,874%

4,302%

3,807%

5,069%

3,189%

3,174%

127

5,872%

4,303%

3,806%

5,066%

3,193%

3,178%

128

5,869%

4,305%

3,806%

5,063%

3,198%

3,183%

129

5,866%

4,306%

3,805%

5,059%

3,202%

3,187%

130

5,863%

4,308%

3,805%

5,056%

3,206%

3,192%

131

5,860%

4,309%

3,805%

5,053%

3,210%

3,196%

132

5,857%

4,311%

3,804%

5,050%

3,214%

3,200%

133

5,855%

4,312%

3,804%

5,047%

3,218%

3,204%

134

5,852%

4,313%

3,803%

5,044%

3,222%

3,208%

135

5,849%

4,315%

3,803%

5,041%

3,226%

3,212%

136

5,847%

4,316%

3,803%

5,038%

3,230%

3,216%

137

5,844%

4,317%

3,802%

5,035%

3,234%

3,220%

138

5,842%

4,319%

3,802%

5,033%

3,238%

3,224%

139

5,839%

4,320%

3,801%

5,030%

3,241%

3,228%

140

5,837%

4,321%

3,801%

5,027%

3,245%

3,231%

141

5,835%

4,323%

3,801%

5,024%

3,249%

3,235%

142

5,832%

4,324%

3,800%

5,022%

3,252%

3,239%

143

5,830%

4,325%

3,800%

5,019%

3,256%

3,242%

144

5,828%

4,326%

3,800%

5,017%

3,259%

3,246%

145

5,825%

4,328%

3,799%

5,014%

3,262%

3,249%

146

5,823%

4,329%

3,799%

5,012%

3,266%

3,253%

147

5,821%

4,330%

3,799%

5,009%

3,269%

3,256%

148

5,819%

4,331%

3,798%

5,007%

3,272%

3,259%

149

5,817%

4,332%

3,798%

5,004%

3,275%

3,263%

150

5,814%

4,333%

3,798%

5,002%

3,279%

3,266%

Term to maturity (in years)

Turkish lira

US dollar

Yen

1

15,049%

0,023%

-0,151%

2

14,368%

0,028%

-0,151%

3

13,669%

0,070%

-0,152%

4

13,128%

0,155%

-0,145%

5

12,713%

0,260%

-0,137%

6

12,431%

0,376%

-0,128%

7

12,279%

0,489%

-0,113%

8

12,241%

0,594%

-0,094%

9

12,232%

0,687%

-0,073%

10

12,187%

0,769%

-0,049%

11

12,103%

0,845%

-0,024%

12

11,993%

0,914%

0,001%

13

11,864%

0,970%

0,028%

14

11,721%

1,016%

0,057%

15

11,569%

1,056%

0,086%

16

11,411%

1,089%

0,115%

17

11,251%

1,118%

0,143%

18

11,089%

1,143%

0,167%

19

10,928%

1,164%

0,186%

20

10,769%

1,180%

0,198%

21

10,613%

1,194%

0,204%

22

10,461%

1,205%

0,207%

23

10,312%

1,216%

0,210%

24

10,169%

1,227%

0,214%

25

10,030%

1,240%

0,223%

26

9,896%

1,254%

0,235%

27

9,767%

1,266%

0,252%

28

9,643%

1,274%

0,276%

29

9,524%

1,277%

0,305%

30

9,410%

1,271%

0,341%

31

9,301%

1,257%

0,383%

32

9,196%

1,238%

0,431%

33

9,096%

1,215%

0,481%

34

9,000%

1,192%

0,534%

35

8,909%

1,168%

0,588%

36

8,821%

1,146%

0,643%

37

8,737%

1,127%

0,699%

38

8,657%

1,109%

0,753%

39

8,580%

1,095%

0,808%

40

8,506%

1,084%

0,861%

41

8,436%

1,076%

0,913%

42

8,368%

1,071%

0,965%

43

8,303%

1,069%

1,015%

44

8,241%

1,071%

1,064%

45

8,181%

1,076%

1,111%

46

8,124%

1,083%

1,157%

47

8,069%

1,094%

1,202%

48

8,016%

1,108%

1,246%

49

7,965%

1,125%

1,288%

50

7,916%

1,145%

1,329%

51

7,869%

1,169%

1,369%

52

7,824%

1,194%

1,407%

53

7,780%

1,222%

1,444%

54

7,738%

1,251%

1,481%

55

7,697%

1,281%

1,516%

56

7,658%

1,312%

1,549%

57

7,620%

1,343%

1,582%

58

7,583%

1,374%

1,614%

59

7,548%

1,406%

1,645%

60

7,514%

1,437%

1,675%

61

7,480%

1,468%

1,704%

62

7,448%

1,499%

1,732%

63

7,417%

1,530%

1,760%

64

7,387%

1,560%

1,786%

65

7,358%

1,590%

1,812%

66

7,330%

1,619%

1,837%

67

7,302%

1,648%

1,862%

68

7,275%

1,676%

1,885%

69

7,250%

1,704%

1,908%

70

7,224%

1,731%

1,931%

71

7,200%

1,758%

1,953%

72

7,176%

1,784%

1,974%

73

7,153%

1,809%

1,995%

74

7,131%

1,834%

2,015%

75

7,109%

1,859%

2,034%

76

7,087%

1,883%

2,053%

77

7,067%

1,906%

2,072%

78

7,046%

1,929%

2,090%

79

7,027%

1,951%

2,108%

80

7,008%

1,973%

2,125%

81

6,989%

1,994%

2,142%

82

6,971%

2,015%

2,158%

83

6,953%

2,036%

2,174%

84

6,935%

2,056%

2,190%

85

6,918%

2,075%

2,205%

86

6,902%

2,094%

2,220%

87

6,885%

2,113%

2,235%

88

6,870%

2,131%

2,249%

89

6,854%

2,149%

2,263%

90

6,839%

2,167%

2,277%

91

6,824%

2,184%

2,290%

92

6,810%

2,201%

2,303%

93

6,796%

2,217%

2,316%

94

6,782%

2,233%

2,328%

95

6,768%

2,249%

2,341%

96

6,755%

2,264%

2,353%

97

6,742%

2,280%

2,364%

98

6,729%

2,294%

2,376%

99

6,717%

2,309%

2,387%

100

6,704%

2,323%

2,398%

101

6,692%

2,337%

2,409%

102

6,681%

2,351%

2,420%

103

6,669%

2,365%

2,430%

104

6,658%

2,378%

2,440%

105

6,647%

2,391%

2,451%

106

6,636%

2,403%

2,460%

107

6,625%

2,416%

2,470%

108

6,615%

2,428%

2,480%

109

6,604%

2,440%

2,489%

110

6,594%

2,452%

2,498%

111

6,584%

2,464%

2,507%

112

6,575%

2,475%

2,516%

113

6,565%

2,486%

2,524%

114

6,556%

2,497%

2,533%

115

6,546%

2,508%

2,541%

116

6,537%

2,519%

2,550%

117

6,529%

2,529%

2,558%

118

6,520%

2,539%

2,566%

119

6,511%

2,550%

2,573%

120

6,503%

2,560%

2,581%

121

6,494%

2,569%

2,589%

122

6,486%

2,579%

2,596%

123

6,478%

2,588%

2,603%

124

6,470%

2,598%

2,611%

125

6,462%

2,607%

2,618%

126

6,455%

2,616%

2,625%

127

6,447%

2,625%

2,632%

128

6,440%

2,634%

2,638%

129

6,432%

2,642%

2,645%

130

6,425%

2,651%

2,652%

131

6,418%

2,659%

2,658%

132

6,411%

2,667%

2,664%

133

6,404%

2,675%

2,671%

134

6,397%

2,683%

2,677%

135

6,391%

2,691%

2,683%

136

6,384%

2,699%

2,689%

137

6,378%

2,706%

2,695%

138

6,371%

2,714%

2,701%

139

6,365%

2,721%

2,706%

140

6,359%

2,729%

2,712%

141

6,353%

2,736%

2,717%

142

6,347%

2,743%

2,723%

143

6,341%

2,750%

2,728%

144

6,335%

2,757%

2,734%

145

6,329%

2,764%

2,739%

146

6,323%

2,771%

2,744%

147

6,318%

2,777%

2,749%

148

6,312%

2,784%

2,754%

149

6,307%

2,790%

2,759%

150

6,301%

2,797%

2,764%

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)

Austria

Belgium

Bulgaria

Croatia

Czech Republic

Cyprus

Denmark

1

0

0

31

5

0

24

1

2

0

0

38

5

0

40

0

3

0

1

43

5

1

45

0

4

0

2

46

5

3

46

0

5

0

3

50

5

4

50

0

6

1

4

53

5

6

52

0

7

2

5

56

5

8

53

0

8

2

6

58

5

11

53

0

9

3

7

59

5

12

50

0

10

3

8

61

5

13

49

0

Duration (in years)

Estonia

Finland

France

Germany

Greece

Hungary

Ireland

1

0

0

0

0

381

4

15

2

0

0

0

0

237

4

22

3

1

0

0

0

210

4

24

4

2

0

0

0

184

4

25

5

3

0

0

0

168

4

26

6

4

0

0

0

166

4

28

7

5

0

0

0

163

4

28

8

6

0

1

0

167

2

29

9

7

0

2

0

169

1

30

10

8

0

3

0

171

4

30

Duration (in years)

Italy

Latvia

Lithuania

Luxembourg

Malta

Netherlands

Poland

1

6

5

5

0

15

0

4

2

14

10

11

0

22

0

4

3

19

14

15

0

24

0

4

4

22

15

16

0

25

0

4

5

24

17

19

0

26

0

4

6

25

19

20

0

28

0

4

7

27

20

22

0

28

0

4

8

28

21

23

1

29

0

4

9

30

22

24

2

30

0

4

10

31

23

25

2

30

0

4

Duration (in years)

Portugal

Romania

Slovakia

Slovenia

Spain

Sweden

United Kingdom

1

24

9

12

18

5

0

0

2

40

16

15

21

11

0

0

3

45

19

17

25

15

0

0

4

46

20

19

29

16

0

0

5

50

21

20

33

19

0

0

6

52

22

21

36

20

0

0

7

53

24

23

37

22

0

0

8

53

25

24

39

23

0

0

9

50

27

24

39

24

0

0

10

49

24

25

39

25

0

0

Duration (in years)

Liechtenstein

Norway

Switzerland

Australia

Brazil

Canada

Chile

1

0

0

0

0

12

0

17

2

0

0

0

0

12

0

19

3

0

0

0

0

12

0

18

4

0

0

0

0

12

0

17

5

0

0

0

0

12

0

16

6

0

0

0

0

12

0

15

7

0

0

0

0

12

0

14

8

0

0

0

0

12

0

15

9

0

0

0

0

12

0

16

10

0

0

0

0

12

0

13

Duration (in years)

China

Colombia

Hong Kong

India

Japan

Malaysia

Mexico

1

0

11

0

10

0

0

9

2

0

18

0

10

0

0

9

3

2

28

0

10

0

0

10

4

3

36

0

10

0

0

10

5

3

37

0

10

0

0

10

6

3

41

0

10

0

0

10

7

4

42

0

10

0

0

10

8

8

40

0

10

0

0

10

9

5

38

0

10

0

0

10

10

5

40

0

10

1

0

10

Duration (in years)

New Zealand

Russia

Singapore

South Africa

South Korea

Thailand

Taiwan

1

0

0

0

6

9

1

4

2

0

0

0

8

12

0

4

3

0

0

0

9

12

0

4

4

0

0

0

9

14

0

4

5

0

1

0

9

15

0

4

6

0

5

0

10

15

0

4

7

0

7

0

12

16

0

4

8

0

11

0

13

16

0

4

9

0

17

0

14

16

0

4

10

0

17

0

15

16

0

4

Duration (in years)

United States

1

0

2

0

3

0

4

0

5

0

6

0

7

0

8

0

9

0

10

0

2. Exposures to financial institutions

2.1 Euro

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

6

20

44

117

230

542

1183

2

6

20

44

117

230

542

952

3

8

22

45

110

226

538

776

4

9

25

48

112

225

537

643

5

10

27

53

116

225

537

541

6

11

29

56

120

225

537

537

7

12

32

58

123

225

537

537

8

12

32

58

122

225

537

537

9

13

33

58

121

225

537

537

10

13

34

58

121

225

537

537

11

14

36

59

121

225

537

537

12

14

36

59

121

225

537

537

13

15

37

59

121

225

537

537

14

15

37

59

121

225

537

537

15

15

37

59

121

225

537

537

16

15

37

59

121

225

537

537

17

15

37

59

121

225

537

537

18

15

37

59

121

225

537

537

19

15

37

59

121

225

537

537

20

16

37

59

121

225

537

537

21

16

37

59

121

225

537

537

22

17

37

59

121

225

537

537

23

17

37

59

121

225

537

537

24

18

37

59

121

225

537

537

25

18

37

59

121

225

537

537

26

20

37

59

121

225

537

537

27

21

37

59

121

225

537

537

28

21

37

59

121

225

537

537

29

22

37

59

121

225

537

537

30

22

37

59

121

225

537

537

2.2 Czech koruna

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

14

27

51

124

237

549

1201

2

16

29

53

126

239

551

969

3

17

32

55

120

236

548

792

4

18

34

57

122

235

547

657

5

19

36

62

125

234

546

553

6

20

38

65

129

233

545

545

7

20

39

66

131

233

545

545

8

19

39

65

129

232

544

544

9

19

40

65

128

232

544

544

10

19

40

64

127

231

543

543

11

19

41

64

127

231

543

543

12

19

41

63

126

230

542

542

13

19

41

63

125

229

541

541

14

19

41

62

125

229

541

541

15

18

40

62

125

228

540

540

16

17

40

61

124

228

540

540

17

17

40

61

124

228

540

540

18

17

40

61

124

228

540

540

19

17

40

61

124

228

540

540

20

18

40

62

124

228

540

540

21

18

40

62

125

229

540

540

22

18

41

62

125

229

541

541

23

18

41

62

125

229

541

541

24

19

41

62

125

229

541

541

25

20

41

62

125

229

541

541

26

20

41

62

125

229

541

541

27

21

41

62

125

229

541

541

28

21

41

62

125

229

541

541

29

22

41

62

125

229

541

541

30

22

41

62

125

229

541

541

2.3 Danish krone

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

6

20

44

117

230

542

1182

2

6

20

44

117

230

542

951

3

7

22

45

110

226

538

776

4

9

24

48

112

225

537

643

5

10

27

53

115

225

537

541

6

11

29

56

120

225

537

537

7

12

31

58

123

225

537

537

8

12

32

58

122

225

537

537

9

12

33

58

121

225

537

537

10

13

34

58

121

225

537

537

11

14

35

58

121

225

537

537

12

14

36

58

121

225

537

537

13

14

37

58

121

225

537

537

14

15

37

58

121

225

537

537

15

15

37

58

121

225

537

537

16

15

37

58

121

225

537

537

17

15

37

58

121

225

537

537

18

15

37

58

121

225

537

537

19

15

37

58

121

225

537

537

20

16

37

58

121

225

537

537

21

16

37

58

121

225

537

537

22

17

37

58

121

225

537

537

23

17

37

58

121

225

537

537

24

18

37

58

121

225

537

537

25

18

37

58

121

225

537

537

26

20

37

58

121

225

537

537

27

21

37

58

121

225

537

537

28

21

37

58

121

225

537

537

29

22

37

58

121

225

537

537

30

22

37

58

121

225

537

537

2.4 Forint

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

79

92

116

189

302

614

1200

2

75

89

113

185

299

610

968

3

79

94

117

182

298

610

792

4

78

94

117

182

295

607

658

5

78

95

120

183

292

604

604

6

77

95

122

186

291

603

603

7

76

95

122

187

289

601

601

8

75

95

121

184

288

600

600

9

74

95

120

183

287

599

599

10

71

93

117

179

283

595

595

11

70

91

114

177

281

593

593

12

69

91

113

176

280

592

592

13

68

91

112

175

279

591

591

14

68

90

112

175

278

590

590

15

68

90

112

174

278

590

590

16

67

90

111

174

278

590

590

17

67

89

111

173

277

589

589

18

66

89

110

173

277

589

589

19

66

88

109

172

276

588

588

20

65

87

109

171

275

587

587

21

64

87

108

171

275

587

587

22

63

86

107

170

274

586

586

23

63

85

106

169

273

585

585

24

62

84

106

168

272

584

584

25

61

83

104

167

271

583

583

26

60

82

103

166

270

582

582

27

59

81

102

165

269

581

581

28

57

80

101

164

268

580

580

29

56

79

100

163

267

579

579

30

55

78

99

162

266

578

578

2.5 Krona

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

10

24

48

120

234

545

1192

2

12

25

50

122

235

547

959

3

14

29

52

117

233

545

783

4

16

32

55

119

232

544

648

5

17

34

60

123

232

544

546

6

18

37

64

128

232

544

544

7

19

38

65

130

232

544

544

8

19

39

65

128

232

544

544

9

19

39

64

127

231

543

543

10

19

40

64

127

231

543

543

11

19

41

64

127

231

542

542

12

20

42

64

126

230

542

542

13

20

42

64

126

230

542

542

14

20

42

64

126

230

542

542

15

20

42

64

126

230

542

542

16

19

42

63

126

230

542

542

17

20

42

64

126

230

542

542

18

20

42

64

126

230

542

542

19

20

42

64

126

230

542

542

20

20

43

64

127

231

543

543

21

21

43

65

127

231

543

543

22

21

43

65

127

231

543

543

23

21

43

65

128

232

543

543

24

21

44

65

128

232

544

544

25

21

44

65

128

232

544

544

26

21

44

65

128

232

544

544

27

21

43

65

128

231

543

543

28

21

43

65

127

231

543

543

29

22

43

65

127

231

543

543

30

22

43

65

127

231

543

543

2.6 Kuna

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

48

62

86

159

272

584

1189

2

52

66

90

162

276

587

959

3

57

72

95

160

276

588

784

4

61

77

100

165

277

589

650

5

63

80

106

169

278

590

590

6

64

82

109

173

278

590

590

7

65

84

111

175

278

590

590

8

64

84

110

173

277

589

589

9

63

84

108

171

275

587

587

10

62

83

107

170

274

586

586

11

61

83

106

169

273

585

585

12

60

83

105

167

271

583

583

13

59

82

104

166

270

582

582

14

58

81

102

165

269

581

581

15

57

80

101

164

268

580

580

16

56

79

100

163

267

579

579

17

56

78

100

162

266

578

578

18

55

77

99

162

265

577

577

19

54

77

98

161

265

577

577

20

54

76

98

160

264

576

576

21

53

76

97

160

264

576

576

22

53

75

97

159

263

575

575

23

52

74

96

158

262

574

574

24

51

73

95

158

261

573

573

25

50

73

94

157

261

573

573

26

49

72

93

156

260

572

572

27

49

71

92

155

259

571

571

28

48

70

92

154

258

570

570

29

47

69

91

153

257

569

569

30

46

69

90

153

257

568

568

2.7 Lev

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

6

19

43

116

229

541

1182

2

6

19

43

116

229

541

951

3

7

21

44

109

225

537

776

4

8

24

47

112

224

536

642

5

9

26

52

115

224

536

540

6

10

28

56

120

224

536

536

7

12

31

57

122

224

536

536

8

12

31

57

121

224

536

536

9

12

32

57

120

224

536

536

10

12

33

57

120

224

536

536

11

13

35

58

120

224

536

536

12

13

35

58

120

224

536

536

13

14

36

58

120

224

536

536

14

14

36

58

120

224

536

536

15

14

36

58

120

224

536

536

16

14

36

58

120

224

536

536

17

14

36

58

120

224

536

536

18

14

36

58

120

224

536

536

19

14

36

58

120

224

536

536

20

16

36

58

120

224

536

536

21

16

36

58

120

224

536

536

22

17

36

58

120

224

536

536

23

17

36

58

120

224

536

536

24

18

36

58

120

224

536

536

25

18

36

58

120

224

536

536

26

20

36

58

120

224

536

536

27

21

36

58

120

224

536

536

28

21

36

58

120

224

536

536

29

22

36

58

120

224

536

536

30

22

36

58

120

224

536

536

2.8 Pound sterling

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

8

24

54

148

248

560

1192

2

8

24

54

148

248

560

960

3

9

26

54

134

244

556

783

4

10

29

56

124

242

554

649

5

12

31

57

113

241

553

553

6

14

34

61

107

240

552

552

7

16

37

62

100

239

551

551

8

17

38

60

93

238

550

550

9

20

45

63

88

237

549

549

10

19

44

61

84

236

548

548

11

18

43

60

85

235

547

547

12

18

43

61

86

234

546

546

13

18

43

61

86

234

546

546

14

18

44

61

86

233

545

545

15

18

44

61

86

232

544

544

16

18

44

61

86

231

543

543

17

18

44

61

86

230

542

542

18

18

44

61

86

229

541

541

19

18

44

61

86

229

541

541

20

18

44

61

86

230

542

542

21

18

44

61

86

230

542

542

22

18

44

61

86

229

541

541

23

18

44

61

86

229

541

541

24

18

44

61

86

228

540

540

25

19

44

61

86

228

540

540

26

20

44

61

86

227

539

539

27

21

44

61

86

227

539

539

28

21

44

61

86

226

538

538

29

22

44

61

86

226

538

538

30

22

44

61

86

225

537

537

2.9 Romanian leu

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

85

99

123

196

309

621

1237

2

84

97

121

194

307

619

997

3

83

98

121

186

302

614

814

4

82

98

122

186

299

611

675

5

81

98

124

187

296

608

608

6

80

98

125

189

294

606

606

7

79

98

125

190

292

604

604

8

77

97

122

186

289

601

601

9

75

95

120

183

287

599

599

10

74

95

119

182

286

598

598

11

73

95

118

180

284

596

596

12

72

94

116

179

283

595

595

13

71

93

115

177

281

593

593

14

69

92

113

176

280

592

592

15

68

90

112

174

278

590

590

16

67

89

111

173

277

589

589

17

66

88

110

172

276

588

588

18

65

87

109

171

275

587

587

19

64

86

108

171

274

586

586

20

63

86

107

170

274

586

586

21

62

85

106

169

273

585

585

22

61

84

105

168

272

584

584

23

60

83

104

167

271

583

583

24

59

82

103

166

270

582

582

25

58

81

102

165

269

581

581

26

57

80

101

164

268

579

579

27

56

78

100

163

266

578

578

28

55

77

99

162

265

577

577

29

54

76

98

160

264

576

576

30

53

75

97

159

263

575

575

2.10 Zloty

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

58

71

95

168

281

593

1191

2

57

70

94

167

280

592

960

3

57

72

95

160

276

587

784

4

57

73

97

161

274

586

650

5

57

74

100

162

272

584

584

6

56

74

102

166

270

582

582

7

56

75

102

167

269

581

581

8

55

75

100

164

267

579

579

9

53

74

99

162

266

578

578

10

53

74

98

161

265

577

577

11

53

74

97

160

264

576

576

12

52

74

96

159

263

575

575

13

52

74

96

158

262

574

574

14

51

74

95

158

262

574

574

15

51

73

95

157

261

573

573

16

50

72

94

156

260

572

572

17

49

72

93

156

260

572

572

18

49

71

93

155

259

571

571

19

48

71

92

155

259

571

571

20

48

70

92

155

258

570

570

21

48

70

92

154

258

570

570

22

47

70

91

154

258

570

570

23

47

69

91

153

257

569

569

24

46

69

90

153

257

569

569

25

46

68

89

152

256

568

568

26

45

67

89

151

255

567

567

27

44

67

88

151

255

567

567

28

43

66

87

150

254

566

566

29

43

65

87

149

253

565

565

30

42

65

86

149

252

564

564

2.11 Norwegian krone

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

31

45

69

142

255

567

1200

2

32

46

70

142

255

567

968

3

32

47

70

135

251

563

791

4

33

48

72

136

249

561

656

5

33

50

76

139

248

560

560

6

33

52

79

143

247

559

559

7

34

53

80

144

246

558

558

8

33

53

79

142

246

558

558

9

32

53

78

141

245

557

557

10

32

54

77

140

244

556

556

11

32

54

77

140

244

556

556

12

32

54

76

139

243

555

555

13

32

54

76

138

242

554

554

14

31

53

75

138

241

553

553

15

31

53

74

137

241

553

553

16

30

52

74

136

240

552

552

17

29

52

73

136

240

552

552

18

29

51

73

135

239

551

551

19

29

51

73

135

239

551

551

20

29

51

73

135

239

551

551

21

29

51

73

135

239

551

551

22

29

51

73

135

239

551

551

23

29

51

73

135

239

551

551

24

28

51

72

135

239

551

551

25

28

51

72

135

239

551

551

26

28

50

72

134

238

550

550

27

28

50

72

134

238

550

550

28

27

50

71

134

238

550

550

29

27

49

71

134

237

549

549

30

27

49

71

133

237

549

549

2.12 Swiss franc

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

0

3

25

98

211

523

1179

2

1

5

26

99

212

524

949

3

2

5

27

92

208

520

774

4

3

7

30

95

207

519

641

5

4

9

35

98

207

519

540

6

5

11

39

103

207

519

519

7

5

14

40

105

207

519

519

8

6

14

40

104

207

519

519

9

7

15

40

103

207

519

519

10

8

16

40

103

207

519

519

11

9

19

42

104

208

520

520

12

9

18

40

103

207

519

519

13

10

19

41

104

208

520

520

14

11

20

41

104

208

520

520

15

12

18

40

102

206

518

518

16

13

17

39

101

205

517

517

17

13

17

39

101

205

517

517

18

14

17

39

102

205

517

517

19

14

18

39

102

206

518

518

20

16

19

40

102

206

518

518

21

16

19

40

103

207

519

519

22

17

20

40

103

207

519

519

23

17

20

40

103

207

519

519

24

18

22

40

103

206

518

518

25

18

22

40

102

206

518

518

26

20

23

40

102

206

518

518

27

20

23

41

102

206

518

518

28

21

24

43

102

206

518

518

29

21

26

44

102

206

518

518

30

22

26

45

102

206

518

518

2.13 Australian dollar

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

46

60

84

156

270

582

1193

2

46

60

84

156

270

582

961

3

47

62

84

150

266

577

784

4

47

63

86

151

264

576

650

5

48

65

90

153

263

575

575

6

48

66

93

157

262

574

574

7

48

67

94

158

261

573

573

8

47

67

92

156

260

572

572

9

46

67

92

155

259

571

571

10

46

67

91

154

258

570

570

11

46

67

90

153

257

569

569

12

45

67

90

152

256

568

568

13

45

67

89

152

256

567

567

14

45

67

88

151

255

567

567

15

44

66

88

150

254

566

566

16

43

65

87

150

253

565

565

17

42

65

86

149

253

565

565

18

42

64

86

148

252

564

564

19

42

64

85

148

252

564

564

20

41

64

85

148

252

564

564

21

41

63

85

148

252

564

564

22

41

63

85

147

251

563

563

23

40

63

84

147

251

563

563

24

40

62

84

146

250

562

562

25

39

61

83

145

249

561

561

26

38

61

82

145

249

561

561

27

38

60

81

144

248

560

560

28

37

59

81

143

247

559

559

29

36

59

80

143

247

559

559

30

36

58

79

142

246

558

558

2.14 Baht

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

17

31

55

127

241

553

1195

2

21

35

59

131

244

556

963

3

25

40

63

128

244

556

786

4

29

44

68

132

245

557

652

5

31

48

74

137

246

558

558

6

30

48

76

140

244

556

556

7

35

54

81

146

248

560

560

8

34

54

79

143

247

558

558

9

35

55

80

143

247

559

559

10

37

58

82

144

249

561

561

11

38

60

83

146

250

561

561

12

39

61

84

146

250

562

562

13

40

62

84

147

251

562

562

14

40

63

84

147

251

563

563

15

41

63

84

147

251

563

563

16

40

62

84

147

250

562

562

17

40

62

84

147

250

562

562

18

39

62

83

146

250

562

562

19

39

61

83

146

250

561

561

20

39

61

83

146

250

562

562

21

39

61

83

146

249

561

561

22

39

61

83

145

249

561

561

23

39

61

82

145

249

561

561

24

38

60

82

145

249

560

560

25

38

60

82

144

248

560

560

26

37

60

81

144

248

560

560

27

37

59

81

143

247

559

559

28

36

59

80

143

247

558

558

29

36

58

80

142

246

558

558

30

35

58

79

142

245

557

557

2.15 Canadian dollar

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

17

30

54

127

240

552

1199

2

18

32

56

128

241

553

965

3

20

35

58

123

239

551

788

4

22

37

61

125

238

550

654

5

23

40

66

128

238

550

550

6

24

42

69

133

238

550

550

7

25

44

71

136

238

550

550

8

25

45

71

134

238

550

550

9

25

46

71

134

238

550

550

10

26

47

71

134

238

550

550

11

27

48

71

134

238

550

550

12

27

49

72

134

238

550

550

13

28

50

72

134

238

550

550

14

28

50

72

134

238

550

550

15

28

50

72

134

238

550

550

16

28

50

71

134

238

550

550

17

28

50

72

134

238

550

550

18

28

50

71

134

238

550

550

19

27

50

71

134

238

550

550

20

28

50

72

134

238

550

550

21

28

50

71

134

238

550

550

22

27

50

71

134

238

550

550

23

27

49

71

133

237

549

549

24

26

49

70

133

237

549

549

25

26

48

70

133

236

548

548

26

26

48

69

132

236

548

548

27

25

48

69

132

236

548

548

28

25

47

69

131

235

547

547

29

24

47

68

131

235

547

547

30

24

46

68

130

234

546

546

2.16 Chilean peso

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

50

63

87

160

273

585

1192

2

53

66

90

163

276

588

963

3

57

71

94

159

275

587

788

4

59

75

98

163

276

587

655

5

61

78

104

167

276

588

588

6

63

81

108

172

277

589

589

7

64

83

110

174

276

588

588

8

63

83

109

173

276

588

588

9

64

84

109

172

276

588

588

10

64

85

109

172

276

588

588

11

64

86

109

172

276

588

588

12

64

86

109

171

275

587

587

13

64

86

108

170

274

586

586

14

63

85

107

170

273

585

585

15

62

85

106

169

273

585

585

16

62

84

105

168

272

584

584

17

61

83

105

167

271

583

583

18

60

83

104

167

271

583

583

19

60

82

103

166

270

582

582

20

59

81

103

165

269

581

581

21

58

81

102

165

269

581

581

22

57

80

101

164

268

580

580

23

57

79

100

163

267

579

579

24

56

78

100

162

266

578

578

25

55

77

99

161

265

577

577

26

54

76

98

160

264

576

576

27

53

75

97

159

263

575

575

28

52

74

96

158

262

574

574

29

51

73

95

158

261

573

573

30

50

73

94

157

261

573

573

2.17 Colombian peso

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

81

95

119

192

305

617

1223

2

86

99

124

196

309

621

993

3

88

102

125

190

306

618

816

4

89

104

128

192

305

617

680

5

92

109

135

197

307

619

619

6

94

112

139

203

308

620

620

7

95

115

141

206

308

620

620

8

97

116

142

206

309

621

621

9

98

118

143

206

310

622

622

10

98

119

143

206

310

622

622

11

98

120

143

206

310

622

622

12

98

120

142

205

309

621

621

13

97

120

141

204

308

620

620

14

96

118

140

203

306

618

618

15

95

117

139

201

305

617

617

16

93

116

137

200

304

616

616

17

92

114

136

198

302

614

614

18

91

113

135

197

301

613

613

19

89

112

133

196

300

612

612

20

88

110

132

194

298

610

610

21

87

109

130

193

297

609

609

22

85

107

129

192

295

607

607

23

83

106

127

190

294

606

606

24

82

104

126

188

292

604

604

25

80

103

124

187

291

603

603

26

79

101

123

185

289

601

601

27

77

99

121

183

287

599

599

28

75

98

119

182

286

598

598

29

74

96

118

180

284

596

596

30

72

95

116

179

283

595

595

2.18 Hong Kong dollar

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

11

24

48

121

234

546

1197

2

14

27

51

124

237

549

963

3

17

32

55

120

236

548

786

4

20

36

59

123

236

548

651

5

22

39

65

128

237

549

549

6

24

42

69

133

238

550

550

7

25

44

71

136

238

550

550

8

25

45

71

135

238

550

550

9

25

46

71

134

238

550

550

10

26

47

71

134

238

550

550

11

26

48

71

134

238

550

550

12

27

49

71

134

237

549

549

13

26

49

70

133

237

549

549

14

26

48

70

132

236

548

548

15

25

48

69

132

236

547

547

16

24

47

68

131

235

547

547

17

24

46

68

130

234

546

546

18

24

46

68

130

234

546

546

19

23

46

67

130

234

546

546

20

24

46

68

130

234

546

546

21

24

46

68

130

234

546

546

22

24

46

68

130

234

546

546

23

24

46

68

130

234

546

546

24

24

46

68

130

234

546

546

25

23

46

67

130

234

546

546

26

23

46

67

130

234

546

546

27

23

46

67

130

234

545

545

28

23

45

67

129

233

545

545

29

23

45

67

129

233

545

545

30

23

45

66

129

233

545

545

2.19 Indian rupee

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

95

109

133

205

318

630

1255

2

96

109

133

206

319

631

1016

3

97

112

135

200

316

627

833

4

98

114

137

202

315

627

694

5

99

116

142

205

314

626

626

6

100

118

145

209

314

626

626

7

101

120

146

211

313

625

625

8

100

120

146

210

313

625

625

9

100

120

145

208

312

624

624

10

99

120

144

207

311

623

623

11

98

119

143

205

309

621

621

12

96

118

141

203

307

619

619

13

95

117

139

202

305

617

617

14

93

116

137

200

304

616

616

15

92

114

135

198

302

614

614

16

89

112

133

196

300

612

612

17

88

110

132

194

298

610

610

18

86

109

130

193

297

609

609

19

85

107

129

192

295

607

607

20

84

106

128

191

294

606

606

21

83

105

127

189

293

605

605

22

82

104

126

188

292

604

604

23

81

103

125

187

291

603

603

24

79

102

123

186

290

602

602

25

78

101

122

185

289

601

601

26

77

99

121

183

287

599

599

27

76

98

120

182

286

598

598

28

75

97

119

181

285

597

597

29

74

96

117

180

284

596

596

30

73

95

116

179

283

595

595

2.20 Mexican peso

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

326

339

363

436

549

861

1269

2

84

97

121

194

307

619

1022

3

87

102

125

190

306

618

835

4

91

107

130

194

307

619

693

5

93

110

136

199

308

620

620

6

95

113

140

204

309

621

621

7

96

116

142

207

309

621

621

8

97

117

143

207

310

622

622

9

98

118

143

206

310

622

622

10

98

119

143

206

310

622

622

11

99

120

143

206

310

622

622

12

99

121

143

206

310

622

622

13

100

122

144

206

310

622

622

14

100

123

144

207

311

623

623

15

101

124

145

208

312

623

623

16

102

124

146

209

312

624

624

17

103

125

147

210

313

625

625

18

104

126

148

211

314

626

626

19

105

127

149

211

315

627

627

20

105

128

149

212

316

628

628

21

105

128

149

212

316

628

628

22

105

128

149

212

316

628

628

23

105

127

148

211

315

627

627

24

104

126

148

210

314

626

626

25

103

125

146

209

313

625

625

26

101

124

145

208

312

624

624

27

100

122

144

207

310

622

622

28

99

121

143

205

309

621

621

29

97

120

141

204

308

620

620

30

96

118

140

202

306

618

618

2.21 New Taiwan dollar

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

0

12

36

108

222

533

1194

2

1

12

36

108

222

533

961

3

2

14

37

102

218

530

784

4

3

15

39

103

216

528

650

5

4

17

43

105

215

527

546

6

5

18

45

109

214

526

526

7

5

20

47

111

214

525

525

8

6

20

46

109

213

525

525

9

7

20

45

108

212

524

524

10

8

20

44

107

211

523

523

11

9

21

45

107

211

523

523

12

9

22

45

107

211

523

523

13

10

23

45

107

211

523

523

14

11

23

45

107

211

523

523

15

12

24

45

108

212

524

524

16

13

24

45

108

212

524

524

17

13

24

46

108

212

524

524

18

14

25

46

109

213

525

525

19

15

25

47

109

213

525

525

20

16

26

48

110

214

526

526

21

16

27

49

111

215

527

527

22

17

28

49

112

216

528

528

23

18

28

50

112

216

528

528

24

18

29

50

113

217

529

529

25

20

29

51

113

217

529

529

26

20

29

51

114

217

529

529

27

21

30

51

114

218

530

530

28

21

30

52

114

218

530

530

29

22

30

52

114

218

530

530

30

22

31

52

115

219

530

530

2.22 New Zealand dollar

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

52

66

90

162

275

587

1197

2

53

66

90

163

276

588

964

3

54

68

91

156

272

584

787

4

54

70

93

158

271

583

652

5

55

72

98

160

270

582

582

6

55

74

101

165

269

581

581

7

55

74

101

166

268

580

580

8

55

75

100

164

267

579

579

9

54

75

100

163

267

579

579

10

54

75

99

161

265

577

577

11

53

74

98

160

264

576

576

12

52

74

96

159

263

575

575

13

51

73

95

157

261

573

573

14

49

72

93

156

260

572

572

15

48

70

92

155

258

570

570

16

46

69

90

153

257

569

569

17

45

68

89

152

256

568

568

18

44

67

88

151

255

567

567

19

44

66

88

150

254

566

566

20

43

65

87

150

254

565

565

21

43

65

86

149

253

565

565

22

42

64

86

148

252

564

564

23

41

64

85

148

252

564

564

24

41

63

85

147

251

563

563

25

40

62

84

146

250

562

562

26

39

62

83

146

250

562

562

27

39

61

82

145

249

561

561

28

38

60

82

144

248

560

560

29

37

60

81

144

248

560

560

30

37

59

81

143

247

559

559

2.23 Rand

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

115

129

153

226

339

651

1251

2

117

130

154

227

340

652

1010

3

119

134

157

222

338

650

827

4

121

137

160

225

338

650

689

5

123

140

166

229

338

650

650

6

124

142

169

233

338

650

650

7

125

144

171

236

338

650

650

8

125

145

170

234

337

649

649

9

124

145

170

233

337

649

649

10

124

145

169

232

336

648

648

11

123

145

168

231

335

647

647

12

122

144

167

229

333

645

645

13

121

143

165

227

331

643

643

14

119

141

163

226

329

641

641

15

117

139

161

224

327

639

639

16

115

137

159

221

325

637

637

17

113

135

157

219

323

635

635

18

111

133

154

217

321

633

633

19

109

131

152

215

319

631

631

20

107

129

151

213

317

629

629

21

105

128

149

212

316

628

628

22

103

126

147

210

314

626

626

23

102

124

145

208

312

624

624

24

100

122

144

206

310

622

622

25

98

120

142

204

308

620

620

26

96

118

140

202

306

618

618

27

94

117

138

201

305

617

617

28

93

115

136

199

303

615

615

29

91

113

135

197

301

613

613

30

89

112

133

196

300

612

612

2.24 Real

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

167

181

205

277

391

702

1243

2

177

190

214

287

400

712

1016

3

183

197

220

285

401

713

838

4

185

201

225

289

402

714

714

5

187

204

230

293

402

714

714

6

187

205

232

296

401

713

713

7

187

206

233

298

400

712

712

8

186

206

231

295

398

710

710

9

185

205

230

293

397

709

709

10

184

205

229

292

396

708

708

11

183

204

228

290

394

706

706

12

181

203

225

288

392

704

704

13

178

201

222

285

389

701

701

14

176

198

219

282

386

698

698

15

173

195

216

279

383

695

695

16

169

192

213

276

380

692

692

17

166

189

210

273

377

689

689

18

163

186

207

270

374

686

686

19

160

183

204

267

371

683

683

20

158

180

201

264

368

680

680

21

155

177

198

261

365

677

677

22

151

174

195

258

362

674

674

23

148

171

192

255

359

671

671

24

145

168

189

252

356

668

668

25

142

165

186

249

353

665

665

26

139

162

183

246

350

662

662

27

136

159

180

243

347

659

659

28

134

156

177

240

344

656

656

29

131

153

175

237

341

653

653

30

128

151

172

235

339

650

650

2.25 Renminbi-yuan

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

31

45

69

141

255

566

1234

2

32

46

70

142

255

567

995

3

33

48

71

136

252

564

812

4

34

50

74

138

251

563

673

5

35

52

78

141

250

562

567

6

36

54

81

145

249

561

561

7

36

55

82

147

249

561

561

8

35

55

81

144

248

560

560

9

34

55

80

143

247

559

559

10

34

55

79

142

246

558

558

11

34

56

79

141

245

557

557

12

34

56

78

141

245

557

557

13

34

56

78

140

244

556

556

14

33

56

77

140

244

556

556

15

33

55

77

140

243

555

555

16

33

55

77

139

243

555

555

17

33

55

77

139

243

555

555

18

33

55

77

139

243

555

555

19

33

55

77

139

243

555

555

20

33

55

77

140

243

555

555

21

33

55

77

140

243

555

555

22

33

55

77

139

243

555

555

23

33

55

77

139

243

555

555

24

33

55

76

139

243

555

555

25

32

55

76

139

243

555

555

26

32

54

76

138

242

554

554

27

32

54

76

138

242

554

554

28

31

54

75

138

242

554

554

29

31

53

75

137

241

553

553

30

31

53

75

137

241

553

553

2.26 Ringgit

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

28

42

66

139

252

564

1221

2

30

44

68

140

253

565

984

3

33

47

70

135

251

563

803

4

35

51

74

139

251

563

666

5

37

54

80

143

252

564

564

6

38

56

84

148

252

564

564

7

40

59

86

150

253

565

565

8

40

60

86

149

253

565

565

9

40

61

86

149

253

565

565

10

41

62

86

149

253

565

565

11

42

64

87

150

254

565

565

12

43

65

87

150

254

566

566

13

43

65

87

150

254

566

566

14

43

65

87

150

253

565

565

15

43

65

87

149

253

565

565

16

43

65

86

149

253

565

565

17

43

65

86

149

253

565

565

18

43

65

87

149

253

565

565

19

43

65

87

149

253

565

565

20

43

65

87

150

253

565

565

21

43

65

87

150

254

566

566

22

43

65

87

150

253

565

565

23

43

65

87

149

253

565

565

24

42

65

86

149

253

565

565

25

42

64

86

149

252

564

564

26

42

64

85

148

252

564

564

27

41

63

85

148

251

563

563

28

40

63

84

147

251

563

563

29

40

62

84

146

250

562

562

30

39

62

83

146

250

562

562

2.27 Russian rouble

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

126

139

163

236

349

661

1260

2

125

138

162

235

348

660

1021

3

125

139

162

227

343

655

837

4

125

141

164

229

342

653

696

5

126

143

168

231

341

653

653

6

125

143

170

234

339

651

651

7

126

145

171

236

338

650

650

8

125

145

170

234

337

649

649

9

124

144

169

232

336

648

648

10

124

145

169

232

336

648

648

11

124

145

168

231

335

647

647

12

123

145

167

230

334

646

646

13

122

144

166

229

332

644

644

14

121

143

165

227

331

643

643

15

119

141

163

225

329

641

641

16

117

139

161

223

327

639

639

17

114

136

158

220

324

636

636

18

112

134

156

218

322

634

634

19

110

132

154

216

320

632

632

20

108

130

152

214

318

630

630

21

105

128

149

212

316

628

628

22

103

126

147

210

314

626

626

23

101

123

145

207

311

623

623

24

99

121

143

205

309

621

621

25

97

119

141

203

307

619

619

26

95

117

138

201

305

617

617

27

92

115

136

199

303

615

615

28

90

113

134

197

301

613

613

29

88

111

132

195

299

611

611

30

86

109

130

193

297

609

609

2.28 Singapore dollar

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

0

13

37

109

222

534

1194

2

1

15

39

111

224

536

961

3

3

18

41

106

222

534

785

4

6

22

45

109

222

534

650

5

8

25

51

113

223

535

547

6

9

27

55

119

223

535

535

7

11

30

57

121

224

536

536

8

11

31

56

120

224

536

536

9

11

32

56

119

223

535

535

10

11

33

56

119

223

535

535

11

12

33

57

119

223

535

535

12

12

34

56

119

223

535

535

13

12

34

56

119

222

534

534

14

12

34

56

118

222

534

534

15

12

34

56

118

222

534

534

16

13

34

55

118

222

534

534

17

13

34

55

118

222

534

534

18

14

34

55

118

222

534

534

19

15

34

55

118

222

534

534

20

16

34

56

119

222

534

534

21

16

35

56

119

223

535

535

22

17

35

57

119

223

535

535

23

18

35

57

120

223

535

535

24

18

36

57

120

224

536

536

25

20

36

57

120

224

536

536

26

20

36

57

120

224

536

536

27

21

36

58

120

224

536

536

28

21

36

58

120

224

536

536

29

22

36

58

120

224

536

536

30

22

36

58

120

224

536

536

2.29 South Korean won

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

36

49

73

146

259

571

1201

2

36

50

74

146

259

571

968

3

36

51

74

139

255

567

791

4

36

52

75

140

253

565

655

5

37

54

79

142

252

564

564

6

39

57

84

148

253

565

565

7

37

56

82

147

249

561

561

8

40

60

86

149

253

565

565

9

39

60

84

148

252

564

564

10

34

55

79

142

246

558

558

11

30

52

75

138

242

554

554

12

27

50

72

134

238

550

550

13

25

48

69

132

236

548

548

14

24

46

68

130

234

546

546

15

22

45

66

129

233

544

544

16

21

43

65

127

231

543

543

17

20

42

64

126

230

542

542

18

19

42

63

126

230

542

542

19

19

41

63

125

229

541

541

20

19

41

63

125

229

541

541

21

19

41

63

125

229

541

541

22

19

41

63

125

229

541

541

23

19

41

63

125

229

541

541

24

19

41

63

125

229

541

541

25

20

41

62

125

229

541

541

26

20

41

62

125

229

541

541

27

21

41

62

125

229

541

541

28

21

41

62

125

229

540

540

29

22

40

62

124

228

540

540

30

22

40

62

124

228

540

540

2.30 Turkish lira

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

202

215

239

312

425

737

1487

2

198

212

236

308

421

733

1190

3

194

209

232

297

413

725

965

4

191

207

230

295

407

719

795

5

187

204

230

293

402

714

714

6

184

202

229

293

397

709

709

7

180

199

226

291

393

705

705

8

176

196

222

285

389

701

701

9

172

192

217

280

384

696

696

10

168

189

213

276

380

692

692

11

165

186

210

272

376

688

688

12

161

183

206

268

372

684

684

13

158

180

202

264

368

680

680

14

154

176

198

260

364

676

676

15

150

173

194

257

361

673

673

16

147

169

191

253

357

669

669

17

144

166

188

250

354

666

666

18

141

163

185

247

351

663

663

19

138

160

182

244

348

660

660

20

135

157

179

241

345

657

657

21

132

155

176

239

343

655

655

22

129

152

173

236

340

652

652

23

127

149

171

233

337

649

649

24

124

147

168

231

335

646

646

25

122

144

165

228

332

644

644

26

119

141

163

226

329

641

641

27

117

139

160

223

327

639

639

28

114

137

158

221

325

637

637

29

112

134

156

218

322

634

634

30

110

132

154

216

320

632

632

2.31 US dollar

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

9

26

50

105

239

551

1195

2

9

26

50

105

239

551

961

3

10

29

52

100

237

549

784

4

13

33

55

98

237

549

650

5

17

39

60

100

238

550

550

6

19

43

64

97

239

551

551

7

20

45

64

91

239

551

551

8

18

44

63

91

239

551

551

9

19

45

65

94

239

551

551

10

21

48

68

98

239

551

551

11

22

50

69

101

239

551

551

12

24

53

71

102

239

551

551

13

25

55

71

102

239

551

551

14

25

55

72

102

239

551

551

15

26

55

72

102

239

551

551

16

26

55

72

102

239

551

551

17

26

55

72

102

239

551

551

18

26

55

72

102

239

551

551

19

26

55

72

102

239

551

551

20

26

55

72

102

239

551

551

21

26

55

72

102

240

552

552

22

26

55

72

102

240

552

552

23

26

55

72

102

240

552

552

24

26

55

72

102

240

552

552

25

26

55

72

102

239

551

551

26

26

55

72

102

239

551

551

27

26

55

72

102

239

551

551

28

26

55

72

102

239

551

551

29

26

55

72

102

239

551

551

30

26

55

72

102

238

550

550

2.32 Yen

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

0

3

15

87

200

512

1191

2

1

5

13

86

199

511

959

3

2

5

13

78

194

506

782

4

3

6

15

79

192

504

647

5

4

6

19

82

191

503

544

6

5

8

22

86

191

503

503

7

5

9

24

88

190

502

502

8

6

9

23

87

190

502

502

9

7

10

23

86

190

502

502

10

8

10

24

86

190

502

502

11

9

12

24

87

190

502

502

12

9

12

24

87

191

503

503

13

10

13

24

87

191

503

503

14

11

13

26

87

191

503

503

15

12

15

27

87

191

503

503

16

13

16

28

88

191

503

503

17

13

16

30

88

192

504

504

18

14

17

31

88

192

504

504

19

14

18

32

89

193

505

505

20

16

19

33

89

193

505

505

21

16

19

34

90

194

506

506

22

17

20

36

90

194

506

506

23

17

21

37

91

195

507

507

24

18

22

38

91

195

507

507

25

19

22

39

91

195

507

507

26

20

23

40

91

195

507

507

27

21

23

41

91

195

507

507

28

21

25

43

91

195

507

507

29

22

26

44

91

195

507

507

30

22

26

45

91

195

507

507

3. Other exposures

3.1 Euro

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

2

15

21

43

162

293

3021

2

2

15

21

43

162

332

2249

3

1

15

23

48

157

346

1697

4

1

16

26

52

155

345

1310

5

2

18

30

54

155

336

1038

6

4

20

32

57

155

323

842

7

5

23

34

59

155

308

696

8

5

24

35

61

155

292

585

9

6

25

37

64

155

275

498

10

6

26

38

66

155

259

428

11

6

26

39

67

155

249

372

12

6

26

39

68

155

249

326

13

6

26

39

68

155

249

287

14

6

26

39

68

155

249

254

15

6

26

39

68

155

249

249

16

6

26

40

68

155

249

249

17

6

26

43

68

155

249

249

18

6

26

45

68

155

249

249

19

7

26

47

68

155

249

249

20

7

26

50

68

155

249

249

21

7

26

52

68

155

249

249

22

7

26

54

68

155

249

249

23

8

26

57

68

155

249

249

24

8

26

59

68

155

249

249

25

9

26

61

68

155

249

249

26

9

26

63

68

155

249

249

27

9

26

66

68

155

249

249

28

10

26

68

70

155

249

249

29

10

26

70

72

155

249

249

30

10

26

73

74

155

249

249

3.2 Czech koruna

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

9

22

28

50

170

298

3072

2

11

24

30

52

172

338

2293

3

11

25

33

57

167

353

1734

4

11

25

36

61

164

353

1341

5

11

27

39

63

163

344

1063

6

12

29

40

65

163

331

862

7

13

31

41

66

162

315

713

8

12

31

42

68

162

299

599

9

12

31

43

71

161

282

510

10

12

32

44

72

161

265

439

11

12

31

44

73

160

255

381

12

11

31

44

72

159

254

333

13

11

30

43

72

159

253

293

14

10

30

43

71

158

253

260

15

10

29

42

71

158

252

252

16

9

29

42

70

157

252

252

17

9

29

43

70

157

252

252

18

9

29

46

70

157

252

252

19

9

29

49

70

157

252

252

20

10

29

50

71

158

252

252

21

10

29

53

71

158

252

252

22

10

30

56

71

158

253

253

23

10

30

58

71

158

253

253

24

10

30

61

71

158

253

253

25

10

30

62

71

158

253

253

26

10

30

65

71

158

253

253

27

10

30

67

71

158

253

253

28

10

30

70

72

158

253

253

29

10

30

72

74

158

253

253

30

10

30

74

76

158

253

253

3.3 Danish krone

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

2

14

21

43

162

293

3021

2

2

14

21

43

162

332

2248

3

1

15

23

48

157

345

1696

4

1

16

26

51

154

345

1310

5

2

18

29

53

154

336

1038

6

4

20

32

57

154

323

841

7

5

23

34

59

154

308

696

8

5

24

35

61

154

292

584

9

6

25

36

64

154

275

498

10

6

25

38

66

154

259

428

11

6

26

39

67

154

249

372

12

6

26

39

67

154

249

326

13

6

26

39

67

154

249

287

14

6

26

39

67

154

249

254

15

6

26

39

67

154

249

249

16

6

26

40

67

154

249

249

17

6

26

43

67

154

249

249

18

6

26

45

67

154

249

249

19

7

26

47

67

154

249

249

20

7

26

49

67

154

249

249

21

7

26

52

67

154

249

249

22

7

26

54

67

154

249

249

23

8

26

57

67

154

249

249

24

8

26

58

67

154

249

249

25

9

26

61

67

154

249

249

26

9

26

63

67

154

249

249

27

9

26

66

68

154

249

249

28

10

26

68

70

154

249

249

29

10

26

70

72

154

249

249

30

10

26

73

74

154

249

249

3.4 Forint

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

74

87

93

115

234

331

3067

2

71

83

90

112

231

338

2290

3

73

86

95

119

228

353

1733

4

71

85

96

121

224

353

1342

5

70

85

97

121

222

345

1065

6

69

86

98

122

220

332

864

7

69

87

98

123

218

317

716

8

68

86

98

124

217

312

602

9

67

86

98

126

216

311

513

10

64

84

96

125

213

307

442

11

62

82

95

123

210

305

384

12

61

80

93

122

209

304

336

13

60

80

93

121

208

303

303

14

60

79

92

121

208

302

302

15

60

79

92

121

208

302

302

16

59

79

91

120

207

302

302

17

59

78

91

120

207

301

301

18

58

78

90

119

206

301

301

19

57

77

90

118

205

300

300

20

57

76

89

118

205

299

299

21

56

76

88

117

204

299

299

22

55

75

88

116

203

298

298

23

54

74

87

115

202

297

297

24

53

73

86

114

201

296

296

25

52

72

85

113

200

295

295

26

51

71

84

112

199

294

294

27

50

70

83

111

198

293

293

28

49

69

82

110

197

292

292

29

48

68

81

109

196

291

291

30

47

67

79

108

195

290

290

3.5 Krona

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

6

18

25

47

166

296

3045

2

7

20

27

48

168

334

2268

3

8

21

30

54

164

348

1712

4

8

23

33

59

162

348

1323

5

9

25

37

61

162

339

1048

6

11

28

39

64

162

326

850

7

12

30

41

66

161

311

702

8

12

30

42

68

161

294

590

9

12

31

43

70

161

278

502

10

12

31

44

72

160

261

433

11

12

31

44

73

160

254

376

12

12

31

44

73

160

254

330

13

12

31

44

73

160

254

291

14

12

31

44

73

160

254

258

15

12

31

44

73

160

254

254

16

11

31

44

72

159

254

254

17

11

31

44

72

159

254

254

18

11

31

46

72

160

254

254

19

12

31

48

73

160

254

254

20

12

32

50

73

160

255

255

21

12

32

53

74

161

255

255

22

13

32

56

74

161

255

255

23

13

32

58

74

161

255

255

24

13

32

60

74

161

256

256

25

13

32

62

74

161

256

256

26

13

32

65

74

161

255

255

27

13

32

67

74

161

255

255

28

13

32

70

74

161

255

255

29

13

32

72

74

161

255

255

30

13

32

74

76

161

255

255

3.6 Kuna

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

44

57

63

85

204

301

3040

2

48

60

67

89

208

335

2268

3

51

65

73

98

207

349

1714

4

53

68

78

104

207

349

1325

5

55

71

83

107

208

340

1050

6

57

74

85

110

208

327

852

7

58

76

86

111

207

312

705

8

57

75

87

113

206

301

592

9

56

75

87

115

205

299

505

10

55

75

87

115

204

298

435

11

54

74

86

115

202

297

378

12

53

72

85

114

201

295

331

13

51

71

84

112

199

294

294

14

50

70

82

111

198

293

293

15

49

69

81

110

197

292

292

16

48

68

81

109

196

291

291

17

47

67

80

109

196

290

290

18

47

66

79

108

195

289

289

19

46

66

79

107

194

289

289

20

46

65

78

107

194

288

288

21

45

65

77

106

193

288

288

22

44

64

77

105

192

287

287

23

44

63

76

105

192

286

286

24

43

62

75

104

191

285

285

25

42

62

74

103

190

285

285

26

41

61

73

102

189

284

284

27

40

60

73

101

188

283

283

28

39

59

72

101

188

282

282

29

39

58

72

100

187

281

281

30

38

57

74

99

186

280

280

3.7 Lev

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

1

14

20

42

161

293

3019

2

1

14

20

42

161

332

2247

3

1

14

23

47

156

345

1695

4

1

15

25

51

154

345

1309

5

1

17

29

53

154

336

1037

6

3

20

31

56

154

323

841

7

4

22

33

58

154

308

695

8

5

23

34

61

154

291

584

9

5

24

36

63

154

275

497

10

5

25

37

66

154

259

428

11

6

25

38

66

154

248

372

12

6

25

38

67

154

248

325

13

6

25

38

67

154

248

286

14

6

25

38

67

154

248

254

15

6

25

38

67

154

248

248

16

6

25

40

67

154

248

248

17

6

25

43

67

154

248

248

18

6

25

45

67

154

248

248

19

7

25

47

67

154

248

248

20

7

25

49

67

154

248

248

21

7

25

52

67

154

248

248

22

7

25

54

67

154

248

248

23

8

25

57

67

154

248

248

24

8

25

58

67

154

248

248

25

8

25

61

67

154

248

248

26

9

25

63

67

154

248

248

27

9

25

66

68

154

248

248

28

10

25

68

70

154

248

248

29

10

25

70

72

154

248

248

30

10

25

73

74

154

248

248

3.8 Pound sterling

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

0

11

22

45

180

296

3047

2

0

11

22

45

180

335

2269

3

1

11

24

50

175

349

1713

4

1

13

26

56

172

348

1324

5

1

16

28

59

171

340

1049

6

2

18

33

60

169

327

850

7

3

21

36

60

168

311

703

8

5

24

37

60

167

295

591

9

8

31

42

59

166

278

503

10

10

34

42

57

165

261

433

11

9

33

42

57

165

259

376

12

8

32

41

57

164

258

329

13

7

31

42

57

163

258

290

14

7

31

42

57

162

257

257

15

7

31

43

57

162

256

256

16

8

31

43

57

160

255

255

17

8

31

43

57

159

254

254

18

8

31

45

57

159

253

253

19

8

31

47

57

159

253

253

20

8

31

50

57

159

254

254

21

8

31

52

57

159

254

254

22

8

31

54

59

159

253

253

23

8

31

57

61

158

253

253

24

8

31

59

62

158

252

252

25

9

31

62

64

157

252

252

26

9

31

63

66

157

251

251

27

9

31

66

68

156

251

251

28

10

31

68

70

156

250

250

29

10

31

70

72

155

250

250

30

10

31

73

74

155

249

249

3.9 Romanian leu

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

81

93

100

122

241

337

3169

2

79

92

98

120

239

347

2363

3

77

90

99

123

232

362

1784

4

75

89

100

125

228

362

1379

5

73

89

101

125

226

353

1093

6

73

90

101

126

224

339

886

7

72

90

100

125

221

323

732

8

70

88

99

126

219

313

615

9

68

87

99

127

217

311

524

10

67

86

99

127

215

310

451

11

66

85

98

126

214

308

392

12

64

84

96

125

212

307

343

13

62

82

95

124

211

305

305

14

61

81

93

122

209

304

304

15

60

79

92

121

208

302

302

16

59

78

91

120

207

301

301

17

58

77

90

119

206

300

300

18

57

76

89

118

205

299

299

19

56

75

88

117

204

298

298

20

55

75

87

116

203

298

298

21

54

74

86

115

202

297

297

22

53

73

85

114

201

296

296

23

52

72

84

113

200

295

295

24

51

71

83

112

199

294

294

25

50

69

82

111

198

293

293

26

49

68

81

110

197

291

291

27

48

67

80

109

196

290

290

28

47

66

79

108

195

289

289

29

46

65

78

107

194

288

288

30

45

64

77

106

193

287

287

3.10 Zloty

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

53

66

72

94

213

310

3045

2

52

65

71

93

213

335

2269

3

51

64

73

97

206

349

1715

4

50

64

75

100

203

349

1327

5

49

65

76

100

201

341

1053

6

49

66

77

102

200

328

855

7

49

67

78

103

198

313

707

8

48

66

77

104

197

297

595

9

47

66

77

105

195

290

507

10

46

65

78

106

194

289

437

11

45

65

77

106

193

288

380

12

44

64

77

105

192

287

333

13

44

63

76

105

192

286

293

14

43

63

75

104

191

286

286

15

42

62

75

103

191

285

285

16

41

61

74

103

190

284

284

17

41

61

73

102

189

284

284

18

40

60

73

101

188

283

283

19

40

59

72

101

188

283

283

20

40

59

72

101

188

282

282

21

39

59

72

101

188

282

282

22

39

59

71

100

187

282

282

23

39

58

71

100

187

281

281

24

38

57

70

99

186

281

281

25

37

57

70

98

185

280

280

26

37

56

69

98

185

279

279

27

36

55

68

97

184

278

278

28

35

55

70

96

183

278

278

29

35

54

72

96

183

277

277

30

34

53

75

95

182

276

276

3.11 Norwegian krone

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

27

39

46

68

187

298

3068

2

27

40

47

69

188

337

2289

3

26

40

48

73

182

352

1730

4

25

40

50

75

178

352

1338

5

25

41

53

77

178

343

1061

6

26

43

54

79

177

330

860

7

27

44

55

80

176

315

711

8

26

44

56

82

175

298

598

9

26

45

56

84

174

281

509

10

25

45

57

86

174

268

438

11

25

44

57

86

173

268

381

12

24

44

57

85

172

267

333

13

23

43

56

85

172

266

294

14

23

42

55

84

171

265

265

15

22

42

55

83

170

265

265

16

21

41

54

82

170

264

264

17

21

41

53

82

169

264

264

18

21

40

53

82

169

263

263

19

21

40

53

82

169

263

263

20

21

40

53

82

169

263

263

21

21

40

53

82

169

263

263

22

21

40

56

82

169

263

263

23

20

40

58

81

169

263

263

24

20

40

61

81

168

263

263

25

20

40

62

81

168

263

263

26

20

39

65

81

168

262

262

27

19

39

67

80

167

262

262

28

19

39

70

80

167

262

262

29

19

38

72

80

167

261

261

30

19

38

75

80

167

261

261

3.12 Swiss franc

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

0

0

3

24

143

293

3011

2

0

1

6

25

144

331

2241

3

1

1

8

30

139

345

1691

4

1

3

11

34

137

344

1307

5

1

4

14

36

137

336

1036

6

2

4

16

39

137

323

840

7

2

5

19

41

137

308

695

8

2

6

22

43

137

291

584

9

2

7

23

46

137

275

497

10

4

8

26

48

137

259

428

11

4

9

29

50

138

243

371

12

4

9

30

49

136

231

325

13

4

10

33

50

137

232

286

14

4

11

36

50

137

231

253

15

5

12

38

49

136

230

230

16

6

12

40

48

135

229

229

17

6

14

42

49

135

229

229

18

6

14

45

50

135

229

229

19

7

15

47

53

135

230

230

20

7

16

49

54

136

230

230

21

7

17

51

57

136

231

231

22

7

17

54

59

136

231

231

23

8

19

57

60

136

231

231

24

8

19

58

62

136

230

230

25

8

20

61

64

136

230

230

26

9

21

63

66

136

230

230

27

9

22

66

68

136

230

230

28

10

22

68

70

135

230

230

29

10

24

70

72

135

230

230

30

10

24

73

74

135

230

230

3.13 Australian dollar

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

42

54

61

83

202

298

3050

2

42

54

61

83

202

335

2272

3

41

54

63

87

196

349

1715

4

40

54

65

90

193

349

1326

5

40

55

67

91

192

341

1051

6

40

57

68

93

191

328

853

7

41

59

69

94

190

313

706

8

40

58

70

96

189

296

594

9

39

58

70

98

188

283

506

10

39

58

71

99

187

282

436

11

38

58

71

99

186

281

379

12

38

57

70

99

186

280

332

13

37

56

69

98

185

279

292

14

36

56

69

97

184

279

279

15

36

55

68

97

184

278

278

16

35

54

67

96

183

277

277

17

34

54

67

95

182

277

277

18

34

53

66

95

182

276

276

19

33

53

66

94

181

276

276

20

33

53

65

94

181

276

276

21

33

52

65

94

181

275

275

22

32

52

65

94

181

275

275

23

32

51

64

93

180

275

275

24

31

51

64

92

179

274

274

25

31

50

63

92

179

273

273

26

30

50

65

91

178

273

273

27

29

49

67

90

177

272

272

28

29

48

69

90

177

271

271

29

28

47

72

89

176

270

270

30

27

47

74

88

175

270

270

3.14 Baht

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

13

25

32

54

173

296

3055

2

16

29

36

58

177

336

2276

3

19

33

41

65

175

350

1719

4

21

36

46

71

174

350

1329

5

23

39

51

75

176

341

1054

6

23

40

51

76

174

329

855

7

28

46

56

81

177

313

708

8

27

45

56

83

176

297

595

9

28

47

59

86

177

280

507

10

30

49

62

90

178

272

437

11

31

50

63

92

179

273

379

12

31

51

64

93

180

274

332

13

32

51

64

93

180

274

293

14

32

52

64

93

180

275

275

15

32

52

65

93

180

275

275

16

32

51

64

93

180

274

274

17

32

51

64

93

180

274

274

18

31

51

63

92

179

274

274

19

31

50

63

92

179

273

273

20

31

50

63

92

179

273

273

21

31

50

63

92

179

273

273

22

31

50

63

92

179

273

273

23

30

50

63

91

178

273

273

24

30

49

62

91

178

272

272

25

29

49

62

90

177

272

272

26

29

48

65

90

177

271

271

27

28

48

67

89

176

271

271

28

28

47

70

89

176

270

270

29

27

47

72

88

175

270

270

30

27

46

74

88

175

269

269

3.15 Canadian dollar

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

12

25

31

53

173

297

3065

2

13

26

33

55

174

337

2284

3

14

27

36

60

169

351

1725

4

14

29

39

64

167

351

1333

5

15

31

42

66

167

342

1057

6

17

33

45

70

167

329

858

7

18

36

47

72

167

314

709

8

18

36

48

74

167

297

596

9

18

37

49

77

167

281

508

10

19

38

51

79

167

264

437

11

19

39

52

80

167

262

380

12

19

39

52

80

168

262

332

13

20

39

52

81

168

262

293

14

20

39

52

81

168

262

262

15

20

39

52

81

168

262

262

16

19

39

52

80

167

262

262

17

19

39

52

80

167

262

262

18

19

39

52

80

167

262

262

19

19

39

52

80

167

262

262

20

19

39

52

80

167

262

262

21

19

39

53

80

167

262

262

22

19

39

55

80

167

262

262

23

19

38

57

80

167

261

261

24

18

38

60

79

166

261

261

25

18

37

62

79

166

260

260

26

17

37

65

78

165

260

260

27

17

36

67

78

165

259

259

28

16

36

69

78

165

259

259

29

16

36

72

77

164

259

259

30

16

35

74

77

164

258

258

3.16 Chilean peso

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

45

58

64

86

206

302

3047

2

48

61

67

89

209

336

2277

3

50

64

73

97

206

351

1724

4

52

66

77

102

205

352

1337

5

53

69

81

105

205

344

1062

6

55

72

83

108

206

332

864

7

57

74

85

110

206

318

716

8

56

75

86

112

206

302

603

9

57

76

88

115

205

300

515

10

57

76

89

117

205

300

444

11

57

76

89

118

205

300

386

12

56

76

89

117

204

299

338

13

56

75

88

117

204

298

298

14

55

74

87

116

203

297

297

15

54

74

86

115

202

297

297

16

53

73

86

114

201

296

296

17

53

72

85

114

201

295

295

18

52

71

84

113

200

295

295

19

51

71

84

112

199

294

294

20

51

70

83

112

199

293

293

21

50

70

82

111

198

293

293

22

49

69

81

110

197

292

292

23

48

68

81

109

196

291

291

24

47

67

80

108

195

290

290

25

46

66

79

108

195

289

289

26

46

65

78

107

194

288

288

27

45

64

77

106

193

287

287

28

44

63

76

105

192

286

286

29

43

62

75

104

191

285

285

30

42

61

77

103

190

285

285

3.17 Colombian peso

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

77

90

96

118

237

334

3132

2

81

94

100

122

242

346

2353

3

81

95

104

128

237

363

1788

4

81

96

106

131

234

365

1389

5

84

100

111

135

236

358

1105

6

86

103

114

139

237

346

899

7

88

106

117

142

238

332

746

8

90

108

119

145

239

333

628

9

91

110

122

149

239

334

536

10

91

111

123

151

240

334

463

11

91

111

123

152

239

334

403

12

90

110

123

151

238

333

353

13

89

109

121

150

237

332

332

14

88

107

120

149

236

330

330

15

86

106

119

147

234

329

329

16

85

105

117

146

233

328

328

17

84

103

116

145

232

326

326

18

82

102

115

143

230

325

325

19

81

101

113

142

229

324

324

20

80

99

112

141

228

322

322

21

78

98

111

139

226

321

321

22

77

96

109

138

225

319

319

23

75

95

108

136

223

318

318

24

74

93

106

135

222

316

316

25

72

92

104

133

220

315

315

26

70

90

103

131

218

313

313

27

69

88

101

130

217

311

311

28

67

87

99

128

215

310

310

29

66

85

98

127

214

308

308

30

64

84

96

125

212

307

307

3.18 Hong Kong dollar

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

6

19

25

47

166

297

3059

2

9

22

28

50

169

336

2278

3

11

24

33

57

166

350

1719

4

12

27

37

63

166

349

1328

5

14

30

42

66

167

341

1053

6

16

33

45

69

167

328

854

7

18

36

47

72

167

313

706

8

18

37

48

74

167

296

594

9

19

38

49

77

167

279

505

10

19

38

51

79

167

263

435

11

19

39

51

80

167

262

378

12

19

38

51

80

167

261

331

13

18

38

51

79

166

261

291

14

18

37

50

79

166

260

260

15

17

36

49

78

165

259

259

16

16

36

48

77

164

259

259

17

16

35

48

77

164

258

258

18

15

35

48

76

163

258

258

19

15

35

48

76

163

258

258

20

15

35

50

76

164

258

258

21

16

35

53

77

164

258

258

22

16

35

56

77

164

258

258

23

15

35

57

77

164

258

258

24

15

35

60

76

163

258

258

25

15

35

62

76

163

258

258

26

15

35

65

76

163

258

258

27

15

34

67

76

163

257

257

28

15

34

69

76

163

257

257

29

14

34

72

76

163

257

257

30

14

34

74

75

162

257

257

3.19 Indian rupee

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

90

103

110

132

251

347

3218

2

91

104

110

132

252

354

2411

3

91

104

113

137

246

371

1829

4

91

105

116

141

244

372

1419

5

91

107

119

143

244

364

1128

6

92

109

121

145

243

352

917

7

94

111

122

147

243

337

760

8

93

112

123

149

243

337

639

9

93

112

124

151

242

336

545

10

92

111

124

152

240

335

469

11

90

110

123

151

239

333

408

12

89

108

121

150

237

331

357

13

87

106

119

148

235

329

329

14

85

105

117

146

233

328

328

15

83

103

116

144

231

326

326

16

81

101

114

142

229

324

324

17

80

99

112

141

228

322

322

18

78

98

111

139

226

321

321

19

77

96

109

138

225

319

319

20

76

95

108

137

224

318

318

21

75

94

107

136

223

317

317

22

74

93

106

135

222

316

316

23

72

92

105

133

220

315

315

24

71

91

103

132

219

314

314

25

70

89

102

131

218

313

313

26

69

88

101

130

217

311

311

27

68

87

100

129

216

310

310

28

66

86

99

127

215

309

309

29

65

85

98

126

213

308

308

30

64

84

97

125

212

307

307

3.20 Mexican peso

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

321

334

340

362

482

578

3256

2

79

92

98

120

240

356

2427

3

81

95

103

128

237

371

1835

4

83

98

108

134

236

371

1419

5

85

101

113

137

238

363

1126

6

87

104

116

140

238

349

913

7

89

107

118

143

239

333

756

8

90

109

120

146

239

334

636

9

91

110

122

149

240

334

542

10

91

110

123

151

239

334

466

11

91

111

123

152

239

334

405

12

91

111

124

152

239

334

355

13

92

111

124

153

240

334

334

14

92

112

124

153

240

335

335

15

93

112

125

154

241

335

335

16

94

113

126

155

242

336

336

17

95

114

127

156

243

337

337

18

96

115

128

157

244

338

338

19

97

116

129

158

245

339

339

20

97

117

129

158

245

340

340

21

97

117

130

158

245

340

340

22

97

116

129

158

245

340

340

23

96

116

129

157

244

339

339

24

95

115

128

156

243

338

338

25

94

114

127

155

242

337

337

26

93

113

125

154

241

336

336

27

92

111

124

153

240

334

334

28

90

110

123

151

239

333

333

29

89

109

121

150

237

332

332

30

88

107

120

149

236

330

330

3.21 New Taiwan dollar

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

0

6

13

35

154

296

3053

2

0

6

13

35

154

335

2273

3

1

6

15

39

148

349

1715

4

1

7

17

42

145

348

1325

5

1

8

19

43

144

340

1049

6

2

9

21

46

144

327

851

7

2

11

22

47

143

311

703

8

2

11

23

49

142

294

590

9

2

11

24

51

141

278

503

10

4

12

26

53

141

261

432

11

4

12

29

53

141

245

376

12

4

12

31

53

140

235

329

13

4

12

33

54

141

235

290

14

4

12

36

54

141

235

257

15

5

12

39

54

141

236

236

16

6

13

40

54

141

236

236

17

6

14

43

55

142

236

236

18

6

14

46

55

142

237

237

19

7

15

48

56

143

237

237

20

7

16

50

57

144

238

238

21

7

17

53

57

144

239

239

22

8

17

54

59

145

240

240

23

8

19

57

62

146

240

240

24

8

20

60

63

146

241

241

25

9

20

62

65

147

241

241

26

9

22

65

67

147

241

241

27

9

22

67

69

147

242

242

28

10

23

69

71

147

242

242

29

10

24

72

73

148

242

242

30

10

24

74

74

148

242

242

3.22 New Zealand dollar

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

47

60

67

88

208

304

3061

2

48

61

67

89

209

336

2279

3

47

61

70

94

203

350

1721

4

47

61

72

97

200

350

1330

5

47

63

74

98

199

341

1055

6

48

65

76

101

199

328

855

7

48

66

77

102

197

313

708

8

48

66

77

104

197

297

595

9

47

66

78

106

196

291

507

10

46

66

79

107

195

289

436

11

45

65

78

106

193

288

379

12

44

63

76

105

192

287

332

13

42

62

75

104

191

285

292

14

41

61

73

102

189

284

284

15

40

59

72

101

188

282

282

16

38

58

71

99

186

281

281

17

37

57

70

98

185

280

280

18

36

56

69

97

184

279

279

19

35

55

68

96

183

278

278

20

35

54

67

96

183

277

277

21

34

54

67

95

182

277

277

22

34

53

66

95

182

276

276

23

33

53

65

94

181

276

276

24

32

52

65

93

180

275

275

25

32

51

64

93

180

274

274

26

31

51

65

92

179

274

274

27

30

50

67

91

178

273

273

28

30

49

69

91

178

272

272

29

29

49

72

90

177

272

272

30

28

48

74

89

176

271

271

3.23 Rand

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

111

124

130

152

271

368

3207

2

112

125

131

153

272

369

2395

3

113

127

135

159

269

368

1816

4

114

128

139

164

267

369

1409

5

115

131

143

167

267

362

1121

6

117

133

145

170

268

362

913

7

118

136

147

172

267

362

758

8

118

136

147

174

267

361

640

9

117

136

148

176

266

361

547

10

117

136

149

177

265

360

472

11

116

136

148

177

264

359

411

12

115

134

147

176

263

357

361

13

113

132

145

174

261

355

355

14

111

130

143

172

259

353

353

15

109

128

141

170

257

351

351

16

106

126

139

167

254

349

349

17

104

124

137

165

252

347

347

18

102

122

135

163

250

345

345

19

100

120

133

161

248

343

343

20

99

118

131

160

247

341

341

21

97

116

129

158

245

340

340

22

95

115

127

156

243

338

338

23

93

113

126

154

241

336

336

24

91

111

124

152

239

334

334

25

90

109

122

151

238

332

332

26

88

107

120

149

236

330

330

27

86

106

118

147

234

329

329

28

84

104

117

145

232

327

327

29

83

102

115

144

231

325

325

30

81

101

113

142

229

324

324

3.24 Real

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

163

175

182

204

323

419

3185

2

172

185

191

213

333

429

2411

3

176

190

198

223

332

429

1838

4

178

193

203

228

331

426

1428

5

179

195

206

230

331

426

1136

6

180

196

208

233

330

425

924

7

180

198

209

234

329

424

765

8

179

197

208

235

328

422

644

9

178

197

209

236

327

421

550

10

177

196

209

237

325

420

474

11

175

195

208

236

324

418

418

12

173

193

205

234

321

416

416

13

170

190

203

231

318

413

413

14

167

187

200

228

315

410

410

15

164

184

197

225

312

407

407

16

161

181

194

222

309

404

404

17

158

178

191

219

306

401

401

18

155

175

188

216

303

398

398

19

152

172

185

213

300

395

395

20

149

169

182

210

297

392

392

21

146

166

179

207

294

389

389

22

143

163

176

204

291

386

386

23

140

160

172

201

288

383

383

24

137

157

169

198

285

380

380

25

134

154

166

195

282

377

377

26

131

151

163

192

279

374

374

27

128

148

160

189

276

371

371

28

125

145

158

186

273

368

368

29

123

142

155

184

271

365

365

30

120

139

152

181

268

362

362

3.25 Renminbi-yuan

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

27

39

46

68

187

306

3162

2

27

40

47

69

188

347

2358

3

27

41

49

74

183

361

1781

4

27

41

52

77

180

361

1377

5

27

43

55

79

180

352

1091

6

28

45

56

81

179

339

885

7

29

47

57

82

178

323

732

8

28

46

58

84

177

306

615

9

27

46

58

86

176

289

524

10

27

46

59

87

175

272

451

11

27

46

59

88

175

269

392

12

26

46

58

87

174

269

343

13

25

45

58

87

174

268

302

14

25

45

57

86

173

268

268

15

25

44

57

86

173

267

267

16

25

44

57

86

173

267

267

17

25

44

57

86

173

267

267

18

25

44

57

86

173

267

267

19

25

44

57

86

173

267

267

20

25

44

57

86

173

267

267

21

25

44

57

86

173

267

267

22

25

44

57

86

173

267

267

23

25

44

60

86

173

267

267

24

24

44

62

85

172

267

267

25

24

44

65

85

172

267

267

26

24

43

66

85

172

266

266

27

23

43

69

84

171

266

266

28

23

43

72

84

171

266

266

29

23

42

74

84

171

265

265

30

22

42

77

83

170

265

265

3.26 Ringgit

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

24

36

43

65

184

303

3124

2

25

38

45

67

186

343

2330

3

26

40

48

73

182

357

1760

4

27

42

52

78

181

357

1361

5

29

45

57

81

181

349

1079

6

31

48

59

84

182

336

875

7

33

51

61

86

182

320

724

8

33

51

63

89

182

304

609

9

33

52

64

92

182

287

519

10

34

54

66

94

183

277

447

11

35

54

67

96

183

277

389

12

35

55

67

96

183

278

341

13

35

54

67

96

183

278

300

14

35

54

67

96

183

277

277

15

35

54

67

96

183

277

277

16

34

54

67

95

182

277

277

17

34

54

67

95

182

277

277

18

34

54

67

95

182

277

277

19

34

54

67

95

183

277

277

20

35

54

67

96

183

277

277

21

35

54

67

96

183

277

277

22

35

54

67

96

183

277

277

23

35

54

67

96

183

277

277

24

34

54

67

95

182

277

277

25

34

53

66

95

182

276

276

26

33

53

66

94

181

276

276

27

33

52

69

94

181

275

275

28

32

52

71

93

180

275

275

29

32

51

74

93

180

274

274

30

31

51

77

92

179

274

274

3.27 Russian rouble

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

121

134

140

162

282

378

3231

2

120

133

139

161

280

377

2425

3

118

132

140

165

274

372

1839

4

118

132

143

168

271

373

1425

5

118

133

145

169

270

365

1132

6

118

134

146

171

269

363

919

7

118

136

147

172

268

362

761

8

118

136

147

174

267

361

640

9

117

136

148

175

266

360

545

10

117

136

149

177

265

360

469

11

116

136

148

177

264

359

408

12

115

135

147

176

263

358

358

13

114

133

146

175

262

356

356

14

113

132

145

174

261

355

355

15

110

130

143

171

259

353

353

16

108

128

141

169

256

351

351

17

106

125

138

167

254

348

348

18

104

123

136

165

252

346

346

19

102

121

134

163

250

344

344

20

99

119

132

160

248

342

342

21

97

117

129

158

245

340

340

22

95

115

127

156

243

338

338

23

93

112

125

154

241

335

335

24

91

110

123

152

239

333

333

25

88

108

121

149

236

331

331

26

86

106

119

147

234

329

329

27

84

104

116

145

232

327

327

28

82

102

114

143

230

325

325

29

80

100

112

141

228

323

323

30

78

98

111

139

226

321

321

3.28 Singapore dollar

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

0

7

14

36

155

296

3053

2

0

9

16

37

157

335

2274

3

1

11

19

44

153

349

1716

4

1

13

23

49

151

349

1327

5

1

16

27

51

152

341

1052

6

2

19

30

55

153

328

853

7

4

21

32

57

153

313

706

8

4

22

34

60

153

296

593

9

4

23

35

63

153

279

505

10

4

24

36

65

153

263

435

11

4

24

37

65

152

247

378

12

4

24

36

65

152

247

331

13

4

23

36

65

152

246

291

14

4

23

36

65

152

246

258

15

5

23

39

64

152

246

246

16

6

23

40

64

151

246

246

17

6

23

43

64

151

246

246

18

6

23

46

64

151

246

246

19

7

23

48

64

151

246

246

20

7

23

50

65

152

246

246

21

7

24

53

65

152

247

247

22

8

24

54

66

153

247

247

23

8

24

57

66

153

247

247

24

8

25

60

66

153

248

248

25

9

25

62

66

153

248

248

26

9

25

64

67

153

248

248

27

9

25

67

69

153

248

248

28

10

25

69

71

154

248

248

29

10

25

72

73

154

248

248

30

10

25

74

74

154

248

248

3.29 South Korean won

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

31

44

50

72

191

298

3072

2

31

44

51

72

192

338

2291

3

30

44

52

76

186

352

1730

4

29

43

54

79

182

352

1337

5

29

44

56

80

181

343

1060

6

31

48

59

84

182

330

859

7

29

47

58

83

179

314

710

8

33

51

63

89

182

298

597

9

32

51

63

91

181

281

508

10

27

47

59

87

176

270

437

11

23

42

55

84

171

266

379

12

20

39

52

81

168

262

332

13

17

37

50

78

165

260

292

14

15

35

48

76

163

258

258

15

14

33

46

75

162

256

256

16

12

32

45

73

160

255

255

17

12

31

44

73

160

254

254

18

11

30

46

72

159

254

254

19

11

30

48

72

159

253

253

20

11

30

50

72

159

253

253

21

11

30

53

72

159

253

253

22

11

30

55

72

159

253

253

23

10

30

57

71

159

253

253

24

10

30

60

71

158

253

253

25

10

30

62

71

158

253

253

26

10

30

64

71

158

253

253

27

10

30

67

71

158

253

253

28

10

29

69

71

158

252

252

29

10

29

72

72

158

252

252

30

10

29

74

74

158

252

252

3.30 Turkish lira

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

197

210

216

238

357

454

3852

2

193

206

213

235

354

450

2860

3

188

202

210

235

344

440

2145

4

184

198

208

234

337

432

1646

5

179

195

207

231

332

426

1297

6

176

193

204

229

327

421

1046

7

173

191

202

227

322

417

862

8

169

187

199

225

318

413

722

9

165

184

196

224

314

408

613

10

161

181

193

222

310

404

527

11

157

177

190

218

306

400

456

12

153

173

186

214

301

396

398

13

149

169

182

210

297

392

392

14

146

165

178

207

294

388

388

15

142

162

174

203

290

385

385

16

139

158

171

200

287

381

381

17

135

155

168

196

283

378

378

18

132

152

165

193

280

375

375

19

129

149

162

191

278

372

372

20

127

146

159

188

275

369

369

21

124

144

156

185

272

367

367

22

121

141

154

182

269

364

364

23

119

138

151

180

267

361

361

24

116

135

148

177

264

358

358

25

113

133

146

174

261

356

356

26

111

130

143

172

259

353

353

27

108

128

141

169

256

351

351

28

106

126

138

167

254

349

349

29

104

123

136

165

252

346

346

30

102

121

134

163

250

344

344

3.31 US dollar

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

0

15

26

52

171

296

3054

2

0

15

26

52

171

335

2274

3

1

17

28

56

168

349

1716

4

1

20

32

62

167

349

1326

5

3

23

36

67

168

340

1051

6

5

27

39

69

168

328

853

7

8

31

42

71

169

312

706

8

10

34

46

74

169

296

593

9

12

37

50

76

169

279

505

10

13

39

51

77

169

263

435

11

13

40

53

78

169

263

378

12

14

42

54

80

169

263

331

13

15

43

55

80

169

263

292

14

16

44

55

81

169

263

263

15

16

44

55

81

169

263

263

16

16

44

55

81

168

263

263

17

16

44

55

81

168

263

263

18

16

44

55

81

168

263

263

19

16

44

55

81

169

263

263

20

16

44

55

81

169

263

263

21

16

44

55

81

169

264

264

22

16

44

55

81

169

264

264

23

16

44

57

81

169

264

264

24

16

44

60

81

169

264

264

25

16

44

62

81

169

263

263

26

16

44

65

81

169

263

263

27

16

44

67

81

169

263

263

28

16

44

69

81

168

263

263

29

16

44

72

81

168

262

262

30

16

44

74

81

168

262

262

3.32 Yen

Duration (in years)

Credit quality step 0

Credit quality step 1

Credit quality step 2

Credit quality step 3

Credit quality step 4

Credit quality step 5

Credit quality step 6

1

0

0

3

14

133

296

3045

2

0

1

6

14

132

334

2267

3

1

1

9

16

125

348

1710

4

1

3

11

19

121

347

1321

5

1

4

14

22

121

339

1046

6

2

4

16

25

120

325

848

7

2

6

19

27

120

310

700

8

2

6

22

30

120

293

588

9

2

7

24

31

120

277

501

10

4

8

26

34

120

260

431

11

4

9

29

36

120

244

374

12

4

9

31

38

120

229

327

13

4

10

33

41

120

215

288

14

4

11

36

43

120

215

255

15

5

12

38

44

121

215

227

16

6

12

40

47

121

215

215

17

6

14

43

49

121

216

216

18

6

14

45

51

122

216

216

19

7

15

47

53

122

217

217

20

7

16

50

54

123

217

217

21

7

17

52

57

123

218

218

22

7

17

54

59

124

218

218

23

8

19

57

60

126

219

219

24

8

19

59

62

128

219

219

25

9

20

61

64

129

219

219

26

9

21

63

66

131

219

219

27

9

22

66

68

131

219

219

28

10

22

68

70

132

219

219

29

10

24

70

72

133

219

219

30

10

24

73

74

135

219

219

ANNEX III

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

Currency

National insurance market

Volatility adjustment (in bps)

Euro

Austria

7

Euro

Belgium

7

Euro

Cyprus

7

Euro

Estonia

7

Euro

Finland

7

Euro

France

7

Euro

Germany

7

Euro

Greece

7

Euro

Ireland

7

Euro

Italy

7

Euro

Latvia

7

Euro

Lithuania

7

Euro

Luxembourg

7

Euro

Malta

7

Euro

Netherlands

7

Euro

Portugal

7

Euro

Slovakia

7

Euro

Slovenia

7

Euro

Spain

7

Czech koruna

Czech Republic

10

Danish krone

Denmark

21

Forint

Hungary

2

Krona

Sweden

13

Kuna

Croatia

2

Lev

Bulgaria

5

Pound sterling

United Kingdom

11

Romanian leu

Romania

1

Zloty

Poland

4

Króna

Iceland

1

Norwegian krone

Norway

30

Swiss franc

Liechtenstein

9

Swiss franc

Switzerland

9

Australian dollar

Australia

6

Canadian dollar

Canada

22

Renminbi-yuan

China

47

Hong Kong dollar

Hong Kong

5

US dollar

United States

27

Yen

Japan

9

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