EUROPEAN UNION: EIOPA Publishes Monthly update of the Symmetric Adjustment of the Equity Capital Charge for Solvency II

Thursday June 6 2019

On 6th June 2019, the European Insurance and Occupational Pensions Authority has published the technical information on the symmetric adjustment of the equity capital charge for Solvency II with reference to the end of May 2019.

For the sake of clarity a simple example is used where the EIOPA equity index is composed only of two indices of two stock exchanges. Calculations are based on the daily observations of the markets during the trading days of the last three calendar years

• Step 1: Calculation of the oldest date of the period of calculation
• Step 2: Extraction of the daily values of indices for the 36 months period of calculation
• Step 3: Normalization of the indices to 100 % at the beginning of the observation period
• Step 4: Calculation of the EIOPA Equity Index according to the weights of each index
• Step 4: Application of the formula set out in Article 172 of Implementing Measures

Click here to view the documentation.

Background

The symmetric adjustment is regulated mainly in Article 106 of Directive 2009/138/EC (Solvency II Directive); Article 172 of the of the Delegated Regulation of Solvency II as well as in EIOPA’s Final report on ITS on the equity index for the symmetric adjustment of the equity capital charge.

Click on the above link for further information.