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The European Insurance and Occupational Pensions Authority (EIOPA) published the technical information on the symmetric adjustment of the equity capital charge.
The information published includes the daily level of the symmetric adjustment during the last eight years and the values of EIOPA equity index considered in the calculation of the symmetric adjustment. In addition EIOPA provides a step-by-step example allowing for full transparency of all the details of the calculation methodology.
Symmetric adjustment of the equity capital charge shall be included in the calculation of the equity risk sub-module in the Market Risk of Solvency Capital Requirements standard formula to cover the risk arising from changes in the level of equity prices. This adjustment is regulated mainly in Article 106 of the Solvency II Directive; Article 172 of the Solvency II Delegated Acts as well as in EIOPA's proposal of ITS on the equity index for the symmetric adjustment of the equity capital charge
The published file includes data for 31 December 2014 and 31 January 2015. As of March 2015, the publication will be updated on a monthly basis. To view the document click here
Symmetric adjustment of the equity capital charge