Skip to main content
European Insurance and Occupational Pensions Authority

1135

Q&A

Question ID: 1135

Regulation Reference: Symmetric adjustment of the equity capital charge

Status: Final

Date of submission: 26 Jan 2017

Question

I'm not able to replicate the Symmetric Adjustent at 30/06/2016. I follow the examples given in the excel file, until the 28/01/2014 i can replicate correctly the Eiopa Index; but from 29/01/2014 onwards i have always an error in the computation. The weights are always the same for each date?

EIOPA answer

After reviewing this excel file, we have noticed the following differences:

Firstly, the calculations of EIOPA equity index are based on non-total return indices. It seems you are using total return indices. Please check for example the values for DAX index.                                                              
Secondly, for non-trading days the calculations are based on previous day's values. For example for 25 Dec, the value from 24 Dec is taken, or for 1 January, from 31 Dec.