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.