Q&A

Question

Could you please clarify how to include symetric adjustment to the calculation of equity shock when using transitional approach? I see 2 options: 1) (1 – a) × 22% + a × [39% or 49% + symmetric adjustment], where a is equal to 0% at the start of the transition period (2016) and 100% at the end of the transitional period (January 2023) or 2) (1 – a) × 22% + a × [39% or 49%] + symmetric adjustment Is 1) or 2) correct?

EIOPA answer

Article 308b 13) of the Directive 2009/138/EC states that the transitional equity stress should be calculated as the weighted averages of:

1. the standard parameter to be used when calculating the equity risk sub-module in accordance with Article 304; and

2.the standard parameter to be used when calculating the equity risk sub-module in accordance with the standard formula without the option set out in Article 304.

Parameter as referred to in paragraph 1 is 22% (Article 170 of Commission Delegated Regulation (EU) 2015/35). 

Parameter as referred to in paragraph 2 is 39% or 49% + symmetric adjustment (Article 169 of the Commission Delegated Regulation (EU) 2015/35).

The correct answer is therefore option 1.