Question ID: 3298
Regulation Reference: Symmetric adjustment of the equity capital charge
Topic: Other
Status: Final
Date of submission: 21 Mar 2025
Question
Could you please provide the exact market data source for the index prices used in the symmetric adjustment calculation? Additionally, how do you handle holidays? Do you use the data from the indices on the holiday itself, or do you rely on the previous workday's data? For instance, in the case of Japan, February 11 (2025), was a holiday. We observed that some sources had updated values of Nikkei 225 for that day (which differed from value of 10/02), while other sources used the data from 10/02 for 11/02 as well. Which approach do you use?
EIOPA answer
We are retrieving the index data through LSEG’s Datascope Select. The RICs are:
- .FCHI
- .GDAXIP
- .FTMIB
- .AEX
- .WIG30
- .IBEX
- .OMXS30
- .SSMI
- .FTAS
- .N225
- .SP500
Empty values get filled in with the previously available market data.