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European Insurance and Occupational Pensions Authority

Calculation of the equity risk sub-module: symmetric adjustment mechanism

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TITLE I > CHAPTER VI > SECTION 4

Article number:  106

1.  The equity risk sub-module calculated in accordance with the standard formula shall include a symmetric adjustment to the equity capital charge applied to cover the risk arising from changes in the level of equity prices.

2.  The symmetric adjustment made to the standard equity capital charge, calibrated in accordance with Article 104(4), covering the risk arising from changes in the level of equity prices shall be based on a function of the current level of an appropriate equity index and a weighted average level of that index. The weighted average shall be calculated over an appropriate period of time which shall be the same for all insurance and reinsurance undertakings.

3.  The symmetric adjustment made to the standard equity capital charge covering the risk arising from changes in the level of equity prices shall not result in an equity capital charge being applied that is more than 10 percentage points lower or 10 percentage points higher than the standard equity capital charge.

Metadata

RULEBOOK TOPIC:  SECTION 4 - Solvency capital requirement

RULEBOOK CATEGORY:  DIRECTIVE 138/2009/EC (SOLVENCY II DIRECTIVE)

Last update on:  03 May 2021