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Equity Symmetric Adjustment

Calculate the Symmetric Adjustment (pp), Type 1 Effective Shock (%), and Type 2 Effective Shock (%) instantly.

Index Ratio

1.0455

=

Current Index Level (CI)

1 150

÷

36-Month Weighted Average (AI)

1 100

Raw SA

-1.73 pp

=

Index Ratio - 1.08

-3.45 pp

×

Half Factor

50.00%

Clamped SA

-1.73 pp

=

Raw SA

-1.73 pp

Type 1 Shock

37.27%

=

Type 1 Base Shock

39.00%

+

Clamped SA

-1.73 pp

Type 2 Shock

47.27%

=

Type 2 Base Shock

49.00%

+

Clamped SA

-1.73 pp

1Step 1

Compute the ratio of the current index to its 36-month weighted average (Art. 172)

Ratio=CIAI\mathrm{Ratio} = \frac{CI}{AI}
2Step 2

Derive the unclamped symmetric adjustment

SAraw=12 (Ratio−1.08)SA_\mathrm{raw} = \tfrac{1}{2}\,\bigl(\mathrm{Ratio} - 1.08\bigr)
3Step 3

Clamp to the regulatory corridor

SA=max⁡ ⁣(−Limit,  min⁡(Limit,  SAraw))SA = \max\!\bigl(-Limit,\;\min(Limit,\;SA_\mathrm{raw})\bigr)
4Step 4

Apply to base equity shocks (Art. 169)

Type 1=39%+SA,Type 2=49%+SA\text{Type\,1} = 39\% + SA,\qquad \text{Type\,2} = 49\% + SA

Understand the Equity Symmetric Adjustment

Overview

This calculator implements the Equity Symmetric Adjustment within the Solvency II Market Risk standard formula.[1]

Input Terms

  • Current Index Level (CI): The current level of the relevant equity index at the reporting date.
  • 36-Month Weighted Average (AI): The weighted average level of the relevant equity index over the last 36 months.
  • Article 172 Corridor: The applicable symmetric-adjustment cap/floor: +/-10 percentage points under the current rulebook, or +/-13 percentage points from 30 January 2027 under Regulation (EU) 2026/269.

Technical Rationale

The Symmetric Adjustment is designed to increase the equity risk capital requirement when equity markets are high relative to their historical average (to build capital buffers) and decrease the requirement when markets are low (to prevent forced selling). The adjustment is calculated as `0.5 * (Current Index / Average Index - 1.08)` in decimal terms, then converted to percentage points and capped/floored by the selected Article 172 corridor.

Important Notes

  • Application: The resulting adjustment is added directly to the base shock factors for Type 1 (39%) and Type 2 (49%) equities.[1]
  • Source governance: The equity-risk engine stores the latest imported EIOPA workbook period, file name, and SHA-256 hash so downstream SA inputs can be tied back to an official monthly source.
  • Regulatory deviation: Material deviation from standard-formula assumptions at this layer may support a capital add-on or a move toward an internal model where justified.[2]
  • Reporting: The displayed result is intended to support the corresponding standard-formula component feeding the S.25.01.01 standard-formula reporting view.[3]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 172 (Symmetric adjustment of the equity capital charge) - EIOPA
  2. Directive 2009/138/EC - Art. 37 (Capital add-on) - EIOPA
  3. Commission Implementing Regulation (EU) 2023/894 - QRT S.25.01.01 (SCR standard formula) - EUR-Lex

Default values are illustrative sample inputs for navigation, training, and QA. Replace them with controlled data before using the result in capital analysis, governance, or reporting decisions.