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Equity Symmetric Adjustment

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

Raw SA (pp)

+2.27 pp

→

Clamped SA (pp)

+2.27 pp

→

Type 1 Shock (%)

41.27%

&

Type 2 Shock (%)

51.27%

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

Clamp to the regulatory corridor

SA=max⁡ ⁣(−10 pp,  min⁡(10 pp,  SAraw))SA = \max\!\bigl(-10\,\mathrm{pp},\;\min(10\,\mathrm{pp},\;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. The Symmetric Adjustment is a counter-cyclical mechanism applied to the standard equity risk capital charges to dampen pro-cyclical investment behavior by insurers.[1]

Input Terms

  • Current Index Level: The current level of the relevant equity index at the reporting date.
  • Average Index Level: The weighted average level of the relevant equity index over the last 36 months.

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)`, capped at +10% and floored at -10%.

Important Notes

  • Application: The resulting adjustment is added directly to the base shock factors for Type 1 (39%) and Type 2 (49%) equities.[1]
  • 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 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) 2015/2450 - QRT S.25.01 - 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.