What kind of index is it ? It is an index of return in very short term (overnight) EUR money markets. I.e. what European banks can earn by lending money to another European bank. Currently the rate is negative so not too attractive an investment :D
It is probably similar to (or just another name for) Deutsche Bank EONIA Total Return Index - EUR
The Bloomberg code for it is DBDCONIA and the Reuters RIC is .DBDCONIA. "capitalisé" means it represents the return of an investor who earns EONIA for a day (jour[nalier] = daily) and re-invests the interest at the same rate. (So from EONIA (Euro OverNight Index Average) you could even calculate it yourself by compunding the interest daily, if you are familiar with interest rate calculations).