Packaged retail and insurance-based investment products (PRIIPs)

a) The ESMA Guidelines has brought a general change in the rules to calculate performance fees. On the subject of performance fee calculation, PRIIPS RTS prescribes that where a full performance fees history is not available because the fund/share class is new or the fund's terms have changed due to the introduction of the performance fee or the change of one of its parameters, the abovementioned method shall be adjusted according to the following steps with the following steps basically requiring to concatenate performance fees actually paid in the past and simulations whenever there are less than 5 years of history. We noticed, however, that the ESMA Guidelines tend to reduce the expected value of performance fees , so we were trying to understand whether we still have to rely on the average of the performance fees paid in the last 5 years or we could recalculate the performance fees based by applying the new rules to the (gross) performance of the fund in the last 5 years. This is also linked to the following point on performance scenarios. b) The new PRIIPs RTS require very long time series in order to generate the performance scenarios. We will have to extend the actual time series with benchmarks representing the investment strategy of the fund. However, it is not clear how we should net these of fees: a. Let us assume our fund was launched in 2016 with a 10 years RHP, meaning that we need 15 years of data to generate the performance scenarios. We have concatenated the actual returns from 2016 to 2022 to the returns of the benchmark from 2007 to 2016. Imagine the management fee of the fund has been reduced in 2020 from 0.7% to 0.5%: should we net the return of the benchmark using the most recent cost (0.5%) or the one which is closer to the end of the simulated period (0.7%)? As the performance scenarios are a forward looking indicator we would like to use 0.5%, but could not find specific indications. b. Variable costs are harder to manage: (i) the ESMA Guidelines have made the old benchmark rules inapplicable and (ii) performance fees are scenario dependent according to ESMA Guidelines. If we net the returns of the benchmark using the average performance fees for the last 5 years, it would be equal to assuming that the rule has not changed; we could improve the situation by recalculating the average performance fees for the last 5 years using the new rule, but then the cost used for the performance scenarios would not be in line with the cost disclosure if we were to apply the concatenation rule. Moreover, as you probably know ESMA Guidelines require the fund to recover above e certain threshold before paying again performance fees, and at the current market levels it will take some time to get to that point: we think the most accurate representation would be recalculating the last 5 years using the new algorithm and then netting the expected value of the performance fees to be paid from today to the RHP based on the amount the fund has to recover. These are just a couple of relevant examples, and we would like to understand if we can expect some clarifications from EIOPA. We are obviously available to provide you with real-life examples and to explain the matter in a call should this description not be clear enough.