Packaged retail and insurance-based investment products (PRIIPs)

Question

We would like to have a clarification on the following points : 1. Under the PRIIPs Regulation, can we still use weekly NAV for the calculation of VaR until we have a NAV time series (greater or equal 2 years) ? If not what would you advise ? 2. For Performance scenarios calculation we use 11 years weekly data. Does it mean we can switch to daily scenario calculation only in 11 years ? If not what would you advise ? We aim to ensure that our transition to daily pricing and the corresponding VaR calculations are conducted in full alignment with regulatory expectations.

European Insurance and Occupational Pensions Authority · Accepted Answer

First, it is relevant to mention that it is necessary for the data series used to include the most recent price data available at the time of the calculation. It can also be noted that, given the requirements regarding the necessary historical data may be different (depending on the PRIIP Category) for the performance scenarios and MRM, a different frequency of price data might need to be used for the performance scenarios calculations compared to the MRM calculation. In terms of the specific questions raised, the PRIIPs Delegated Regulation does not address directly the case described and a number of different approaches can be possible including the continued use of weekly prices or the use of daily price data concatenated with daily prices of a proxy (if an appropriate proxy is available). At the same time, the PRIIP manufacturer should select the most plausible and appropriate approach for the particular product.

Packaged retail and insurance-based investment products (PRIIPs)

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