ESA Joint Committee · priips-25 Final

Are PRIIPs with unconditional capital protection categorised as Category 2 or Category 3?

Regulation
PRIIPs
Answered
2017-07-04
Answer provided by
ESAs (EBA, ESMA, EIOPA)
⚠

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Question

Are PRIIPs with unconditional capital protection categorised as Category 2 or Category 3?

Answer

If there is an unconditionally protected amount this usually indicates a non-linear PRIIP and therefore Category 3 or 4 is more likely. In this case, in accordance with Points 24 and 29 of Annex II, Part 1, the MRM may be calculated by discounting the protected amount to get the (97,5%) VaR.

This Q&A is published by ESA Joint Committee (EBA, ESMA, EIOPA) and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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