For PRIIPs that allow for investment in underlying instruments of a different nature, which are classified in different groups for risk calculation, how should the Summary Risk Indicator (SRI) be calc

The reason for the question is that Commission Delegated Regulation indicates the methodology for the calculation of the single underlying and not the combination. It can be helpful to make a distinction between those PRIIPs that allow for investment in underlyings of a different nature because they are for example an Undertaking for Collective Investment or a structured product, and those PRIIPs that allow for the retail investor to invest in different types of underlyings of their choosing (i.e. multi-option products). For the first type of PRIIP described above the categorisation for the purposes of the market risk assessment depends on the overall PRIIP pay-off structure of the portfolio as a whole, and not on the underlyings as such. In the two cases mentioned in the question the PRIIP would be classified as Category 2. Where a PRIIP includes a material exposure to a non-linear underlying financial instrument and a linear one, and that, as a consequence, the combined pay-off structure is materially non-linear (e.g. a PRIIP delivers an overall return equal to the upside of an index above a given strike, then the PRIIP would be Category 3). For multi-option products, the categorisation may be different for different units offered. The KID for the MOP itself (the generic KID) would include a range of SRI classes in accordance with Article 12(1)(a), but not the range of categorisations.