ESA Joint Committee · priips-44 Final
The MRM class determination for Category 3 PRIIPs, as specified in Annex II, Point 16, states that the “[…] VaR shall be the value of the PRIIP at the 97.5% confidence level […]”. Since the formula in
- Regulation
- PRIIPs
- Answered
- 2017-07-04
- Answer provided by
- ESAs (EBA, ESMA, EIOPA)
⚠
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Question
The MRM class determination for Category 3 PRIIPs, as specified in Annex II, Point 16, states that the
“[…] VaR shall be the value of the PRIIP at the 97.5% confidence level […]”. Since the formula in Annex
II, Point 17 can only be reasonably applied for a value of VaR between 0 and 1, please clarify that the
VaR in this formula shall be the ratio of the value of the PRIIP at the 97.5% confidence level and the
initial value of the PRIIP according to the proposed methodology?
Answer
The VaR is calculated from the ratio of the value at a 97.5% confidence level and the amount invested
in the PRIIP (as this represents the potential loss to the investor). This is stated in Annex II, Part 1, Point
1.
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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