ESA Joint Committee · priips-47 Final

The principal component analysis of Annex II, Point 23 ensures the consistent simulation of curves. Is it mandatory to use this method also for PRIIPs that depend on only one interest rate underlying,

Name: The principal component analysis of Annex II, Point 23 ensures the consistent simulation of curves. Is it mandatory to use this method also for PRIIPs that depend on only one interest rate underlying,: ESA Joint Committee Q&A — EU Financial Regulatory Q&A
Creator: ESA Joint Committee (EBA, ESMA, EIOPA)
License: https://creativecommons.org/licenses/by/4.0/

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

More Q&As on this regulation →

⚠

Joint Committee Q&As are published in consolidated PDF documents without explicit question/answer delimiters. Section boundaries below are identified automatically and may occasionally be imprecise.

Question

The principal component analysis of Annex II, Point 23 ensures the consistent simulation of curves. Is it mandatory to use this method also for PRIIPs that depend on only one interest rate underlying, e.g. bonds with yearly coupons of max (12m EURIBOR + 0.5%, 0.3%)?

Answer

A PCA is required whenever an interest rate or interest rates are observed at multiple times in the future. The purpose of the PCA is to capture the correlation between interest rate movements at different points of time in the future. In the example given a PCA would be needed.

View original on ESA Joint Committee (EBA, ESMA, EIOPA) ↗

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.

Similar Q&As

Point 26 of Annex IV reads: ‘For Category 3 PRIIPs, the following adjustments shall be made for the calculation of the stress scenario compared to the calculation for Category 2 PRIIPs: (a) infer the

Answered 2025-05-05

Point 15 of Annex IV of the Delegated Regulation states that for Category 2 PRIIPs for which there is not an appropriate benchmark with sufficient history, performance scenarios shall be calculated in

Answered 2022-11-14

Please clarify the requirement in Point 38 of Annex II, part II: where a credit assessment is not available under both (a) and (b), i.e. there is not both a credit assessment assigned to the PRIIP and

Answered 2017-07-04

In Annex IV, Case 3 for PRIIPs referred to in point 1 of Annex VIII without sufficient historical data and with no benchmark, or with a benchmark without sufficient historical data, or any other Categ

Answered 2023-12-05

Packaged retail and insurance-based investment products (PRIIPs)

Answered 2025-12-02

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.