A fully protected product can be allocated to MRM 1. Is this still the case if the underlying assets do
not have the required minimum historical data, or is the product automatically allocated to MRM

Question

A fully protected product can be allocated to MRM 1. Is this still the case if the underlying assets do
not have the required minimum historical data, or is the product automatically allocated to MRM 6
in that case?

ESA Joint Committee (EBA, ESMA, EIOPA) · Accepted Answer

When a product has protection at maturity this prevails over the availability of data. For a PRIIP that
has a 100% protection at maturity and insufficient availability of data, the manufacturer may apply the
methodology set out in Points 24 and 29 of Annex II, which indicates that the 97.5% VaR at maturity
may be assumed to be the redemption amount. This redemption value should then be discounted to
the present date using the expected risk-free discount. This does not necessarily mean that the PRIIP
will be allocated in MRM 1 as this depends on the discounted value.

A fully protected product can be allocated to MRM 1. Is this still the case if the underlying assets do not have the required minimum historical data, or is the product automatically allocated to MRM

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