ESA Joint Committee · priips-61 Final

Should the 10% threshold for calculating credit risk in Annex II, part 2, Point 35 be applied per instrument or per exposure?

Regulation
PRIIPs
Answered
2017-08-18
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Should the 10% threshold for calculating credit risk in Annex II, part 2, Point 35 be applied per instrument or per exposure?

Answer

The 10% threshold should be assessed per reference entity. For example, if a PRIIP invests directly in multiple financial instruments issued by the same reference entity which individually represent less than 10% of the total assets or value of the PRIIP, but which when considered together represent 10% or more of the total assets or value of the PRIIP, then for the purposes of Annex II, Part 2, Point 35, these instruments should be assessed as an exposure of more than 10% to be separately assessed. When a PRIIP (“initial PRIIP”) invests in another PRIIP (“underlying PRIIP”) that does not entail credit risk itself but makes underlying investments that entail credit risk, a look through analysis is required only if the underlying PRIIP represents an exposure of 10 % or more of the total assets or value of the initial PRIIP.
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.

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