ESA Joint Committee · priips-72 Final

What is the intended calculation for the “linear transformation” in point 7(c)(iv) iof Annex IV of the Delegated Regulation?

Regulation
PRIIPs
Answered
2022-11-14
Answer provided by
ESAs (EBA, ESMA, EIOPA)
⚠

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Question

What is the intended calculation for the “linear transformation” in point 7(c)(iv) iof Annex IV of the Delegated Regulation?

Answer

The linear transformation that must be done on the performance calculated for sub intervals indicated in point 7(b) of Annex IV of the Delegated Regulation (i.e., shorter than the recommended holding period) is necessary to make these returns comparable to the ones calculated for sub intervals indicated in point 7(a) of Annex IV, (i.e. with length equal to the recommended holding period), such that they can all afterwards be ranked for the purpose of selecting the unfavourable scenario. The linear transformation means that the performance over that shorter period (e.g. an outcome of 8,000 EUR over 2 years) is taken to be also the performance over the recommended holding period (e.g. an outcome of 8,000 EUR over the recommended holding period).

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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