Regarding the methodologies for performance scenario described in Annex IV of the Delegated
Regulation ((EU) 2021/2268) it is not clear what approach should be used to build performance
scenarios for

Question

Regarding the methodologies for performance scenario described in Annex IV of the Delegated
Regulation ((EU) 2021/2268) it is not clear what approach should be used to build performance
scenarios for Category 2 PRIIPs other than unit linked, UCITS and AIF, for which sufficient historical
data are available. We would like to know whether this situation should fall under Case 1 or whether
it should be considered under Case 3. If it needs to be considered under Case 3, we would like to ask
for further explanation about the data to use. Since the historical data of the PRIIP are sufficient, no
supplement should be necessary. Therefore, we would like to know whether only the historical data
of the PRIIP should be used or whether they should be completely replaced by the historical value of
the relevant benchmark regulated by Regulation (EU) 2016/1011.

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

Case 3 applies which covers ‘any other Category 2 PRIIP’ that does not fall within point 1 of Annex VIII
of the Delegated Regulation.
However, Case 3 does not exclude the use of the actual price history or the use of a benchmark with
sufficient price history. In the case described only the historical data of the PRIIP should be used. The
use of benchmarks regulated by Regulation (EU) 2016/1011 covers the case where it is necessary to
supplement the actual PRIIP values or the benchmark referred to in point 12 of Annex IV of the
Delegated Regulation in order to have sufficient historical data.

Regarding the methodologies for performance scenario described in Annex IV of the Delegated Regulation ((EU) 2021/2268) it is not clear what approach should be used to build performance scenarios for

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