ESA Joint Committee · priips-87 Final

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

Regulation
PRIIPs
Answered
2025-05-05
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

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 stress volatility based on the methodology defined in points 18(a), (b) and (c) of this Annex’ Should paragraph 26 read, ‘defined in points 18(a), (b), (c) and (d) of this Annex’ as it is (d) that defines the 95th percentile?

Answer

As stated in point 18(d) of Annex IV of the PRIIPs Delegated Regulation, the use of the 99th percentile for one year and the 95th percentile for other holding periods is a part of the definition of, and calculation method for inferring, the stressed volatility. The stressed volatility is also used in the calculation of the stress scenario for Category 3 PRIIPs. Consequently, when calculating the stressed volatility for Category 3 PRIIPs, this should be done by inferring the value that corresponds to the 99th percentile for one year and the 95th percentile of the distribution of volatilities for other holding periods, respectively.
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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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