In the case of actively managed funds (meaning there is not a benchmark that can reflect the
performance) that have been valued on a weekly basis for more than 10 years (i.e. that currently
have only

Question

In the case of actively managed funds (meaning there is not a benchmark that can reflect the
performance) that have been valued on a weekly basis for more than 10 years (i.e. that currently
have only weekly NAV time series), but would transition to daily valuations, we would like to have a
clarification on the following points:
i) Under the PRIIPs Regulation, can we still use weekly NAV for the calculation of VaR until we have a
NAV time series (greater or equal 2 years)?

ii) For performance scenarios calculation we use 11 years weekly data. Does it mean we can switch
to daily scenario calculation only in 11 years?

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

First, it is relevant to mention that it is necessary for the data series used to include the most recent
price data available at the time of the calculation. It can also be noted that, given the requirements
regarding the necessary historical data may be different (depending on the PRIIP Category) for the
performance scenarios and MRM, a different frequency of price data might need to be used for the
performance scenarios calculations compared to the MRM calculation.
In terms of the specific questions raised, the PRIIPs Delegated Regulation does not address directly the
case described and a number of different approaches can be possible including the continued use of
weekly prices or the use of daily price data concatenated with daily prices of a proxy (if an appropriate
proxy is available). At the same time, the PRIIP manufacturer should select the most plausible and
appropriate approach for the particular product.

In the case of actively managed funds (meaning there is not a benchmark that can reflect the performance) that have been valued on a weekly basis for more than 10 years (i.e. that currently have only

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