Annex II to Delegated Regulation (EU) 2017/653 is amended as follows:
Part 1 is amended as follows:
point 2 is replaced by the following:
The PRIIP shall be assigned a MRM class in accordance with the following table:
MRM class | VaR-equivalent volatility (VEV) |
1 | < 0,5 % |
2 | ≥ 0,5 % and < 5,0 % |
3 | ≥ 5,0 % and < 12 % |
4 | ≥ 12 % and < 20 % |
5 | ≥ 20 % and < 30 % |
6 | ≥ 30 % and < 80 % |
7 | ≥ 80 %’ |
point 13 is replaced by the following:
VEV = \frac{\sqrt{3.842 - 2 \cdot (\mathrm{VaR}_{\mathrm{RETURN\ SPACE}})} - 1.96}{\sqrt{T}}
The VEV is given by:
where T is the length of the recommended holding period in years.’;
point 17 is replaced by the following:
VEV = \frac{\sqrt{3.842 - 2 * \ln(\mathrm{VaR}_{\mathrm{PRICE}\,\mathrm{SPACE}})} - 1.96}{\sqrt{T}}
The VEV is given by:
where T is the length of the recommended holding period in years. Only in cases where the product is called or cancelled before the end of the recommended holding period according to the simulation, the period in years until the call or cancellation is used in the calculation.’;
in point 23, point (a)(ix) is replaced by the following:
projecting the returns onto the three principal eigenvectors calculated in the previous step by multiplying the NxM matrix of returns obtained in point (v) by the Mx3 matrix of eigenvectors obtained in point (viii);’;
in Part 3, the following point 52a is inserted:
Where the PRIIP manufacturer considers that the summary risk indicator number assigned following the aggregation of market and credit risk in accordance with point 52 does not adequately reflect the risks of the PRIIP, that PRIIP manufacturer may decide to increase that number. The decision making process for such an increase shall be documented.’.