Commission Delegated Regulation (EU) 2017/653of 8 March 2017supplementing Regulation (EU) No 1286/2014 of the European Parliament and of the Council on key information documents for packaged retail and insurance-based investment products (PRIIPs) by laying down regulatory technical standards with regard to the presentation, content, review and revision of key information documents and the conditions for fulfilling the requirement to provide such documents(Text with EEA relevance) (revoked)

PART 1Market risk assessment

Determination of the market risk measure (MRM)

1.Market risk is measured by the annualised volatility corresponding to...

2.The PRIIP shall be assigned a MRM class according to...

Specification of PRIIP categories for the purposes of the market...

3.For the purposes of determining market risk, PRIIPs are divided...

4.Category 1 covers the following:

5.Category 2 covers PRIIPs which, either directly or on a...

6.Category 3 covers PRIIPs whose values reflect the prices of...

7.Category 4 covers PRIIPs whose values depend in part on...

Use of appropriate benchmarks or proxies to specify PRIIPs categories...

MRM class determination for Category 1 PRIIPs

8.The MRM class for Category 1 PRIIPs shall be 7,...

MRM class determination for Category 2 PRIIPs

9.The VaR shall be calculated from the moments of the...

10.Where data on daily prices covering a period of 5...

11.The return over each period is defined as the natural...

12.The VaR measure in return space is given by the...

13.The VEV is given by:

14.For PRIIPs that are managed according to investment policies or...

15.The PRIIP shall be assigned to a MRM class as...

MRM class determination for Category 3 PRIIPs

16.The VaR in price space shall be calculated from a...

17.The VEV is given by:

18.The PRIIP shall be assigned to a MRM class as...

19.The minimum number of simulations is 10 000.

20.The simulation is based on bootstrapping the expected distribution of...

21.For the purposes of the simulation referred to in points...

22.For each simulation of a spot price (or level), the...

23.For curves, a principal component analysis (PCA) shall be performed...

24.For PRIIPS in Category 3 that are characterized by an...

MRM class determination for Category 4 PRIIPs

25.Where the PRIIP performance depends on a factor or factors...

26.The different components of the PRIIP that contribute to the...

27.The component of the PRIIP that depends wholly or partly...

28.The VEV of each component of the PRIIP shall be...

29.For Category 4 PRIIPs that are characterized by an unconditional...

PART 2Methodology for assessing credit risk

I.GENERAL REQUIREMENTS

30.A PRIIP or its underlying investments or exposures shall be...

31.Where an entity directly engages to make a payment to...

32.If all payment obligations of an obligor or one or...

33.For PRIIPs which are exposed to underlying investments or techniques,...

34.Where the credit risk is entailed solely at the level...

35.Where a PRIIP is exposed to multiple underlying investments entailing...

36.Underlying investments or exposures to exchange-traded derivatives or cleared OTC...

II.CREDIT RISK ASSESSMENT

Credit assessment of obligors

37.Where available, a PRIIP manufacturer shall define ex-ante one or...

38.The level of credit risk of the PRIIP and each...

Allocation of credit assessments to credit quality steps

39.The allocation of credit assessments of ECAIs to an objective...

40.In the case of credit risks assessed on a look-through...

41.In the case of credit risks assessed on a cascade...

42.The credit quality step pursuant to point 38 of this...

43.If the obligor has no external credit assessments, the default...

III.CREDIT RISK MEASURE

44.A PRIIP shall be allocated to a credit risk measure...

45.Table on the mapping of credit quality steps into a...

46.The CRM may be assigned as 1 where the assets...

47.The CRM may be assigned as 2 where the assets...

48.Where credit risk is to be assessed on a look-through...

49.Where a PRIIP is not able to satisfy the criteria...

50.The CRM pursuant to point 45 of this Annex shall...

51.The CRM pursuant to point 45 of this Annex shall...

PART 3Aggregation of market and credit risk into the summary risk...

52.The overall summary risk indicator (SRI) is assigned according to...

Monitoring data with relevance for the summary risk indicator

53.The PRIIP manufacturer shall monitor market data relevant to the...

54.The PRIIP manufacturer shall also monitor credit risk criteria relevant...

55.A review of the MRM class shall always be carried...

PART 4Liquidity risk

56.A PRIIP shall be considered as having a materially relevant...

57.A PRIIP shall be considered illiquid, whether contractually or not,...

58.A PRIIP shall be considered liquid in all other cases....

ANNEX IIIPRESENTATION OF SRI

Presentation format

1.PRIIP manufacturers shall use the format below for the presentation...

Completion guidance with regard to the SRI

2.The narrative explanation after the SRI shall briefly explain the...

3.Immediately below the SRI, the time frame of the recommended...

4.As applicable for each PRIIP, the narrative explanation shall include:...

5.For PRIIPs offering a range of options for investment, PRIIP...

6.For derivatives that are futures, call options and put options...

Narrative explanations

7.For the purposes of the SRI presentation, including point 4...

ANNEX IVPERFORMANCE SCENARIOS

Number of scenarios

1.The four performance scenarios under this Regulation which shall show...

2.The stress scenario shall set out significant unfavourable impacts of...

3.An additional scenario for insurance-based investment products shall be based...

Calculation of scenario values for the recommended holding period

4.The scenario values under different performance scenarios shall be calculated...

5.The unfavourable scenario shall be the value of the PRIIP...

6.The moderate scenario shall be the value of the PRIIP...

7.The favourable scenario shall be the value of the PRIIP...

8.The stress scenario shall be the value of the PRIIP...

9.For Category 2 PRIIPs, the expected values at the end...

10.For Category 2 PRIIPs, the calculation of the stress scenario...

11.For Category 2 PRIIPs, the expected values at the end...

12.For Category 3 PRIIPs, the following adjustments shall be made...

13.For Category 3 PRIIPs, the following adjustments shall be made...

14.For Category 3 PRIIPs, the stress scenario shall be the...

15.For Category 4 PRIIPs, the method under point 27 of...

16.For Category 1 PRIIPs as defined in point 4(a) of...

17.For Category 1 PRIIPs, that are futures, call options and...

18.For Category 1 PRIIPs as defined in point 4(c) of...

Calculation of expected values for intermediate holding periods

19.For PRIIPs with a recommended holding period between 1 and...

20.For PRIIPs with a recommended holding period of 3 years...

21.For PRIIPs with a recommended holding period of 1 year...

22.For Category 2 PRIIPs, the values to be shown for...

23.For Category 1 PRIIPs and Category 4 PRIIPs, the values...

24.For Category 3 PRIIPs, to produce the favourable, moderate, unfavourable...

25.For Category 1 PRIIPs that are futures, call options and...

26.For favourable, moderate and unfavourable scenarios at intermediate periods, the...

27.The unfavourable scenario shall be the estimate of the value...

28.The moderate scenario shall be the estimate of the value...

29.The favourable scenario shall be the estimate of the value...

30.The stress scenario shall be the estimate of the value...

General requirements

31.The performance of the PRIIP shall be calculated net of...

32.Performance shall be presented in monetary units. The amounts used...

33.Performance shall also be presented in percentage terms, as the...

34.For an insurance based investment product, the following shall apply...

ANNEX VMETHODOLOGY FOR THE PRESENTATION OF PERFORMANCE SCENARIOS

PART 1General presentation specifications

1.The performance scenarios shall be presented in a way that...

2.Where performance scenarios may be shown only at maturity or...

3.In all cases, the narrative explanations set out in elements...

PART 2Presentation of performance scenarios

ANNEX VIMETHODOLOGY FOR THE CALCULATION OF COSTS

PART 1List of costs

I.LIST OF COSTS OF INVESTMENTS FUNDS (AIFs AND UCITS)

Costs to be disclosed

One-off costs

1.A one-off cost is an entry or exit cost which...

2.One-off costs are costs borne by the retail investor that...

3.One-off costs include, but are not limited to, the following...

Recurring Costs

4.Recurring costs are payments deducted from the assets of an...

5.Recurring costs include, but are not limited to, the following...

Incidental costs

6.The following types of incidental costs shall be taken into...

Calculation of specific types of costs of investments funds

Transaction costs

7.Transaction costs shall be calculated on an annualised basis, based...

8.The aggregate transaction costs for a PRIIP shall be calculated...

9.When calculating the transaction costs incurred by the PRIIP over...

10.Estimates of transaction costs using the methodology described below in...

Treatment of anti-dilution mechanisms

11.Where a PRIIP has a pricing mechanism that offsets the...

Actual transaction costs

12.The actual transaction costs for each transaction shall be calculated...

13.The net realised execution price shall be determined as the...

14.The arrival price shall be determined as the mid-market price...

15.Where information about the time when the order to transact...

16.Costs associated with transactions undertaken by PRIIPs and concerning financial...

17.In calculating the costs associated with foreign exchange, the arrival...

18.In calculating the costs associated with orders that are initially...

Transaction costs for other assets

19.When estimating transaction costs for assets other than assets as...

20.The transaction cost estimate must not be less than the...

Transaction costs for new PRIIPs

21.For PRIIPs that have been operating for less than 3...

22.Estimates of portfolio turnover for a PRIIP that has been...

23.For PRIIPs that have been operating for less than three...

Performance related fees

24.To calculate performance related fees, the following steps shall be...

Carried interests

25.To calculate carried interests, the following steps shall be taken:...

26.If no carried interests are taken throughout the investment, a...

II.LIST OF COSTS OF PRIPS OTHER THAN INVESTMENT FUNDS

Costs to be disclosed

One-off costs

27.A one-off cost is an entry and exit cost which...

28.One-off costs are borne by a PRIP other than an...

One-off entry costs and charges

29.One-off entry costs and charges include, but are not limited...

One-off exit costs and charges

30.One-off exit costs and charges include, but are not limited...

Recurring Costs

31.Recurring costs are payments regularly deducted from all payments due...

32.Recurring costs include all types of cost borne by a...

33.The following list is indicative but not exhaustive of the...

Costs of PRIPs referred to in point 17 of Annex...

34.One-off exit costs and charges are exchange fees, clearing fees...

35.Recurring costs are hedging costs borne under normal market conditions...

Calculation of implicit costs of PRIPs other than investment funds...

36.For the purposes of the calculation of the implicit costs...

37.The difference between the price and the fair value of...

38.Fair value is the price that would be received to...

39.The fair value policy that governs the measurement of the...

40.The rules referred to in point 39 of this Annex...

41.The fair value of a structured product shall be determined...

42.If the fair value cannot be derived from market prices,...

43.The valuation technique referred to in point 42 of this...

44.In the case of subscription products, the fair value shall...

45.Where preliminary terms are used, costs shall be calculated by...

46.Where variable subscription prices are used, a procedure on how...

III.LIST OF COSTS OF INSURANCE-BASED INVESTMENT PRODUCTS

Costs to be disclosed

One-off costs

47.A one-off cost is an entry and exit cost which...

48.One-off costs are borne by an insurance-based investment product, whether...

49.One-off costs include, but are not limited to, the following...

Recurring costs

50.Recurring costs are payments regularly deducted from all payments from...

51.The recurring costs include all types of costs borne by...

52.The following list is indicative but not exhaustive of the...

53.Where an insurance-based investment product invests a part of its...

Cost disclosure of the biometric risk premium of insurance based...

Costs part of biometric risk premiums

54.Biometric risk premiums are those premiums paid directly by the...

55.The fair value of biometric risk premiums is the expected...

56.Best estimate assumptions on future benefit payments from insurance coverage...

57.The estimated future benefit payments shall not include prudency margins...

58.For manufacturers within the scope of Directive 2009/138/EC these best...

59.The cost part of biometric risk premiums is the difference...

60.A PRIIP manufacturer may include the full biometric risk premiums...

PART 2Summary cost indicators and compound effect of the costs

I.SUMMARY COST INDICATORS

61.The summary cost indicator of the PRIIP is the reduction...

62.For the calculation of the summary cost indicator the costs...

One-off costs and one-off costs ratios

63.The entry and exit costs ratio of the PRIIP shall...

64.For the calculation of the entry and exit costs ratio...

Recurring costs, portfolio transaction costs and insurance costs/other recurring costs...

65.The portfolio transaction costs, insurance costs and other recurring costs...

66.For the calculation of the portfolio transaction costs ratio and...

67.The other recurring costs ratio shall be the reduction of...

Incidental costs and incidental costs ratios (performance fees and carried...

68.For the calculation of the performance fees ratio, the cost...

69.The ‘ongoing costs’, ‘performance fees’ and ‘carried interests’ as referred...

Calculation of summary cost indicator

70.The summary cost indicator shall be calculated as the difference...

71.The estimation of future benefit payments under point 70 of...

72.For the purpose of the calculation of the cost free...

Specific requirements for PRIPs other than investment funds

73.For the purpose of the calculation of the cost free...

Specific requirements for insurance-based investment products

74.For the purpose of the calculations described in points 70...

75.To the extent recurring and one-off costs are covered by...

76.For profit participation for insurance based investment products the following...

Calculation of ratios

Anti-double counting principle

77.If one type of cost is covered by two or...

Other specifications

78.The ratios shall be expressed as a percentage to two...

79.The ratios shall be calculated at least once a year....

80.The ratios shall be based on the most recent cost...

81.Apart from the first calculation for a new PRIIP, and...

82.The ex-post figures shall be based on recent cost calculations...

83.Information about the ratios that were applicable during previous years/periods...

84.Where the costs attributable to an underlying UCITS or AIF...

Calculation methodology for new PRIIPs

85.In place of ex-post data, estimates shall be used in...

86.For PRIIPs which charge a fixed all-inclusive fee, that fee...

87.For PRIIPs which set a cap or maximum on the...

88.If, in the PRIIP manufacturer's opinion, expressing a figure to...

89.The PRIIP manufacturer shall ensure that the accuracy of the...

II.COMPOUND EFFECT OF THE COSTS

Common requirements to all types of PRIIPs

90.The table(s) referred to in Article 5 shall contain an...

91.Where the currency of the PRIIP is not in Euros,...

92.The total costs shall include one-off, recurring and incidental costs,...

93.Exit penalties are to be distinguished from other exit costs...

94.The relevance of exit penalties depends on the holding period...

ANNEX VIIPRESENTATION OF COSTS

The Reduction in Yield (RIY) shows what impact the total...

The amounts shown here are the cumulative costs of the...

Table 1Cost over time

Table 2Composition of costs

Commission Delegated Regulation (EU) 2017/653

of 8 March 2017

supplementing Regulation (EU) No 1286/2014 of the European Parliament and of the Council on key information documents for packaged retail and insurance-based investment products (PRIIPs) by laying down regulatory technical standards with regard to the presentation, content, review and revision of key information documents and the conditions for fulfilling the requirement to provide such documents

(Text with EEA relevance) (revoked)

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