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)
CHAPTER I
CONTENT AND PRESENTATION OF THE KEY INFORMATION DOCUMENT
Article 1
General information section
Article 2
‘What is this product?’ section
Article 3
‘What are the risks and what could I get in return?’ section
Article 4
‘What happens if [the name of the PRIIP manufacturer] is unable to pay out?’ section
Article 5
‘What are the costs?’ section
Article 6
‘How long should I hold it and can I take my money out early?’ section
Article 7
‘How can I complain?’ section
Article 8
‘Other relevant information’ section
Article 9
Template
CHAPTER II
SPECIFIC PROVISIONS ON THE KEY INFORMATION DOCUMENT
Article 10
PRIIPs offering a range of options for investment
Article 11
‘What is this product’ section in the generic key information document
Article 12
‘What are the risks and what could I get in return?’ section in the generic key information document
Article 13
‘What are the costs?’ section in the generic key information document
Article 14
Specific information on each underlying investment option
CHAPTER III
REVIEW AND REVISION OF THE KEY INFORMATION DOCUMENT
Article 15
Review
Article 16
Revision
CHAPTER IV
DELIVERY OF THE KEY INFORMATION DOCUMENT
Article 17
Conditions on good time
Article 18
Final Provision
ANNEX I
TEMPLATE FOR THE KEY INFORMATION DOCUMENT
ANNEX II
METHODOLOGY FOR THE PRESENTATION OF RISK
PART 1
Market risk assessment
Determination of the market risk measure (MRM)
MRM class |
VaR-equivalent volatility (VEV) |
1 |
< 0,5 % |
2 |
0,5 % - 5,0 % |
3 |
5,0 % - 12 % |
4 |
12 % - 20 % |
5 |
20 % - 30 % |
6 |
30 % - 80 % |
7 |
> 80 % |
Specification of PRIIP categories for the purposes of the market risk assessment
Use of appropriate benchmarks or proxies to specify PRIIPs categories
MRM class determination for Category 1 PRIIPs
MRM class determination for Category 2 PRIIPs
MRM class determination for Category 3 PRIIPs
MRM class determination for Category 4 PRIIPs
PART 2
Methodology for assessing credit risk
I. GENERAL REQUIREMENTS
II. CREDIT RISK ASSESSMENT
Credit assessment of obligors
Allocation of credit assessments to credit quality steps
Credit quality step pursuant to point 38 of this Annex |
Adjusted credit quality step, in the case where the maturity of the PRIIP, or its recommended holding period where a PRIIP does not have a maturity, is up to one year |
Adjusted credit quality step, in the case where the maturity of the PRIIP, or its recommended holding period where a PRIIP does not have a maturity, ranges from one year up to 12 years |
Adjusted credit quality step, in the case where the maturity of the PRIIP, or its recommended holding period where a PRIIP does not have a maturity, exceeds 12 years |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
2 |
1 |
2 |
2 |
3 |
2 |
3 |
3 |
4 |
3 |
4 |
5 |
5 |
4 |
5 |
6 |
6 |
6 |
6 |
6 |
III. CREDIT RISK MEASURE
Adjusted credit quality step |
Credit risk measure |
0 |
1 |
1 |
1 |
2 |
2 |
3 |
3 |
4 |
4 |
5 |
5 |
6 |
6 |
PART 3
Aggregation of market and credit risk into the summary risk indicator
MRM class CRM class |
MR1 |
MR2 |
MR3 |
MR4 |
MR5 |
MR6 |
MR7 |
CR1 |
1 |
2 |
3 |
4 |
5 |
6 |
7 |
CR2 |
1 |
2 |
3 |
4 |
5 |
6 |
7 |
CR3 |
3 |
3 |
3 |
4 |
5 |
6 |
7 |
CR4 |
5 |
5 |
5 |
5 |
5 |
6 |
7 |
CR5 |
5 |
5 |
5 |
5 |
5 |
6 |
7 |
CR6 |
6 |
6 |
6 |
6 |
6 |
6 |
7 |
Monitoring data with relevance for the summary risk indicator
PART 4
Liquidity risk
ANNEX III
PRESENTATION OF SRI
Presentation format
Completion guidance with regard to the SRI
Narrative explanations
ANNEX IV
PERFORMANCE SCENARIOS
Number of scenarios
Calculation of scenario values for the recommended holding period
|
1 year |
> 1 year |
Daily prices |
21 |
63 |
Weekly prices |
8 |
16 |
Monthly prices |
6 |
12 |
Calculation of expected values for intermediate holding periods
General requirements
ANNEX V
METHODOLOGY FOR THE PRESENTATION OF PERFORMANCE SCENARIOS
PART 1
General presentation specifications
PART 2
Presentation of performance scenarios
Template A: Single investment and/or single premium is paid.
Single investment paid
Single premium paid
Template B: Regular investments and/or premiums are paid.
Regular investments paid
Regular premiums paid
Performance scenarios
ANNEX VI
METHODOLOGY FOR THE CALCULATION OF COSTS
PART 1
List of costs
I. LIST OF COSTS OF INVESTMENTS FUNDS (AIFs AND UCITS)
Costs to be disclosed
One-off costs
Recurring Costs
Incidental costs
Calculation of specific types of costs of investments funds
Transaction costs
Treatment of anti-dilution mechanisms
Actual transaction costs
Transaction costs for other assets
Transaction costs for new PRIIPs
Asset Classes |
|
Government bonds |
Government bonds and similar instruments developed market rating AAA-A |
Government bonds and similar instruments developed market different rating below A |
|
Government bonds emerging markets (hard and soft currency) |
Government bonds emerging markets (hard and soft currency) |
Investment grade corporate bonds |
Investment grade corporate bonds |
Other corporate bonds |
High yield corporate bonds |
Asset Classes |
|
Liquidity |
Money market instruments (for the sake of clarity, money markets funds not included) |
Shares developed markets |
Large-cap shares (developed markets) |
Mid-cap shares (developed markets) |
|
Small-cap shares (developed markets) |
|
Shares emerging markets |
Large-cap shares (emerging markets) |
Mid-cap shares (emerging markets) |
|
Small-cap shares (emerging markets) |
|
Listed derivatives |
Listed derivatives |
Asset Classes |
|
OTC |
OTC Exotic options |
OTC Plain vanilla options |
|
OTC IRS, CDS and similar |
|
OTC Swaps and similar instruments (different from IRS, CDS and similar) |
|
OTC FX Forwards developed markets |
|
OTC FX Forwards emerging markets |