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Version date: 1 January 2018 - 31 December 2022
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Annex II Methodology for the presentation of risk

Part 1 Market risk assessment

Determination of the market risk measure (MRM)

1. Market risk is measured by the annualised volatility corresponding to the value-at-risk (VaR) at a confidence level of 97,5 % over the recommended holding period, unless stated otherwise. The VaR is the percentage of the amount invested, that is returned to the retail investor.

2. The PRIIP shall be assigned a MRM class according to the following table:

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

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

4. Category 1 covers the following:

(a) PRIIPs where investors could lose more than the amount they invested;

(b) PRIIPs that fall within one of the categories referred to in items 4 to 10 of Section C of Annex I to Direct