ESAs publish new Level 3 guidance on EU PRIIP

On May 5, 2025, the European Supervisory Authorities (ESAs) provided an update to their PRIIP Q&As and introduced a few new Questions and Answers in relation to the EU PRIIPs regulatory requirements.

The Q&As document encompasses the guidance of the European Supervisory Authorities (ESAs) on the application and implementation of the PRIIP Regulation and its Level 2 Delegated Acts. It addresses questions related to the interpretation of PRIIP Regulation and Regulatory Technical Standards (RTS).

The newly added Q&As are outlined as follows:

Section III : Market Risk Assessment – MRM class determination – Annex II of the PRIIP Delegated Regulation

Q&A 9 clarifies whether during the annual review of a PRIIP, if the market risk measure (MRM) class changes but has not matched the majority of reference points over the preceding four months, it is permissible to avoid republishing the document due to an upcoming monitoring event.

❓ The Question: The PRIIPs Delegated Regulation states that if the MRM class changes, the new class should only be adopted if it has been the majority class for the last four months, based on monthly observations. But during the mandatory 12-month KID review, what happens if:

• A new MRM class is triggered,

• but it hasn’t yet reached the four-month majority threshold?

Can the manufacturer switch to the new class early to avoid another document update soon?

💡 Key Takeaway: You should not adopt a new MRM class unless it has been the majority class for the last four months. Even during an annual review, a one-off fluctuation doesn’t justify updating the Summary Risk Indicator (SRI) unless the data consistently supports the change. This protects against misleading short-term reclassifications and ensures that the KID remains fair and reliable. The purpose of this measure is to provide a smoothing effect so that frequent fluctuations of the MRM class between two neighbouring MRM classes should generally be disregarded.

Section VI : Performance Scenarios – Art. 3 and 8 and Annexes IV and V of the PRIIP Delegated Regulation

Q&A 24 clarifies how point 26 of the PRIIP Delegated Regulation should be understood in relation to the use of percentiles in the context of the stress scenario calculation for Category 3 PRIIPs.

❓ The Question: Point 26 of Annex IV states that the stress volatility for Category 3 PRIIPs should be derived using the methodology in points 18(a), (b), and (c). However, point 18(d) is the part that defines the percentile thresholds (e.g. 95th percentile) used to derive the actual stress values. Therefore, it is not clear whether the 18(d), which defines the 95th percentile threshold, is relevant.

💡 Key Takeaway: Yes — although not explicitly stated, point 18(d) must be applied.

The ESAs have confirmed that point 18(d) plays a critical role in the calculation of stress volatility for Category 3 PRIIPs. Although point 26 doesn’t refer to it directly, the methodology outlined in point 18(d) — which defines the confidence levels (99% for 1 year, 95% for longer terms) — is an integral part of the calculation and must be used.

Q&A 25 clarifies the length of sub-interval that should be used, when calculating favorable, moderate, unfavorable for intermediate holding periods for Category 2 PRIIPs referred to in point 1 of Annex VIII (i.e. UCITS/AIFs for which fav, mod, unf is based on historical worst, mid, best outcome over a period.

❓ The Question: Annex IV, point 35 of the PRIIPs RTS instructs us to show values for unfavourable, moderate, and favourable scenarios based on the intermediate holding period (IHP) applying the methodology set out in points 5 to 14 of the same annex. However, point 7 refers to the recommended holding period as the duration of the sub-interval, so it’s unclear whether, in cases where point 7 is applied to calculate the IHP, the sub-interval should be adjusted to match the IHP length.

💡 Key Takeaway: The ESAs have confirmed: Yes, the actual length of the intermediate holding period — whether you are applying fixed or decreasing sub-intervals — shall be used and not the RHP interval in case of IHP calculation.

Q&A 26 clarifies the meaning of ‘1 year’ and ‘> 1 year’ in the table in point 18 of Annex IV of PRIIPs L2 and which holding periods below 1 year are to be included in ‘1 year’.

❓ The Question: What is the meaning of ‘1 year’ and ‘> 1 year’ in the table in paragraph 18 of Annex IV of PRIIPs L2, which is relevant in the context of determining stress volatility? In particular, does ‘1 year’ include all Recommended Holding Periods (RHPs) of less than 1 year like e.g. 6 months RHP?

💡 Key Takeaway: The ESAs confirm that it is the intention that the figures in the table below the label ‘1 year’ should be applied for the calculation of the stress scenario where the holding period is 1 year or less. The ESAs also clarify that if the stress volatility is determined for a product that requires a 1-year IHP, then this means that the IHP period will use the figures for 1 year when calculating the stress scenario for 1-year IHP, and >1 year for the remaining holding periods.

📌 cleversoft’s Takeaway: cleversoft has seen inconsistencies in the market on this and the previous points, so while feedback from the ESAs is delayed, it is important for consistent application and determination of performance scenarios for IHP, and in particular the stress scenario.

Section XIII : Methodology for the calculation of costs – Calculation of the summary cost indicators (Annex VI, Part 2 of the PRIIP Delegated Regulation)

Q&A 6 confirms that entry costs should be included in the EUR 10 000 amount referred to in Annex VI, point 90.

❓ The Question: Should entry costs be included in the €10,000 investment amount referred to in point 90 of Annex VI of the PRIIPs Delegated Regulation, which appears at the top of the Cost over Time table as the theoretical investment value.

💡 Key Takeaway: The ESAs have confirmed: Yes, entry costs must be included in the €10,000 investment base.

cleversoft Services

Our Regulatory Watch follows all developments. As part of our compliance commitment, we are happy to offer our customers continuously evolving regulatory services that take into account regulatory changes and new disclosure requirements.

Further information on our PRIIPs services can be found on our website. If you have any questions, please contact our team of experts via the web form.