2017R0653_EN.V

ANNEX V - METHODOLOGY FOR THE PRESENTATION OF PERFORMANCE SCENARIOS

Info

🔗 Back to Summary. 🇫🇷 French Version: 2017R0653_FR.V. Back to Summary of LVL1. Link to the PDF.

Article IIII – PERFORMANCE SCENARIOS ⬅️ | ➡️ Article VI – METHODOLOGY FOR THE CALCULATION OF COSTS

PART 1

General presentation specifications

1.

The performance scenarios shall be presented in a way that is accurate, fair, clear and not misleading, and that is likely to be understood by the average retail investor.

2.

In all cases, the following narrative explanations from Part 2 of this Annex shall be included:

(a)

element A;

(b)

element B, which shall appear prominently above the performance scenario table or graph.

3.

For all PRIIPs except Category 1 PRIIPs referred to in point 30 of Annex IV:

(a)

element C in Part 2 of this Annex shall appear prominently above the performance scenario table;

(b)

information on the minimum investment return shall be stated within the performance scenario table and where appropriate element G in Part 2 of this Annex shall be included. Where a minimum return is guaranteed that minimum return shall be stated in monetary amounts for the holding periods for which the guarantee applies. Where no minimum return is guaranteed, or where the guarantee is only applicable for some but not all holding periods, a narrative shall be included for the relevant holding periods stating that retail investors may lose some or all of the amount invested, or, where applicable, that retail investors may lose more than they invested as set out in Part 3 of this Annex.

4.

Where a stress scenario is shown, narrative element D in Part 2 of this Annex shall be included.

5.

For Category 2 PRIIPs, except those referred to in point 15 of Annex IV, narrative explanations shall be included for the unfavourable, moderate and favourable scenarios using element E in Part 2 of this Annex.

6.

For Category 1 PRIIPs except those referred to in point 30 of Annex IV, Category 2 PRIIPs referred to in point 15 of Annex IV, Category 3 PRIIPs and Category 4 PRIIPs, a brief explanation of the scenarios shown shall be included with a maximum of 300 characters in plain language.

7.

Elements H, I, J and K in Part 2 of this Annex shall also be included in the case of Category 1 PRIIPs referred to in point 30 of Annex IV.

8.

Intermediate holding periods shall be shown in accordance with points 32, 33 and 34 of Annex IV. The interim periods may differ depending on the length of the recommended holding period.

9.

For PRIIPs that do not show performance scenarios at intermediate holding periods narrative element F in Part 2 of this Annex shall be included where relevant.

10.

Unless otherwise specified, for all PRIIPs except for Category 1 PRIIPs referred to in point 30 of Annex IV, PRIIP manufacturers shall use the templates set out in Part 3 of this Annex to present the performance scenarios, depending on whether it is a single investment or premium PRIIP, a regular payment or premium PRIIP, or a PRIIP as referred to in point 76c of Annex VI.

11.

The term ‘exit’ shall be used in the performance scenario table to represent the end of the investment, unless this term may be misleading for specific types of PRIIPs, in which case an alternative term may be used, such as ‘terminate’ or ‘surrender’.

12.

For Category 1 PRIIPs as defined in point 4(b) of Annex II, the terminology used shall be adjusted where appropriate to reflect the specific features of the PRIIP, such as to refer to the notional amount of the PRIIP.

13.

For insurance-based investment products, additional rows are included in respect of the biometric risk premium and a scenario for the insurance benefits, as illustrated in templates A and B in Part 3 of this Annex. Returns for that scenario shall only be shown in monetary terms.

14.

For PRIIPs that involve regular payments or premiums, the templates shall also include information on the accumulated investment amount and where applicable the accumulated biometric risk premium, as illustrated in template B in Part 3 of this Annex.

15.

For PRIIPs which are intended to be held for life, the recommended holding period stated in the performance scenarios may indicate that the PRIIP is intended to be held for life and state the number of years that have been used as an example for the calculation.

16.

For PRIIPs that are immediate annuities or other PRIIPs that are only intended to pay- out upon the occurrence of the insured event, the performance scenario table shall reflect the following, as appropriate:

(a)

the survival scenarios at the recommended holding period shall reflect the accumulated amount of payments made to the retail investor;

(b)

where intermediate survival scenarios are included, those shall reflect the surrender values and accumulated amount of payments made to the retail investor at that time;

(c)

the insurance event scenarios, such as upon death, shall show the lump sum payment received by the beneficiaries at that time.

17.

Where the PRIIP is called or cancelled before the end of the recommended holding period according to the simulation, the presentation of the performance scenarios shall be adjusted accordingly, as illustrated in template C in Part 3 of this Annex, and explanatory notes shall be added, in a way that it is clear whether a certain scenario includes an early call or cancellation and that no reinvestment assumption has been applied. In scenarios where the PRIIP is automatically called or cancelled the figures shall be shown in the column ‘If you exit at call or maturity’ of template C in Part 3 of this Annex. The time periods shown for the intermediate holding periods shall be the same for the different performance scenarios and shall be based on the recommended holding period if the PRIIP is not called, which is expected to be aligned with its maturity. Figures for intermediate holding periods shall only be shown for scenarios where the PRIIP has not yet been called or cancelled before or at the end of that intermediate holding period and shall include any exit costs that apply at that time. If the PRIIP would have been called before or at the end of that intermediate holding period based on the simulation no figures shall be shown at that time period.

PART 2

Prescribed narrative elements [Element A] The figures shown include all the costs of the product itself, [but may not include all the costs that you pay to your advisor or distributor/and includes the costs of your advisor or distributor]. The figures do not take into account your personal tax situation, which may also affect how much you get back.

[Element B] What you will get from this product depends on future market performance. Market developments in the future are uncertain and cannot be accurately predicted. [Element C] [The unfavourable, moderate, and favourable scenarios shown are illustrations using the worst, average, and best performance of [the product/a suitable benchmark] over the last [x] years.] [The scenarios shown are illustrations based on results from the past and on certain assumptions] (

for other types of PRIIPs

). Markets could develop very differently in the future.

[Element D] The stress scenario shows what you might get back in extreme market circumstances.

[Element E] This type of scenario occurred for an investment [

add reference to benchmark where applicable

] between [

add dates in years

]. [Element F] This product cannot be [easily] cashed in. If you exit the investment earlier than the recommended holding period [you do not have a guarantee [and] [you [will/may] have to pay extra costs] (

where there are exit costs

).

[Element G] The return is only guaranteed if you [

describe relevant conditions or refer to where these conditions are described in the key information document, such as the narrative explanations provided in accordance with Annex III

].

[Element H] This graph illustrates how your investment could perform. You can compare it with the pay-off graphs of other derivatives.

[Element I] The graph presented gives a range of possible outcomes and is not an exact indication of what you might get back. What you get will vary depending on how the underlying will develop. For each value of the underlying, the graph shows what the profit or loss of the product would be. The horizontal axis shows the various possible prices of the underlying value on the expiry date and the vertical axis shows the profit or loss.

[Element J] Buying this product holds that you think the underlying price will [increase/decrease].

[Element K] Your maximum loss would be that you will lose all your investment (premium paid).

PART 3

Templates

Template A: Single investment or single premium paid

Recommended holding period:

[]

Example Investment:

[EUR 10 000 ] Insurance premium:

[monetary amount]

If you [exit] after 1 year

If you [exit] after []

If you [exit] after

(where applicable)

(where applicable)

[recommended holding period]

[Survival] Scenarios

Minimum

[Monetary amount]

or

[There is no minimum guaranteed return [if you [exit] before […years/months/days]]

(where applicable)

. You could lose some or all of your investment [or have to make further payments to cover losses]

(where applicable)

]

Stress

What you might get back after costs

[] EUR

[] EUR

[] EUR

Average return each year

[] %

[] %

[] %

Unfavourable

What you might get back after costs

[] EUR

[] EUR

[] EUR

Average return each year

[] %

[] %

[] %

Moderate

What you might get back after costs

[] EUR

[] EUR

[] EUR

Average return each year

[] %

[] %

[] %

Favourable

What you might get back after costs

[] EUR

[] EUR

[] EUR

Average return each year

[] %

[] %

[] % [Death] Scenario

[Insured event]

What your beneficiaries might get back after costs

[] EUR

[] EUR

[] EUR

Template B: Regular investments or premiums paid

Recommended holding period:

[]

Example Investment:

[EUR 1 000 ] per year Insurance premium:

[monetary amount] per year

If you [exit] after 1 year

If you [exit] after []

If you [exit] after

(where applicable)

(where applicable)

[recommended holding period]

[Survival] Scenarios

Minimum

[Monetary amount]

or

[There is no minimum guaranteed return [if you [exit] before […years/months/days]]

(where applicable)

. You could lose some or all of your investment [or have to make further payments to cover losses]

(where applicable)

]

Stress

What you might get back after costs

[] EUR

[] EUR

[]EUR

Average return each year

[] %

[] %

[] %

Unfavourable

What you might get back after costs

[] EUR

[] EUR

[] EUR

Average return each year

[] %

[] %

[]%

Moderate

What you might get back after costs

[] EUR

[] EUR

[] EUR

Average return each year

[] %

[]%

[] %

Favourable

What you might get back after costs

[] EUR

[] EUR

[] EUR

Average return each year

[] %

[] %

[] %

Amount invested over time

[] EUR

[] EUR

[] EUR [Death] Scenario

[Insured event]

What your beneficiaries might get back after costs

[] EUR

[] EUR

[] EUR

Insurance premium taken over time

[] EUR

[] EUR

[] EUR

Template C: PRIIPs referred to in point 76c of Annex VI (Autocallables)

Recommended holding period:

Until the product is called or matures

This may be different in each scenario and is indicated in the table

Example Investment:

[EUR 10 000 ]

If you [exit] after 1 year

If you [exit] after []

If you [exit] at call or maturity

(where applicable)

(where applicable)

Scenarios

Minimum

[Monetary amount]

or

[There is no minimum guaranteed return [if you [exit] before […years/months/days]]

(where applicable)

. You could lose some or all of your investment [or have to make further payments to cover losses]

(where applicable)

]

Stress

What you might get back after costs

[] EUR

[] EUR

[] EUR

(product ends after [])

Average return each year

[] %

[] %

[] %

Unfavourable

What you might get back after costs

[] EUR

[] EUR

[] EUR

(product ends after [])

Average return each year

[] %

[] %

[] %

Moderate

What you might get back after costs

[] EUR

[] EUR

[] EUR

(product ends after [])

Average return each year

[] %

[] %

[] %

Favourable

What you might get back after costs

[] EUR

[] EUR

[] EUR

(product ends after [])

Average return each year

[] %

[] %

[] %# Table 1 in anx_I

Key Information Document
PurposeThis document provides you with key information about this investment product. It is not marketing material. The information is required by law to help you understand the nature, risks, costs, potential gains and losses of this product and to help you compare it with other products.
Product[Name of Product][Name of PRIIP manufacturer](where applicable)[ISIN or UPI][website for PRIIP manufacturer][Call [telephone number] for more information][[Name of Competent Authority] is responsible for supervising [Name of PRIIP Manufacturer] in relation to this Key Information Document](where applicable)[This PRIIP is authorised in [name of Member State]](where applicable)[[Name of UCITS management company] is authorised in [name of Member State] and regulated by [identity of competent authority](where applicable)[Name of AIFM] is authorised in [name of Member State] and regulated by [identity of competent authority][date of production of the KID]
[Alert (where applicable)You are about to purchase a product that is not simple and may be difficult to understand]
What is this product?TypeTermObjectivesIntended retail investor[Insurance benefits and costs]
What are the risks and what could I get in return?
Risk
Indicator
Performance
Scenarios
What happens if [PRIIP manufacturer] is unable to pay out?Information on whether there is a guarantee scheme, the name of the guarantor or investor compensation scheme operator, including the risks covered and those not covered.
What are the costs?Narratives on information to be included on other distribution costs
Costs over Time
Composition of Costs
How long should I hold it and can I take money out early?
Recommended [required minimum] holding period: [x]
Information on whether one can disinvest before maturity, the conditions for this, and applicable fees and penalties if any. Information on the consequences of cashing-in before the end of the term or before the end of the recommended holding period.
How can I complain?
Other relevant informationWhere applicable a short description of the information published on past performance

Table 1 in anx_II

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  %

Table 2 in anx_II

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

Table 3 in anx_II

Adjusted credit quality step	Credit risk measure
0	1
1	1
2	2
3	3
4	4
5	5
6	6

Table 4 in anx_II

MRM classCRM 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

Table 1 in anx_IV

	1 year	> 1 year
Daily prices	21	63
Weekly prices	8	16
Monthly prices	6	12

Table 1 in anx_V

Recommended holding period:	[]
Example Investment:	[EUR 10 000 ]
(Where applicable)Insurance premium:	[monetary amount]
	If you [exit] after 1 year
(where applicable)	(where applicable)
[Survival] Scenarios
Minimum	[Monetary amount]or[There is no minimum guaranteed return [if you [exit] before […years/months/days]](where applicable). You could lose some or all of your investment [or have to make further payments to cover losses](where applicable)]
Stress	What you might get back after costs
	Average return each year
Unfavourable	What you might get back after costs
	Average return each year
Moderate	What you might get back after costs
	Average return each year
Favourable	What you might get back after costs
	Average return each year
(Where applicable)[Death] Scenario
[Insured event]	What your beneficiaries might get back after costs

Table 2 in anx_V

Recommended holding period:	[]
Example Investment:	[EUR 1 000 ] per year
(Where applicable)Insurance premium:	[monetary amount] per year
	If you [exit] after 1 year
(where applicable)	(where applicable)
[Survival] Scenarios
Minimum	[Monetary amount]or[There is no minimum guaranteed return [if you [exit] before […years/months/days]](where applicable). You could lose some or all of your investment [or have to make further payments to cover losses](where applicable)]
Stress	What you might get back after costs
	Average return each year
Unfavourable	What you might get back after costs
	Average return each year
Moderate	What you might get back after costs
	Average return each year
Favourable	What you might get back after costs
	Average return each year
Amount invested over time	[] EUR
(Where applicable)[Death] Scenario
[Insured event]	What your beneficiaries might get back after costs
Insurance premium taken over time	[] EUR

Table 3 in anx_V

Recommended holding period:	Until the product is called or maturesThis may be different in each scenario and is indicated in the table
Example Investment:	[EUR 10 000 ]
	If you [exit] after 1 year
(where applicable)	(where applicable)
Scenarios
Minimum	[Monetary amount]or[There is no minimum guaranteed return [if you [exit] before […years/months/days]](where applicable). You could lose some or all of your investment [or have to make further payments to cover losses](where applicable)]
Stress	What you might get back after costs
(product ends after [])	Average return each year
Unfavourable	What you might get back after costs
(product ends after [])	Average return each year
Moderate	What you might get back after costs
(product ends after [])	Average return each year
Favourable	What you might get back after costs
(product ends after [])	Average return each year

Table 1 in anx_VI

Asset Classes
Government bonds
Government bonds and similar instruments developed market different rating below A
Government bonds emerging markets (hard and soft currency)
Investment grade corporate bonds
Other corporate bonds

Table 2 in anx_VI

Asset Classes
Liquidity
Shares developed markets
Mid-cap shares (developed markets)
Small-cap shares (developed markets)
Shares emerging markets
Mid-cap shares (emerging markets)
Small-cap shares (emerging markets)
Listed derivatives

Table 3 in anx_VI

Asset Classes
OTC
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

Table 1 in anx_VII

	If you [exit] after 1 year(where applicable)	If you [exit] after [1/2 recommended holding period](where applicable)	If you [exit] after [recommended holding period]
Total costs	[] EUR	[] EUR	[] EUR
Annual cost impact(*1)	[] %	[] % each year	[] % each year
(*1)‘This illustrates how costs reduce your return each year over the holding period. For example it shows that if you exit at the recommended holding period your average return per year is projected to be [] % before costs and [] % after costs.’(Where applicable):‘We may share part of the costs with the person selling you the product to cover the services they provide to you.(Where applicable)[They will inform you of the amount].’(Where applicable):‘These figures include the maximum distribution fee that the person selling you the product may charge ([] % of amount invested/[] EUR). This person will inform you of the actual distribution fee.’;

Table 2 in anx_VII

	If you [exit] after 1 year(where applicable)	If you [exit] after [1/2 recommended holding period](where applicable)	If you [exit] after [recommended holding period]
Total costs
— Insurance contract— Investment options	[] EUR[] – [] EUR	[] EUR[] – [] EUR	[] EUR[] – [] EUR
Annual cost impact(*1)
— Insurance contract— investment options	[] %[] – [] %	[] % each year[] – [] % each year	[] % each year[] – [] % each year
(*1)‘This illustrates how costs reduce your return each year over the holding period. For example it shows that if you exit at the recommended holding period your average return per year is projected to be [] % before costs and [] % after costs.’(Where applicable):‘We may share part of the costs with the person selling you the product to cover the services they provide to you.(Where applicable)[They will inform you of the amount.]’(Where applicable):‘These figures include the maximum distribution fee that the person selling you the product may charge ([] % of amount invested/[] EUR). This person will inform you of the actual distribution fee.’

Table 3 in anx_VII

	If the product is called at the first possible date []	If the product reaches maturity
Total costs	[] EUR	[] EUR
Annual cost impact(*1)	[] %	[] % each year
(*1)‘This illustrates how costs reduce your return each year over the holding period. For example, it shows that if you exit at maturity your average return per year is projected to be [] % before costs and [] % after costs.’(Where applicable):‘We may share part of the costs with the person selling you the product to cover the services they provide to you.(Where applicable)[They will inform you of the amount.]’(Where applicable):‘These figures include the maximum distribution fee that the person selling you the product may charge ([] % of amount invested/[] EUR). This person will inform you of the actual distribution fee.’

Table 4 in anx_VII

One-off costs upon entry or exit	(PRIPs): If you [exit] after [1 year/recommended holding period(if less than 1 year)](Insurance based investment products): Annual cost impact if you [exit] after [recommended holding period]
Entry costs	[Describe nature in no more than 300 characters. Examples:— ‘[] % of the amount you pay in when entering this investment’— ‘[] % of the first [] premiums you pay’— ‘These costs are already included in the [price/premiums] you pay’— ‘This includes distribution costs of [[] % of amount invested/[] EUR]. [This is the most you will be charged]. [The person selling you the product will inform you of the actual charge]’— ‘We do not charge an entry fee’]
Exit costs	[Describe nature in no more than 300 characters. Examples:— ‘[] % of your investment before it is paid out to you’— ‘We do not charge an exit fee for this product, [but the person selling you the product may do so]’(Where exit costs only apply in specific circumstances)– ‘These costs only apply if(explain circumstances or an example in maximum 200 characters)’For insurance-based investment products where exit costs only apply before exit at the recommended holding period, the column to the right shall state ‘N/A’ and the following statement shall be included in this column in addition to the descriptions above: ‘Exit costs are stated as ‘N/A’ in the next column as they do not apply if you keep the product until the recommended holding period’
Ongoing costs [taken each year]
Management fees and other administrative or operating costs	[Describe basis in no more than 150 characters. Example:‘[] % of the value of your investment per year’].This is an estimate based on actual costs over the last year.
Transaction costs	[] % of the value of your investment per year. This is an estimate of the costs incurred when we buy and sell the underlying investments for the product. The actual amount will vary depending on how much we buy and sell.
Incidental costs taken under specific conditions
Performance fees [and carried interest]	[[Describe in no more than 300 characters]. The actual amount will vary depending on how well your investment performs. The aggregated cost estimation above includes the average over the last 5 years.] or [There is no performance fee for this product].
(Where applicable):‘Different costs apply depending on the investment amount [explain circumstances or use an example in maximum 150 characters]’

Table 5 in anx_VII

One-off costs upon entry or exit	Annual cost impact if you [exit] after [recommended holding period]
Entry costs	[Describe nature in no more than 300 characters. Examples:— ‘[] % of the amount you pay in when entering this investment’— ‘[] % of the first [] premiums you pay’— ‘These costs are already included in the [price/premiums] you pay’— ‘This includes distribution costs of [[] % of amount invested/[] EUR]. [This is the most you will be charged]. [The person sellingyou the product will inform you of the actual charge]’— ‘We do not charge an entry fee’]
Exit costs	[Describe nature in no more than 300 characters. Examples:— ‘[] % of your investment before it is paid out to you’.— ‘We do not charge an exit fee for this product, [but the person selling you the product may do so]’.(Where exit costs only apply in specific circumstances)– ‘These costs only apply if(explain circumstances or an example in maximum 200 characters)’For insurance-based investment products where exit costs only apply before exit at the recommended holding period, the column to the right shall state ‘N/A’ and the following statement shall be included in this column in addition to the descriptions above: ‘Exit costs are stated as ‘N/A’ in the next column as they do not apply if you keep the product until the recommended holding period.’
Ongoing costs taken each year
Management fees and other administrative or operating costs	[Describe basis in no more than 150 characters. Example:‘[] % of the value of your investment per year’].This is an estimate based on actual costs over the last year.
Transaction costs	[] % of the value of your investment per year. This is an estimate of the costs incurred when we buy and sell the underlying investments for the product. The actual amount will vary depending on how much we buy and sell.
Incidental costs taken under specific conditions
Performance fees [and carried interest]	[[Describe in no more than 300 characters]. The actual amount will vary depending on how well your investment performs. The aggregated cost estimation above includes the average over the last 5 years.] or [There is no performance fee for this product].
(Where applicable):  ‘Different costs apply depending on the investment amount [explain circumstances or use an example in maximum 150 characters]’’