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ALFI thinks that for all calculations of the SRI, a fund’s credit risk should always be considered as being 1. Generally, the absence of a guarantee scheme should not make funds be disregarded in comparison to other products. Funds, whose investments are insolvency remote, should instead be able to highlight the role of the depositary in the section “What happens if [the name of the PRIIP’s manufacturer] is unable to pay?”. All assets which the depositary holds in custody must be subject to adequate segregation. The depositary’s safekeeping duties are detailed by EU and national law. Additionally, due to the variable and uncertain nature of the guarantee amount, this aspect may not be easily quantifiable into a unique synthetic indicator.
For other PRIIPs where credit risk is relevant, a credit risk adjustment depending on the tenor could be considered. This would reflect the fact that the credit risk to which a PRIIP holder is exposed to increases with the maturity / holding period of the product.
The SRI should clearly indicate that it is computed on the assumption that the investor keeps it until maturity, and therefore that it does not cover risk associated with early redemptions by investors or secondary market transactions. A warning should be required for capital guaranteed PRIIPs, stating that the value of the PRIIP could be significantly lower than the guaranteed value during the life of the PRIIP due to market and liquidity risk and fluctuations of market prices.
As a general comment ALFI considers that additional guidelines should be given by the ESAs regarding the moderate scenario which needs to be defined in greater details. A list of indicative benchmarks and their performance scenarios should be provided by the ESAs to give adequate guidelines to the various actors. This would allow comparability between products having similar holding periods.