Packaged Retail and Insurance-Based Investment Products (PRIIPs) require the publication of Key Information Documents (KIDs) as from January 2018. PRIIPs manufacturers and distributors have now until 1 January 2018 to comply with the regulation’s requirements for disclosure of quantitative and qualitative information.
Products which require production of KID are all investment funds targeted to retail investors, Structured deposits, Structured Products, Derivative instruments, Life insurance product exposed to market fluctuations, Certain pension funds.
Depending on client’s particular needs, our service can extend from regulatory check to full provision of KID for PRIIPs.
IN-HOUSE IMPLEMENTATION ADVISORY
- Project Management
- Internal coordination (legal/risk/commercial)
- Business support through implementation phases
- Collection of all the KIDs attributes, payoff configuration, market data feed.
- KID metrics calculations: CRM, MRM, SRI and Costs.
- PDF documents set-up and generation, KIDs publishing and monitoring.
What are the challenges?
- Up to 5 years of historical returns to collect
- Transactions record for cost calculation
- Management of qualitative data
- Historical market data for simulations
- External agencies credit ratings
- Data about underlying investments
- Data collection from external asset managers
- Connectivity with outsource providers
- Secured and efficient process to implement
- Market Risk Measure based on Cornish-Fisher VaR
- Monte-Carlo simulated returns
- Performance attribution for insurance products
- Credit Risk Measure including mitigation adjustments
- Scenarios based on advanced statistical concepts
- Modelling of returns distribution and percentiles
- Identification of ‘significant unfavourable impacts’ (tail events)
- ‘Reduction in Yield’ estimation through cost-free simulations
- Backtracking of historical transaction costs
- Fair Value Estimations
KID production process
- Assembly of qualitative and quantitative data in a strictly standardized template
- Timeliness challenge to have KID prepared in due time
- Integration of the KID production in the product lifecycle
- Incorrect or incomplete KID could lead to significant penalties
- Need for a strong validation process
- Control of risk indicators and literal information
- KID to be revised in case of material change
- Regular monitoring of risk indicators
- Monitoring of the impact of changes in the portfolio
We would be happy to arrange a free demo on one of your products to show our solution
If you are interested in these services, do not hesitate to contact Marc-Louis Schmitz for more information.