Market Risk Measure (MRM) – Highwire Extensions

Introduction

The Market Risk Measure is an input into the Summary Risk Indicator (SRI) which is assigned to PRIIPS funds. PRIIPS are EU-wide Packaged Retail and Insurance-based Investment Products.

Market Risk Measure is largely determined by VaR Equivalent Volatility (VEV). An asset or portfolio is assigned a Risk Class determined by the VEV. These Risk Classes are assigned as follows:

Risk Class	MRM (VEV)
1	0% - 0.5%
2	0.5% - 5%
3	5% - 12%
4	12% - 20%
5	20% - 30%
6	30% - 80%
7	80%+