Disclosure Policies for the Issuer Estimated Value — Facts and Fiction

What is your desire? Retail investor preferences in structured products

“…By the nature of the CBCA, the relative importance of an attribute depends on the dispersion of its values. Regarding the costs and the cap as the most relevant factors, the chosen ranges are quite realistic, although we have placed some more emphasis on the costs: According to the descriptive statistics of Baule et al (2019), DAX discount certificates of 8 issuers exhibit a SD of 27% in the cap level and 0.44 percentage points in the implicitly disclosed annualized costs.…”

“…The definition of costs in the PRIIPs regulation is not crystal clear [9]. Current evidence from Baule et al (2019) for the “Issuer Estimated Value”, which is based on issuer self-regulation and can be seen as the predecessor of cost disclosure in the PRIIPs regulation, shows that issuers have different interpretations of what to actually disclose. As a consequence, these values were not comparable and thus misleading.…”

“…It can thus take on a “high” and a “low” value for each product, where the specification of high and low depends on the cap level: For a cap level of 100 EUR, the low value is 2 and the high value is 3; for a cap level 110 EUR, the values are 3 and 4; for a cap level 120 EUR they have 4 and 5; and for a cap level of 130 EUR 5 and 6.For investors' costs, we choose three levels: 0.15, 0.5 and 1.0%. These are realistic values for actual costs, both regarding the size and the dispersion (see Baule et al , 2019, for a recent study). The costs are explicitly given in the key information document.…”

“…(3) For investors' costs, we choose three levels: 0.15, 0.5 and 1.0%. These are realistic values for actual costs, both regarding the size and the dispersion (see Baule et al, 2019, for a recent study). The costs are explicitly given in the key information document.…”

Are Issuer Margins Fairly Stated? Evidence from the Issuer Estimated Value for Retail Structured Products

“…On assessing the fairness of the reported gross margins, our present study should be considered together with Reference [21], who collected published IEVs of DAX certificates and stressed various difficulties when trying to validate the issuer's pricing models and with Reference [22] who carried out a similar analysis as the present paper, however focusing just on discount certificates. Although, in 2018 the IEV has been replaced by similar margin and cost information due to the newly introduced Packaged Retail and Insurance-based Investment Products Regulation, we believe that a study of the correctness and consistency of these values might still be a fruitful guide when considering these new statements.…”