The CCI risk score is not the PRIIPs SRI

The fastest way to fail UK CCI is to treat its risk score as the PRIIPs SRI with a new label. Both produce a number a retail investor reads on page one. The resemblance ends there, and the differences are exactly the kind that put a wrong number on a regulated document.

The PRIIPs SRI blends market risk and credit risk: a VaR-equivalent volatility from the scenario framework, a credit risk measure from ratings, a matrix lookup, seven classes. The CCI score is a different animal. Ten classes. Pure annualised volatility from the fund's own track record, mapped onto a fixed grid: below 0.5% annualised volatility is a 1; 50% and above is a 10. No credit-risk matrix. No scenario set. The regulation works instead through floors, terminal assignments, and disclosed adjustments.

The track record is prescriptive

The input is weekly pricing over ten years, ending no more than 60 days before the calculation's as-of date. Each clause bites:

• Weekly is created, not waived. A daily NAV series is sampled to week-ends. Daily data is not a problem; it becomes the weekly series.
• Staleness blocks. A series that has drifted past the 60-day boundary does not quietly compute from old prices. The score refuses. The freshness boundary is part of the track record's definition, not an operational nicety.
• Monthly is a justified exception, not a preference. Where only monthly pricing exists, the score can still compute, but the file must carry a recorded justification that weekly pricing was not reasonably obtainable, naming the sources approached. Vendor convenience and feed cost do not qualify as grounds. Ever.

Floors, terminals, and the one adjustment

Around the volatility grid sits a set of overrides, each with its own character:

• Short or thin history floors the score at 9. Less than five years of track record, or pricing less frequent than monthly, and the initial score starts at 9 or above. Derived from the series itself, not from a checkbox.
• Certain product categories floor by construction. Contracts for difference and significantly leveraged products carry a category floor.
• Lose-more-than-you-invest is a terminal 10. If an investor's loss can exceed their investment, the classification itself assigns a 10, and no adjustment can move it.
• Low liquidity adds one. A +1 uplift where liquidity is poor, skipped when the score already sits at 9 or above; that carve-out is the rule's own.
• The manufacturer may adjust, on the record. A documented judgement adjustment exists, for example a downward move where the window contained an extreme anomaly. It requires a recorded rationale, evidence, and a named approver. An adjustment without its paperwork is not an adjustment; it is a finding waiting for a supervisor.

Short history: the order is the law

Funds without ten years of history do not jump straight to a benchmark proxy. The sequence is fixed: use actual history; where it falls short, simulate under an approved methodology; only where simulation is determined not reasonably performable, and that determination is recorded, does the appropriate-benchmark alternative open. Benchmark-by-default, the reflex most PRIIPs pipelines learned, is not a permitted posture. Your system should make the wrong order impossible rather than merely discouraged.

The SRI asks: what does the model say? The CCI score asks: what does your own price history say, how fresh is it, and who signed the judgement calls?

What this means operationally

Three uncomfortable questions for your current estate. Can you produce ten years of weekly, provenance-tracked NAV per share class, and know within 60 days how fresh it is? Is every benchmark linkage a governed fact rather than a lookup someone maintains in a sheet? And when a score carries an adjustment or a monthly-pricing justification, can you show who approved it and on what evidence, three years later?

If any answer is no, that is the work. The formula is a page of arithmetic; we implemented it in a week and spent months on the governance around it. That ratio is the regime telling you where it expects failures to come from.