Interesting discussion. As a curiosity, I think going behind the regulation in defining the risk class is wrong, and they haven’t read the regulation properly.
Annex 1 of the regulation (https://eur-lex.europa.eu/legal-content/FI/TXT/PDF/?uri=CELEX:32017R0653) states (my bolding):
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Group 1 includes the following: […] c) 1) PRIIPs or investments underlying PRIIPs whose value is determined less frequently than once a month or for which there is no appropriate benchmark or proxy, or whose appropriate benchmark or proxy is valued less frequently than once a month.
and:
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PRIIPs in Group 1 belong to MRM class 7, with the exception of PRIIPs referred to in point 4(c) of this Annex, which belong to class 6.
For these illiquid assets, the risk class is not calculated based on volatility; rather, it should be class 6 by definition. The same, of course, applies to many other actors. A quick look shows that UB, Titanium, and Ålandsbanken also report class 3 or 4 in the same way, while OP and CapMan funds are specifically in class 6. I didn’t bother to check others. I recall that this regulation changed at some point, and perhaps the differing interpretations stem from that.
Whether that risk class matters to anyone at all is then an entirely different question.