Question regarding the Category 3 PRIIP MRM calculation

My question is regarding the European Commission regulation on standardizing the information in the key information documents for PRIIPs. In the Annex IV of the regulation, one can find the explanation on the determination of an MRM class for the category 3 products (paras. 16-24)

Now my question is regarding calculation of the return of the underlying contract, as explained in para. 22, and specifically the formula in 22c:

$Return = E[Return_{risk-neutral}] - E[Return_{measured}] - 0.5\sigma^2N - \rho\sigma\sigma_{ccy}N$

Could anybody give more details on this formula? I personally do not think I fully understand the first two terms in the formula.

I also tried to reproduce the category 3 calculation as given in the Commission presentation, but I miss the point after summing up the simulated daily returns, i.e. step 9.

Thank you!