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you most definately need proof of purchase!!
They didn't bother keeping the receipt, or the box? I hope it is significantly cheaper than the alternative 920s for sale, as someone who is careless with these things may have been careless with the processor.
You also need the serial off the stock HSF.
When I was talking with someone from Intel's RMA department, they told me that all I needed to do was provide them with the information off the CPU's IHS and also the fan serial number, they didn't say anything about proof of purchase.
If you look in that link above, it says they MAY require proof of purchase, like I said, when I was looking to RMA one of my previous 920's, they never asked me for any proof of purchase, they sent me the RMA request form and was quite happy for me to send them my chip.