Question ID: 375
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Status: Final
Date of submission: 10 Feb 2016
Question
Can you kindly clarify the requirement for look through ? If the client holds a EUR hedged class of a USD mutual funds. How do you report the fund instruments weights with regards to the hedging of the EUR classes ?
EIOPA answer
The issue might address the following two situations:
1) Undertaking holds the Collective Investment Undertaking valued and quoted in USD, and the undertaking holds (outside the CIU) derivatives to hedge the currency risk;
2) Undertaking holds the Collective Investment Undertaking valued and quoted in USD, and the CIU itself holds derivatives to hedge the currency risk.
The look-through is performed in relation to the CIU splitting the different classes of assets and by currency (according to the Instructions). In the first case the derivatives are not part of the look-through and should be reported in S.08.01 and in the second case the derivatives are included in the look-through (S.06.03) and are not reported in S.08.01.