Financial Sector (Collection of Data) (reporting standard) determination No. 42 of 2023
Currency exposure and currency hedging rCurrency exposure and currency hedging ratio
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Currency exposure and currency hedging ratio
Report either a benchmark allocation to currency exposure or currency hedging ratios, with the approach determined by referent to the RSE licensee’s investment strategy:
a) If currency exposure targets are set at the investment option level, report the benchmark currency exposure in column 10 using ‘Currency Exposure’ as the strategic sector. The investment benchmark allocation (%) to ‘Currency Exposure’ is treated separately and does not contribute to the total benchmark allocations of the investment option.
b) If currency exposure targets or hedging ratios are set at the asset class level, report a currency hedging ratio (%) in column 13 where investment domicile type ‘International Domicile’ is reported in column 4. Where investment domicile type ‘Not Specified’ is reported in column 4 and currency hedging targets are set at an asset class level or investment option level, report the investment currency hedging ratio (%) in column 13 as the target level of currency hedging for any internationally domiciled assets within that allocation.
The table below summarises the reporting approach for different scenarios for reporting currency exposure or currency hedging ratios:
| Set at an asset class level | Set at an option level | |
|---|---|---|
| RSE licensee sets a currency hedging target | Report the applicable hedging ratio for each International Domicile or Not Specified Domicile asset class in table 1 column 13. | Report the hedging ratio (same number) for each row of International Domicile asset class and ‘Not Specified’ domicile in table 1 column 13. |
| RSE licensee sets a currency exposure target | Report the applicable hedging ratio for each International Domicile or Not Specified Domicile asset class in table 1 column 13. | Report the currency exposure target for the investment option in table 1 column 10. |
Where investment option level currency exposure is not reported in SRF 550.0 table 1 column 10, and the RSE licensee targets a fully hedged international exposure, the RSE licensee must report 100 per cent in SRF 550.0 table 1 column 13.
| Column | Field name | Unique identifier | Applicable to | Valid values | Description |
|---|---|---|---|---|---|
| 1 | Investment Option Identifier |