1091

We have a query regarding the interpretation of the threshold applicable to the reporting of countries under S.06.03: "For the identification of countries the look-through should be implemented in order to identify all countries that represent more than 5% of the fund being looked-through and until 90% of the value of the fund is identified by country." Specifically the question relates to countries that represent less than 5% of the total value of a collective investment scheme.  To simplify matters let's assume that there is only one currency and one asset class under the collective.  In these circumstances: a) Do you require countries to be reported under their specific country code until more than 90% of the collective is allocated to a specific country code? OR b) Can countries less than 5% be aggregated under the AA code even though that may leave more than 10% of the collective categorised as AA? An extreme example might help to clarify the question.  If a collective is comprised of 25 countries within the eurozone each representing 4% of the collective would it be correct to report 24 lines of data - 23 under specific country codes (to give 92%) and the 8% balance under the aggregate country code (option a)) or one line of data under the aggregate country code (option b)).