ESMA · ESMA_QA_1174 Answer Published
KIID Financial indices
- Regulation
- Undertakings for Collective Investment in Transferable Securities Directive (UCITS) Directive 2009/65/EC
- Topic
- UCITS eligible assets and investment restrictions
- Submitted
- 2014-03-24
- Answered
- 2014-03-20
Question
Paragraph 50 of the guidelines prohibits investment by UCITS in commodity indices that do not consist of different commodities and applies a correlation factor to be considered in this regard. Can UCITS invest in a commodity index for which a particular commodity component does not have 5 years of price history available for the purposes of the correlation observation?
Answer
[ESMA 34-43-392 UCITS Q&A, section 3, Q&A 7k] Yes, provided that a similar asset serves as an adequate proxy. The basis for such an asset being considered as an adequate proxy needs to be supported by both qualitative and quantitative data. Those qualitative and quantitative data should be documented by UCITS management companies. The proxy asset cannot constitute more than 3 years of the 5 years of data for the purposes of the calculation. The proxy must be a single commodity (rather than a component of a basket or other amalgam/hybrid product) asset. However, this asset could include a financial index which complies with section XIII of the guidelines.
This Q&A is published by European Securities and Markets Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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