National Bank of Denmark publishes new UCITS fund currency exposure and hedging statistics showing 17% of USD and 27% of EUR investments hedged

The National Bank of Denmark has published a new statistical series on investment funds’ currency exposure and hedging for UCITS funds primarily aimed at households. The series reports exposure and hedging for USD, EUR and other currencies, including the currency into which exposures are hedged, and indicates that foreign equity exposure is only modestly hedged while foreign bond exposure is almost fully hedged. Across UCITS funds, 17% of USD investments and 27% of EUR investments are hedged, with the higher EUR hedge ratio linked to a larger share of EUR investments held in bond funds. The statistics also show that USD exposure is sometimes hedged into EUR, with the currency risk considered hedged due to Denmark’s fixed exchange rate policy, while EUR exposure is mainly hedged into DKK. Hedging behaviour differs by fund type: equity funds hedge almost none of their USD and EUR exposure, mixed funds hedge just under 20% of both, and bond funds hedge almost all USD exposure but 45% of EUR exposure. The new series is comparable with National Bank of Denmark statistics for the insurance and pension sector, which hedges approximately 70% of USD and about 35% of EUR investments, and is based on monthly, contract-level reporting of currency exposure and hedging.