Look through analysis computes the value of every indirect and direct holding of a portfolio that contains securitized funds. This requires the calculation shown in the following table. The table shows that Portfolio XYZ holds two regular securities, A and B, and a securitized fund ETF.
Portfolio XYZ | Direct Holding Market Value |
|---|---|
Security A | 1000 |
Security B | 500 |
ETF | 800 |
Table 36: Example – Look Through
The following table shows holdings of the exchange-traded fund, which also holds Security A, as well as C and D that are not in the original portfolio.
ETF | Market Value | Weights |
|---|---|---|
Security A | 100000 | 0.40 |
Security C | 30000 | 0.12 |
Security D | 120000 | 0.48 |
Table 37: Example - ETF
Look through holdings are calculated in the following table. Each indirect holding is computed as the weight of the holding in the securitized fund, times the value of the original portfolio's holding of the securitized fund.
Portfolio XYZ | Direct Holdings Market Value | Indirect Holdings Calculation | Indirect Holdings Market Value | Direct plus Indirect (Look Through) Holdings |
|---|---|---|---|---|
Security A | 1000 | – | – | 1000 |
Security B | 500 | – | – | 500 |
Security A via ETF | – | 0.40 x 800 | 320 | 320 |
Security C via ETF | – | 0.12 x 800 | 96 | 96 |
Security D via ETF | – | 0.48 x 800 | 384 | 384 |
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