“Explain” tells you what index(es) the query is using, it doesn’t tell you what index you should create. “Advise” is probably what you are looking for. For example, when I run “Advise” on that query in 6.6 Enterprise (or via the web-based query advisor), it recommends:
Covering Index Recommendations
CREATE INDEX adv_ALL_CustRteRltnshps_Type_CtryCd ON `masterdata-target` (ALL `CustRteRltnshps`,`$Type`,`CtryCd`)
Index Recommendations
CREATE INDEX adv_ALL_CustRteRltnshps_Type ON `masterdata-target`(ALL `CustRteRltnshps`,`$Type`)