{
    "type": "ETF",
    "ucits": true,
    "replication_method": "synthetic",
    "swaps": true,
    "derivatives": true,
    "leverage": false,
    "inverse": false,
    "complex_factors": [
        "Unfunded swap agreement",
        "Use of options (put spread and call options) for downside protection",
        "Complex index with buffer and cap features",
        "Counterparty risk exposure"
    ],
    "classification": "complex",
    "supporting_data": "The Global X S&P 500 Annual Tail Hedge UCITS ETF uses an unfunded swap agreement with approved counterparties to exchange the performance of a basket of equities for the return of the CBOE S&P 500 Annual 30% (-5% to -35%) Buffer Protect Index, which itself is constructed using a put spread (buying a put option and selling a put option) and selling a call option to finance the buffer. This synthetic replication method involves derivative instruments (options and swaps) as an inherent part of the investment strategy, not merely for risk management. The index tracked is complex, providing downside protection with a buffer and cap, which adds to the complexity. The fund discloses counterparty risk and liquidity risk related to these derivatives. There is no leverage or inverse exposure, and the risk rating is moderate (4), but the use of derivatives and swap agreements, combined with the structured nature of the index, drives the MiFID II classification as complex. The PRIIPs KID confirms the use of these derivatives and the complexity of the product, including the recommended holding period and risk disclosures. No capital protection or principal guarantee is provided, but the structured buffer and cap mechanism and the synthetic replication via swaps and options are key complexity drivers."
}