{
    "type": "ETF",
    "ucits": true,
    "replication_method": "synthetic",
    "swaps": true,
    "derivatives": true,
    "leverage": false,
    "inverse": false,
    "complex_factors": [
        "Synthetic replication via total return swap",
        "Counterparty risk exposure",
        "Commodity index with rolling and contango effects"
    ],
    "classification": "complex",
    "supporting_data": "The UBS Bloomberg Commodity CMCI SF UCITS ETF uses synthetic replication through a fully funded total return swap with UBS AG, London Branch as counterparty. The Fund invests in financial derivative instruments (FDIs) to achieve its investment objective, swapping the performance of the commodity index for the performance of securities held by the Fund. This swap structure exposes investors to counterparty risk, explicitly noted in the KIID and fact sheet. The Fund does not use physical replication but relies on a swap agreement, which is a key complexity indicator under MiFID II. There is no leverage or inverse exposure, but the use of derivatives is inherent to the strategy, not merely for risk management. The underlying index is a commodity index employing a daily rolling mechanism and tenor diversification, which introduces complexity through roll costs, contango, and backwardation effects. The risk profile is medium to high (category 5 in KIID, 4 in PRIIPs), reflecting volatility and counterparty risk. Costs are straightforward with no performance fees but include swap-related costs embedded in the TER. The PRIIPs KID does not carry a specific comprehension warning but confirms the medium risk and derivative usage. Overall, the synthetic replication via total return swaps and counterparty exposure drive the classification as complex under MiFID II, despite the absence of leverage or capital protection features."
}