{
    "type": "ETF",
    "ucits": true,
    "replication_method": "synthetic",
    "swaps": true,
    "derivatives": false,
    "leverage": false,
    "inverse": false,
    "complex_factors": [
        "Synthetic replication via total return swaps",
        "Counterparty risk exposure",
        "Active management with ESG machine learning model",
        "Use of derivatives for synthetic exposure"
    ],
    "classification": "complex",
    "supporting_data": "The Ossiam Europe ESG Machine Learning UCITS ETF uses synthetic replication primarily through total return swaps to achieve its investment objective, as explicitly stated in the KIID: 'the Fund can use total return swaps with the objective of delivering synthetically the performance of a portfolio of equities.' This introduces counterparty risk, confirmed by references to 'counterparty risk' and 'multiple swap agreements with multiple swap counterparties.' The replication is not purely physical, although the Fund may invest directly in equities as an alternative, but the minimum 75% equity exposure is maintained. There is no leverage or inverse exposure mentioned, and derivatives are used as an inherent part of the strategy rather than solely for hedging, so derivatives are marked true only in the context of synthetic replication. The risk profile is medium (risk class 4-5), consistent with equity market exposure and synthetic replication risks. The PRIIPs KID confirms a medium risk class 4 and highlights market liquidity risk and derivative/counterparty risks. The monthly factsheet confirms the fund is actively managed, uses a machine learning ESG filter, and synthetic replication via swaps, with no leverage or capital protection features. No complex structured products or contingent bonds are held. The complexity arises mainly from the synthetic replication via total return swaps and the associated counterparty risk, which under MiFID II classifies the ETF as complex despite the absence of leverage or capital protection mechanisms."
}