27. How is the calculation formula assessed where the underlying of the derivative component of a structured product is either managed in accordance with a CPPI methodology or related technique, or is a customized index?

Account is taken of the number of mechanisms included in either the algorithm establishing the CPPI (Constant Proportion Portfolio Insurance) or related methodology, or the calculations underlying the customized index. No more than three mechanisms may be used.

For the purposes of this assessment, the following, among others, are considered to be mechanisms: the average of several components, the sum of several components (e.g. risky and non-risky components), excess return, calculation of the distance or of the volatility, multiplier or divisor, leverage, cap, etc.).

Units of undertakings for collective investment which invest directly in the underlying securities by means of a CPPI or related technique are not considered structured products and thus do not fall under the moratorium.