[ESMA 34-43-392 UCITS Q&A, section 3, Q&A 7g]

Underlying financial indices should comply with section XIII of the guidelines except paragraphs 48, 49, 50 and 53 of the guidelines. This means that underlying financial indices do not need to satisfy the diversification requirements laid down in Article 9 of the Eligible Assets Directive.

However, to fulfil the guidelines of paragraphs 53, UCITS that invest in indices of indices should take into account the rebalancing frequency of the underlying indices.