  In this article we relate the set of structure preserving equivalent
martingale measures $(\mathcal{M})$ for financial models driven by
semimartingales with conditionally independent increments to a set of
measurable and integrable functions $(\mathscr{Y})$. More precisely, we prove
that $(\mathcal{M}\not = \emptyset)$ if, and only if, $(\mathscr{Y}\not =
\emptyset)$, and connect the sets $(\mathcal{M})$ and $(\mathscr{Y})$ to the
semimartingale characteristics of the driving process. As examples we consider
integrated L\'evy models with independent stochastic factors and time-changed
L\'evy models and derive mild conditions for $(\mathcal{M} \not = \emptyset)$.
